TY  - BOOK
AU  - Levy,George
TI  - Computational finance using C and C
T2  - Quantitative finance series
SN  - 0750669195
AV  - HG106 .L484 2008
U1  - 332.02855133 22
PY  - 2008///]
CY  - Amsterdam, Boston
PB  - Elsevier
KW  - Finance
KW  - Mathematical models
N1  - 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
ER  -