Computational Finance Using C And C

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Computational Finance Using C and C#

George Levy
Computational Finance Using C and C Book PDF

Author : George Levy
Publisher : Academic Press
Page : 384 pages
File Size : 55,5 Mb
Release : 2008-06-13
Category : Business & Economics
ISBN : 0080878075

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Computational Finance Using C and C# by George Levy Pdf

Computational Finance Using C and C# raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firm’s internal software and code requirements. The book also provides derivatives pricing information for equity derivates (vanilla options, quantos, generic equity basket options); interest rate derivatives (FRAs, swaps, quantos); foreign exchange derivatives (FX forwards, FX options); and credit derivatives (credit default swaps, defaultable bonds, total return swaps). This book is organized into 8 chapters, beginning with an overview of financial derivatives followed by an introduction to stochastic processes. The discussion then shifts to generation of random variates; European options; single asset American options; multi-asset options; other financial derivatives; and C# portfolio pricing application. The text is supported by a multi-tier website which enables purchasers of the book to download free software, which includes executable files, configuration files, and results files. With these files the user can run the C# portfolio pricing application and change the portfolio composition and the attributes of the deals. This book will be of interest to financial engineers and analysts as well as numerical analysts in banking, insurance, and corporate finance. Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.

Computational Finance Using C and C#

George Levy
Computational Finance Using C and C Book PDF

Author : George Levy
Publisher : Academic Press
Page : 388 pages
File Size : 53,6 Mb
Release : 2016-07-21
Category : Business & Economics
ISBN : 9780128035764

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Computational Finance Using C and C# by George Levy Pdf

Computational Finance Using C and C#: Derivatives and Valuation, Second Edition provides derivatives pricing information for equity derivatives, interest rate derivatives, foreign exchange derivatives, and credit derivatives. By providing free access to code from a variety of computer languages, such as Visual Basic/Excel, C++, C, and C#, it gives readers stand-alone examples that they can explore before delving into creating their own applications. It is written for readers with backgrounds in basic calculus, linear algebra, and probability. Strong on mathematical theory, this second edition helps empower readers to solve their own problems. *Features new programming problems, examples, and exercises for each chapter. *Includes freely-accessible source code in languages such as C, C++, VBA, C#, and Excel.. *Includes a new chapter on the history of finance which also covers the 2008 credit crisis and the use of mortgage backed securities, CDSs and CDOs. *Emphasizes mathematical theory. Features new programming problems, examples, and exercises with solutions added to each chapter Includes freely-accessible source code in languages such as C, C++, VBA, C#, Excel, Includes a new chapter on the credit crisis of 2008 Emphasizes mathematical theory

Quantitative Finance

Erik Schlogl
Quantitative Finance Book PDF

Author : Erik Schlogl
Publisher : CRC Press
Page : 354 pages
File Size : 43,7 Mb
Release : 2018-09-03
Category : Mathematics
ISBN : 9781315361994

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Quantitative Finance by Erik Schlogl Pdf

Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field. The book also helps readers implement models in a trading or research environment. It presents recipes and extensible code building blocks for some of the most widespread methods in risk management and option pricing. Web Resource The author’s website provides fully functional C++ code, including additional C++ source files and examples. Although the code is used to illustrate concepts (not as a finished software product), it nevertheless compiles, runs, and deals with full, rather than toy, problems. The website also includes a suite of practical exercises for each chapter covering a range of difficulty levels and problem complexity.

Modern Computational Finance

Antoine Savine
Modern Computational Finance Book PDF

Author : Antoine Savine
Publisher : John Wiley & Sons
Page : 592 pages
File Size : 45,5 Mb
Release : 2018-11-20
Category : Mathematics
ISBN : 9781119539452

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Modern Computational Finance by Antoine Savine Pdf

Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware. AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance. Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software. This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates. The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.

Tools for Computational Finance

Rüdiger U. Seydel
Tools for Computational Finance Book PDF

Author : Rüdiger U. Seydel
Publisher : Springer Science & Business Media
Page : 256 pages
File Size : 40,7 Mb
Release : 2013-06-29
Category : Mathematics
ISBN : 9783662225516

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Tools for Computational Finance by Rüdiger U. Seydel Pdf

Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.

Computational Finance Using C and C#

George Levy
Computational Finance Using C and C Book PDF

Author : George Levy
Publisher : Academic Press
Page : 370 pages
File Size : 45,6 Mb
Release : 2008
Category : Business & Economics
ISBN : 0750669195

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Computational Finance Using C and C# by George Levy Pdf

