Computational finance using C and C / George Levy.
Material type: TextSeries: Quantitative finance series | Elsevier financePublisher: Amsterdam ; Boston : Elsevier, [2008]Copyright date: ©2008Description: xii, 370 pages : illustrations ; 24 cmContent type:- text
- unmediated
- volume
- 0750669195
- 9780750669191
- 332.02855133 22
- HG106 .L484 2008
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 |
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332.0240993 MOR After the panic : surviving bad investments and bad advice / | 332.0285 NAT Natural computing in computational finance. Volume 3 / | 332.0285 UGU An Introduction to computational finance / | 332.02855133 LEV Computational finance using C and C / | 332.02855133 SCH Quantitative finance : an object-oriented approach in C++ / | 332.028553042 BOE Using SAS in financial research / | 332.0285554 SEN Financial analysis and modeling using Excel and VBA / |
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.
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