| 000 | 01001camuu2200289 a 4500 | |
| 001 | 000045482338 | |
| 005 | 20081105114544 | |
| 008 | 080110s2008 ne a b 001 0 eng | |
| 010 | ▼a 2008000470 | |
| 020 | ▼a 9780750669191 (alk. paper) | |
| 020 | ▼a 0750669195 (alk. paper) | |
| 035 | ▼a (KERIS)REF000014841127 | |
| 040 | ▼a DLC ▼c DLC ▼d YDXCP ▼d BAKER ▼d BTCTA ▼d C#P ▼d BWX ▼d BWK ▼d DLC ▼d 211009 | |
| 050 | 0 0 | ▼a HG106 ▼b .L484 2008 |
| 082 | 0 0 | ▼a 332.0285/5133 ▼2 22 |
| 090 | ▼a 332.0285 ▼b L668c | |
| 100 | 1 | ▼a Levy, George. |
| 245 | 1 0 | ▼a Computational finance using C and C# / ▼c George Levy. |
| 260 | ▼a Amsterdam ; ▼a Boston : ▼b Elsevier , ▼c c2008. | |
| 300 | ▼a xii, 370 p. : ▼b ill. ; ▼c 24 cm. | |
| 440 | 0 | ▼a Quantitative finance series |
| 440 | 0 | ▼a [Elsevier finance] |
| 500 | ▼a Series from jacket. | |
| 504 | ▼a Includes bibliographical references (p. [355]-360) and index. | |
| 650 | 0 | ▼a Finance ▼x Mathematical models. |
| 945 | ▼a KINS |
소장정보
| No. | 소장처 | 청구기호 | 등록번호 | 도서상태 | 반납예정일 | 예약 | 서비스 |
|---|---|---|---|---|---|---|---|
| No. 1 | 소장처 과학도서관/Sci-Info(2층서고)/ | 청구기호 332.0285 L668c | 등록번호 121178562 (4회 대출) | 도서상태 대출가능 | 반납예정일 | 예약 | 서비스 |
컨텐츠정보
책소개
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.
Reviews
George Levy's first book, Computational Finance, was chosen as a Top Ten Financial Engineering title for 2003-04 by Financial Engineering News“Think of Baxter and Rennie, add the pricing models from Wilmott and, to illustrate each model, Levy's own Numerical Recipes in C and C#. Levy's book is written in precise mathematical language, covering all types of derivative products and illustrating the state-of-the-art resolution methods for pricing. As such, it is set to become a classic amongst serious quants.?
- Professor Carol Alexander, Chair of Risk Management and Director of Research, ICMA Centre, Business School, The University of Reading, UK
Feature
- Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.
정보제공 :
목차
Contents
Chapter 1 Overview of Financial Derivatives
Chapter 2 Introduction to Stochastic Processes
Chapter 3 Generation of Random Variates
Chapter 4 European Options
Chapter 5 Single Asset American Options
Chapter 6 Multi-asset Options
Chapter 7 Other Financial Derivatives
Chapter 8 C# Portfolio Pricing Application
Appendix A The Greeks for Vanilla European Options
Appendix B Barrier Options Integrals
Appendix C Standard Statistical Results
Appendix D Statistical Distribution Functions
Appendix E Mathematical Reference
Appendix F Black-Scholes Finite-difference Schemes
정보제공 :