Image from Coce

Computational finance using C and C / George Levy.

By: Material type: TextTextSeries: Quantitative finance series | Elsevier financePublisher: Amsterdam ; Boston : Elsevier, [2008]Copyright date: ©2008Description: xii, 370 pages : illustrations ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 0750669195
  • 9780750669191
Subject(s): DDC classification:
  • 332.02855133 22
LOC classification:
  • HG106 .L484 2008
Contents:
1. Overview of Financial Derivatives -- 2. Introduction to Stochastic Processes -- 2.1. Brownian Motion -- 2.2. A Brownian Model of Asset Price Movements -- 2.3. Itos's Formula (or lemma) -- 2.4. Girsanov's Theorem -- 2.5. Ito's Lemma for Multi-asset Geometric Brownian Motion -- 2.6. Ito Product and Quotient Rules -- 2.7. Ito Product in n Dimensions -- 2.8. The Brownian Bridge -- 2.9. Time Transformed Brownian Motion -- 2.10. Ornstein Uhlenbeck Bridge -- 2.11. The Ornstein Uhlenbeck Bridge -- 2.12. Other Useful Results -- 2.13. Selected Problems -- 3. Generation of Random Variates -- 3.1. Introduction -- 3.2. Pseudo-random and Quasi-random Sequences -- 3.3. Generation of Multivariate Distributions: independent variates -- 3.4. Generation of Multivariate Distributions: Correlated Variates -- 4. European Options -- 4.1. Introduction -- 4.2. Pricing Derivatives Using A Martingale Measure -- 4.3. Put Call Parity -- 4.4. Vanilla Options and the Black Scholes Model -- 4.5. Barrier Options -- 5. Single Asset American Options -- 5.1. Introduction -- 5.2. Aproximations for Vanilla American Options -- 5.3. Lattice Methods for Vanilla Options -- 5.4. Grid Methods for Vanilla Options -- 5.5. Pricing American Options Using A Sthochastic Lattice -- 6. Multi-Asset Options -- 6.1. Introduction -- 6.2. The Multi-Asset Black Scholes Equation -- 6.3. Multi-dimensional Monte Carlo Methods -- 6.4. Introduction to Multi-dimensional Lattice Methods -- 6.5. Two Asset Options -- 6.6. Three Asset Options -- 6.7. Four Asset Options -- 7. Other Financial Derivatives -- 7.1. Introduction -- 7.2. Interest Rate Derivatives -- 7.3. Foreign Exchange Derivatives -- 7.4. Credit Derivatives -- 7.5. Equity Derivatives -- 8. C# Portfolio Pricing Application -- 8.1. Introduction -- 8.2. Storing and Retrieving the Market Data -- 8.3. The PricingUtils Class and the Analytics_MathLib -- 8.4. Equity Deal Classes -- 8.5. FX Deal Classes -- Appendix A. The Greeks for Vanila European Options -- Appendix B. Barrier Option Integrals -- Appendix C. Standard Statistical Results -- Appendix D. Statistical Distribution Functions -- Appendix E. Mathematical Reference -- Appendix F. Black-Scholes Finite-Difference Schemes.
Tags from this library: No tags from this library for this title. Log in to add tags.
Holdings
Item type Current library Call number Copy number Status Date due Barcode
Book City Campus City Campus Main Collection 332.02855133 LEV (Browse shelf(Opens below)) 1 Available A427476B

Series from jacket.

Includes bibliographical references (pages 355-360) and index.

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

Machine converted from AACR2 source record.

There are no comments on this title.

to post a comment.

Powered by Koha