In Computational Finance Using C and C# George Levy raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firm's internal software and code requirements. Levy also provides derivatives pricing information for: — equity derivates: vanilla options, quantos, generic equity basket options — interest rate derivatives: FRAs, swaps, quantos — foreign exchange derivatives: FX forwards, FX options — credit derivatives: credit default swaps, defaultable bonds, total return swaps. Computational Finance Using C and C# by George Levy is supported by extensive web resources. Available for purchase on the multi-tier website are e versions of this book and Levy's first book, Computational Finance: Numerical Methods for Pricing Financial Derivatives. Purchasers of the print or e-book can download free software consisting of executable files, configuration files, and results files. With these files the user can run the example portfolio application in Chapter 8 and change the portfolio composition and the attributes of the deals. In addition, Upgrade Software is available on the website for a small fee, and includes: • Code to run all the C, C# and Excel examples in the book • Complete C source code for the Analytics_Mathlib maths library that is used in the book • C# source code, market data and portfolio files for the portfolio application described in Chapter 8 All the C/C# software can be compiled using either Visual Studio .NET 2005, or the freely available Microsoft Visual C#/C++ 2005 Express Editions. With this software, the user can open the files and create new deals, new instruments, and change the attributes of the deals by editing the code and recompiling it. This serves as a template that a user can run to customize the deals for their personal, everyday use. * Complete financial instrument pricing code in standard C and C# available to book buyers on companion website * Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes

Cornelis W Oosterlee,Lech A Grzelak
Mathematical Modeling And Computation In Finance With Exercises And Python And Matlab Computer Codes Book PDF

Author : Cornelis W Oosterlee,Lech A Grzelak
Publisher : World Scientific
Page : 1310 pages
File Size : 51,9 Mb
Release : 2019-10-29
Category : Business & Economics
ISBN : 9781786347961

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Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by Cornelis W Oosterlee,Lech A Grzelak Pdf

This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].

Computational Finance

George Levy
Computational Finance Book PDF

Author : George Levy
Publisher : Elsevier
Page : 456 pages
File Size : 49,6 Mb
Release : 2003-12-17
Category : Computers
ISBN : 9780080472270

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Computational Finance by George Levy Pdf

Computational Finance presents a modern computational approach to mathematical finance within the Windows environment, and contains financial algorithms, mathematical proofs and computer code in C/C++. The author illustrates how numeric components can be developed which allow financial routines to be easily called by the complete range of Windows applications, such as Excel, Borland Delphi, Visual Basic and Visual C++. These components permit software developers to call mathematical finance functions more easily than in corresponding packages. Although these packages may offer the advantage of interactive interfaces, it is not easy or computationally efficient to call them programmatically as a component of a larger system. The components are therefore well suited to software developers who want to include finance routines into a new application. Typical readers are expected to have a knowledge of calculus, differential equations, statistics, Microsoft Excel, Visual Basic, C++ and HTML. Enables reader to incorporate advanced financial modelling techniques in Windows compatible software Aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options

Genetic Algorithms and Genetic Programming in Computational Finance

Shu-Heng Chen
Genetic Algorithms and Genetic Programming in Computational Finance Book PDF

Author : Shu-Heng Chen
Publisher : Springer Science & Business Media
Page : 491 pages
File Size : 45,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461508359

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Genetic Algorithms and Genetic Programming in Computational Finance by Shu-Heng Chen Pdf

After a decade of development, genetic algorithms and genetic programming have become a widely accepted toolkit for computational finance. Genetic Algorithms and Genetic Programming in Computational Finance is a pioneering volume devoted entirely to a systematic and comprehensive review of this subject. Chapters cover various areas of computational finance, including financial forecasting, trading strategies development, cash flow management, option pricing, portfolio management, volatility modeling, arbitraging, and agent-based simulations of artificial stock markets. Two tutorial chapters are also included to help readers quickly grasp the essence of these tools. Finally, a menu-driven software program, Simple GP, accompanies the volume, which will enable readers without a strong programming background to gain hands-on experience in dealing with much of the technical material introduced in this work.

Numerical Methods in Computational Finance

Daniel J. Duffy
Numerical Methods in Computational Finance Book PDF

Author : Daniel J. Duffy
Publisher : John Wiley & Sons
Page : 551 pages
File Size : 42,9 Mb
Release : 2022-03-21
Category : Business & Economics
ISBN : 9781119719670

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Numerical Methods in Computational Finance by Daniel J. Duffy Pdf

This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners, novices and expert users. Part A Mathematical Foundation for One-Factor Problems Chapters 1 to 7 introduce the mathematical and numerical analysis concepts that are needed to understand the finite difference method and its application to computational finance. Part B Mathematical Foundation for Two-Factor Problems Chapters 8 to 13 discuss a number of rigorous mathematical techniques relating to elliptic and parabolic partial differential equations in two space variables. In particular, we develop strategies to preprocess and modify a PDE before we approximate it by the finite difference method, thus avoiding ad-hoc and heuristic tricks. Part C The Foundations of the Finite Difference Method (FDM) Chapters 14 to 17 introduce the mathematical background to the finite difference method for initial boundary value problems for parabolic PDEs. It encapsulates all the background information to construct stable and accurate finite difference schemes. Part D Advanced Finite Difference Schemes for Two-Factor Problems Chapters 18 to 22 introduce a number of modern finite difference methods to approximate the solution of two factor partial differential equations. This is the only book we know of that discusses these methods in any detail. Part E Test Cases in Computational Finance Chapters 23 to 26 are concerned with applications based on previous chapters. We discuss finite difference schemes for a wide range of one-factor and two-factor problems. This book is suitable as an entry-level introduction as well as a detailed treatment of modern methods as used by industry quants and MSc/MFE students in finance. The topics have applications to numerical analysis, science and engineering. More on computational finance and the author’s online courses, see www.datasim.nl.

