The second edition of this practical guide features pricing information for equity, interest rate, foreign exchange, and credit derivatives, and includes access to standalone examples and code from a variety of computer languages to help readers learn how to develop custom applications to tackle their computational finance problems.
1. Overview of financial derivatives 2. Introduction to stochastic processes 3. Generation of random variates 4. European Options 5. Single asset American options 6. Multi-asset options 7. Other Financial Derivatives 8. C# Portfolio Pricing Application 9. A Brief History of Finance Appendix A. The Greeks for vanilla European options B. Barrier option integrals C. Standard statistical results D. Statistical distribution functions E. Mathematical reference F. Black-Scholes finite-difference schemes G. The Brownian Bridge: alternative derivation H. Brownian motion: more results I. Feynman-Kac formula
George Levy currently works as a quantitative analyst at RWE, and has provided technical consultancy to numerous financial institutions, In addition he has also published articles on numerical modelling, mathematical finance and software engineering. He is the author of Computational Finance: Numerical Methods for Pricing Financial Derivatives. His interests include: Monte Carlo simulation, Microsoft technologies and derivative valuation.
"I recommend this book to anyone who needs a strong reference on the computational aspects of financial calculations. The reader will find not only all the relevant computer codes in Visual Basic/Excel, C++, C, and C#, but also the required theory for a better understanding of financial concepts." --Francois-Eric Racicot, University of Ottawa "This is a book with equal coverage of financial mathematics, derivatives, and computer programming. It will be a welcome addition to any student's or practitioner's library." --Yuh-Dauh Lyuu, National Taiwan University "The use of derivatives for hedging possible finance risks became extremely popular due to the globalisation of international trade. This book provides for readers interesting linkage of theoretical background for valuation of all types of derivatives with their practical impact. Professional valuers would appreciate the 8th chapter dealing with C# portfolio pricing app. Very topical is the last chapter dealing with 2008 credit crisis. I would like to strongly recommend this book for publishing." --Jiri Strouhal, University of Economics Prague and President of Association of Czech Professional Accountants