Computational finance using C and C /
Levy, George,
Computational finance using C and C / George Levy. - xii, 370 pages : illustrations ; 24 cm. - Quantitative finance series Elsevier finance . - Quantitative finance series. Elsevier finance. .
Series from jacket.
Includes bibliographical references (pages 355-360) and index.
Overview of Financial Derivatives -- Introduction to Stochastic Processes -- Brownian Motion -- A Brownian Model of Asset Price Movements -- Itos's Formula (or lemma) -- Girsanov's Theorem -- Ito's Lemma for Multi-asset Geometric Brownian Motion -- Ito Product and Quotient Rules -- Ito Product in n Dimensions -- The Brownian Bridge -- Time Transformed Brownian Motion -- Ornstein Uhlenbeck Bridge -- The Ornstein Uhlenbeck Bridge -- Other Useful Results -- Selected Problems -- Generation of Random Variates -- Introduction -- Pseudo-random and Quasi-random Sequences -- Generation of Multivariate Distributions: independent variates -- Generation of Multivariate Distributions: Correlated Variates -- European Options -- Introduction -- Pricing Derivatives Using A Martingale Measure -- Put Call Parity -- Vanilla Options and the Black Scholes Model -- Barrier Options -- Single Asset American Options -- Introduction -- Aproximations for Vanilla American Options -- Lattice Methods for Vanilla Options -- Grid Methods for Vanilla Options -- Pricing American Options Using A Sthochastic Lattice -- Multi-Asset Options -- Introduction -- The Multi-Asset Black Scholes Equation -- Multi-dimensional Monte Carlo Methods -- Introduction to Multi-dimensional Lattice Methods -- Two Asset Options -- Three Asset Options -- Four Asset Options -- Other Financial Derivatives -- Introduction -- Interest Rate Derivatives -- Foreign Exchange Derivatives -- Credit Derivatives -- Equity Derivatives -- C# Portfolio Pricing Application -- Introduction -- Storing and Retrieving the Market Data -- The PricingUtils Class and the Analytics_MathLib -- Equity Deal Classes -- FX Deal Classes -- The Greeks for Vanila European Options -- Barrier Option Integrals -- Standard Statistical Results -- Statistical Distribution Functions -- Mathematical Reference -- Black-Scholes Finite-Difference Schemes. 1. 2. 2.1. 2.2. 2.3. 2.4. 2.5. 2.6. 2.7. 2.8. 2.9. 2.10. 2.11. 2.12. 2.13. 3. 3.1. 3.2. 3.3. 3.4. 4. 4.1. 4.2. 4.3. 4.4. 4.5. 5. 5.1. 5.2. 5.3. 5.4. 5.5. 6. 6.1. 6.2. 6.3. 6.4. 6.5. 6.6. 6.7. 7. 7.1. 7.2. 7.3. 7.4. 7.5. 8. 8.1. 8.2. 8.3. 8.4. 8.5. Appendix A. Appendix B. Appendix C. Appendix D. Appendix E. Appendix F.
0750669195 9780750669191
2008000470
Finance--Mathematical models
HG106 / .L484 2008
332.02855133
Computational finance using C and C / George Levy. - xii, 370 pages : illustrations ; 24 cm. - Quantitative finance series Elsevier finance . - Quantitative finance series. Elsevier finance. .
Series from jacket.
Includes bibliographical references (pages 355-360) and index.
Overview of Financial Derivatives -- Introduction to Stochastic Processes -- Brownian Motion -- A Brownian Model of Asset Price Movements -- Itos's Formula (or lemma) -- Girsanov's Theorem -- Ito's Lemma for Multi-asset Geometric Brownian Motion -- Ito Product and Quotient Rules -- Ito Product in n Dimensions -- The Brownian Bridge -- Time Transformed Brownian Motion -- Ornstein Uhlenbeck Bridge -- The Ornstein Uhlenbeck Bridge -- Other Useful Results -- Selected Problems -- Generation of Random Variates -- Introduction -- Pseudo-random and Quasi-random Sequences -- Generation of Multivariate Distributions: independent variates -- Generation of Multivariate Distributions: Correlated Variates -- European Options -- Introduction -- Pricing Derivatives Using A Martingale Measure -- Put Call Parity -- Vanilla Options and the Black Scholes Model -- Barrier Options -- Single Asset American Options -- Introduction -- Aproximations for Vanilla American Options -- Lattice Methods for Vanilla Options -- Grid Methods for Vanilla Options -- Pricing American Options Using A Sthochastic Lattice -- Multi-Asset Options -- Introduction -- The Multi-Asset Black Scholes Equation -- Multi-dimensional Monte Carlo Methods -- Introduction to Multi-dimensional Lattice Methods -- Two Asset Options -- Three Asset Options -- Four Asset Options -- Other Financial Derivatives -- Introduction -- Interest Rate Derivatives -- Foreign Exchange Derivatives -- Credit Derivatives -- Equity Derivatives -- C# Portfolio Pricing Application -- Introduction -- Storing and Retrieving the Market Data -- The PricingUtils Class and the Analytics_MathLib -- Equity Deal Classes -- FX Deal Classes -- The Greeks for Vanila European Options -- Barrier Option Integrals -- Standard Statistical Results -- Statistical Distribution Functions -- Mathematical Reference -- Black-Scholes Finite-Difference Schemes. 1. 2. 2.1. 2.2. 2.3. 2.4. 2.5. 2.6. 2.7. 2.8. 2.9. 2.10. 2.11. 2.12. 2.13. 3. 3.1. 3.2. 3.3. 3.4. 4. 4.1. 4.2. 4.3. 4.4. 4.5. 5. 5.1. 5.2. 5.3. 5.4. 5.5. 6. 6.1. 6.2. 6.3. 6.4. 6.5. 6.6. 6.7. 7. 7.1. 7.2. 7.3. 7.4. 7.5. 8. 8.1. 8.2. 8.3. 8.4. 8.5. Appendix A. Appendix B. Appendix C. Appendix D. Appendix E. Appendix F.
0750669195 9780750669191
2008000470
Finance--Mathematical models
HG106 / .L484 2008
332.02855133