Advances in Mathematical Finance

Michael C. Fu,Robert A. Jarrow,Ju-Yi Yen,Robert J Elliott
Advances in Mathematical Finance Book PDF

Author : Michael C. Fu,Robert A. Jarrow,Ju-Yi Yen,Robert J Elliott
Publisher : Springer Science & Business Media
Page : 336 pages
File Size : 43,5 Mb
Release : 2007-06-22
Category : Business & Economics
ISBN : 9780817645458

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Advances in Mathematical Finance by Michael C. Fu,Robert A. Jarrow,Ju-Yi Yen,Robert J Elliott Pdf

This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.

Modern Computational Finance

Antoine Savine,Jesper Andreasen
Modern Computational Finance Book PDF

Author : Antoine Savine,Jesper Andreasen
Publisher : John Wiley & Sons
Page : 295 pages
File Size : 46,7 Mb
Release : 2021-11-02
Category : Mathematics
ISBN : 9781119540786

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Modern Computational Finance by Antoine Savine,Jesper Andreasen Pdf

An incisive and essential guide to building a complete system for derivative scripting In Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA, quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations (like xVA). Complete with a professional scripting library written in modern C++, this stand-alone volume walks readers through the construction of a comprehensive risk and valuation tool. This essential book also offers: Effective strategies for improving scripting libraries, from basic examples—like support for dates and vectors—to advanced improvements, including American Monte Carlo techniques Exploration of the concepts of fuzzy logic and risk sensitivities, including support for smoothing and condition domains Discussion of the application of scripting to xVA, complete with a full treatment of branching Perfect for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts, Modern Computational Finance Scripting for Derivatives and xVA: Volume 2 is also a must-read resource for students and teachers in master’s and PhD finance programs.

Tools for Computational Finance

Rüdiger U. Seydel
Tools for Computational Finance Book PDF

Author : Rüdiger U. Seydel
Publisher : Springer Science & Business Media
Page : 429 pages
File Size : 53,9 Mb
Release : 2012-03-09
Category : Mathematics
ISBN : 9781447129936

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Tools for Computational Finance by Rüdiger U. Seydel Pdf

The disciplines of financial engineering and numerical computation differ greatly, however computational methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering; specifically the use of numerical methods as tools for computational finance. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, methods are introduced as tools within the book for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate students in mathematics, engineering and other scientific disciplines as well as professionals in financial engineering.

Computational Finance

George Levy
Computational Finance Book PDF

Author : George Levy
Publisher : Academic Press
Page : 0 pages
File Size : 45,5 Mb
Release : 2008-05-15
Category : Mathematics
ISBN : 0123747104

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Computational Finance by George Levy Pdf

This set contains two previously published books on computational finance: Computational Finance presents a modern computational approach to mathematical finance within the Windows environment. George Levy illustrates how numeric components can be developed by Financial Analysts that allow financial routines on the computer to be more easily performed. This book contains a bound in CD-ROM. In Computational Finance Using C and C#, Levy raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firm's internal software and code requirements. Levy also provides derivatives pricing information for equity derivates, interest rate derivatives, foreign exchange derivatives, and credit derivatives. A unique password is bound into every book, giving the reader access to additional software on password protected website. *Shows how to incorporate advanced financial modelling techniques in Windows compatible software * Includes CD-ROM with adaptive software * Aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options *Complete financial instrument pricing code in standard C and C# available to book buyers on companion website * Provides software design patterns in C and C# and the use of SQL server

Modern Computational Finance

Antoine Savine,Jesper Andreasen
Modern Computational Finance Book PDF

Author : Antoine Savine,Jesper Andreasen
Publisher : John Wiley & Sons
Page : 295 pages
File Size : 42,9 Mb
Release : 2021-10-27
Category : Mathematics
ISBN : 9781119540793

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Modern Computational Finance by Antoine Savine,Jesper Andreasen Pdf

An incisive and essential guide to building a complete system for derivative scripting In Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA, quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations (like xVA). Complete with a professional scripting library written in modern C++, this stand-alone volume walks readers through the construction of a comprehensive risk and valuation tool. This essential book also offers: Effective strategies for improving scripting libraries, from basic examples—like support for dates and vectors—to advanced improvements, including American Monte Carlo techniques Exploration of the concepts of fuzzy logic and risk sensitivities, including support for smoothing and condition domains Discussion of the application of scripting to xVA, complete with a full treatment of branching Perfect for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts, Modern Computational Finance Scripting for Derivatives and xVA: Volume 2 is also a must-read resource for students and teachers in master’s and PhD finance programs.