Computational finance using C and C#:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Amsterdam [u.a.]
Elsevier
2008
|
| Series: | Quantitative finance series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references (p. [355]-360) and index |
| Physical Description: | XII, 370 S. Ill., graph. Darst. 24 cm |
| ISBN: | 9780750669191 0750669195 |
Staff View
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| 246 | 1 | 3 | |a Computational finance using C and C sharp |
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| adam_text | Contents
Preface xi
1 Overview of financial derivatives 1
2 Introduction to stochastic processes 5
2.1 Brownian motion 5
2.2 A Brownian model of asset price movements 9
2.3 Ito s formula (or lemma) 10
2.4 Girsanov s theorem 12
2.5 Ito s lemma for multiasset geometric Brownian motion 13
2.6 Ito product and quotient rules in two dimensions 15
2.7 Ito product in n dimensions 18
2.8 The Brownian bridge 19
2.9 Time-transformed Brownian motion 21
2.10 Ornstein-Uhlenbeck process 24
2.11 The Ornstein-Uhlenbeck bridge 27
2.12 Other useful results 31
2.13 Selected problems 33
3 Generation of random variates 37
3.1 Introduction 37
3.2 Pseudo-random and quasi-random sequences 38
3.3 Generation of multivariate distributions: independent variates 41
3.4 Generation of multivariate distributions: correlated variates 47
4 European options 59
4.1 Introduction 59
4.2 Pricing derivatives using a martingale measure 59
4.3 Put call parity 60
4.4 Vanilla options and the Black-Scholes model 62
4.5 Barrier options 85
5 Single asset American options 97
5.1 Introduction 97
5.2 Approximations for vanilla American options 97
5.3 Lattice methods for vanilla options 114
Computational Finance Using C and C#
5.4 Grid methods for vanilla options 135
5.5 Pricing American options using a stochastic lattice 172
6 Multiasset options 181
6.1 Introduction 181
6.2 The multiasset Black-Scholes equation 181
6.3 Multidimensional Monte Carlo methods 183
6.4 Introduction to multidimensional lattice methods 185
6.5 Two asset options 190
6.6 Three asset options 201
6.7 Four asset options 205
7 Other financial derivatives 209
7.1 Introduction 209
7.2 Interest rate derivatives 209
7.3 Foreign exchange derivatives 228
7.4 Credit derivatives 232
7.5 Equity derivatives 237
8 C# portfolio pricing application 245
8.1 Introduction 245
8.2 Storing and retrieving the market data 254
8.3 The PricingUtils class and the Analytics_MathLib 262
8.4 Equity deal classes 267
8.5 FX deal classes 280
Appendix A: The Greeks for vanilla European options 289
A.I Introduction 289
A.2 Gamma 290
A.3 Delta 291
A.4 Theta 292
A.5 Rho 293
A. 6 Vega 294
Appendix B: Barrier option integrals 295
B.I The down and out call 295
B.2 The up and out call 298
Appendix C: Standard statistical results 303
C.I The law of large numbers 303
C.2 The central limit theorem 303
C.3 The variance and covariance of random variables 305
C.4 Conditional mean and covariance of normal distributions 310
C.5 Moment generating functions 311
Contents ix
Appendix D: Statistical distribution functions 313
D.I The normal (Gaussian) distribution 313
D.2 The lognormal distribution 315
D.3 The Student s t distribution 317
D.4 The general error distribution 319
Appendix E: Mathematical reference 321
E.I Standard integrals 321
E.2 Gamma function 321
E.3 The cumulative normal distribution function 322
E.4 Arithmetic and geometric progressions 323
Appendix F: Black-Scholes finite-difference schemes 325
F.I The general case 325
F.2 The log transformation and a uniform grid 325
Appendix G: The Brownian bridge: alternative derivation 329
Appendix H: Brownian motion: more results 333
H.I Some results concerning Brownian motion 333
H.2 Proof of Eq. (H.I.2) 334
H.3 Proof of Eq. (H.1.4) 335
H.4 Proof of Eq. (H.1.5) 335
H.5 Proof of Eq. (H.1.6) 335
H.6 Proof of Eq. (H.I.7) 338
H.7 Proof of Eq. (H.I.8) 338
H.8 Proof of Eq. (H.I.9) 338
H.9 Proof of Eq. (H.I.10) 339
la 341
343
343
344
345
346
346
347
348
350
350
352
354
355
Index 361
Appendix I: The : Feynman-Kac fc
Appendix J: Answers to problems
J-l Problem 1
J-2 Problem 2
J-3 Problem 3
J-4 Problem 4
J-5 Problem 5
J.6 Problem 6
J-7 Problem 7
J-8 Problem 8
J-9 Problem 9
J.io Problem 10
J-11 Problem 11
References
|
| adam_txt |
Contents
Preface xi
1 Overview of financial derivatives 1
2 Introduction to stochastic processes 5
2.1 Brownian motion 5
2.2 A Brownian model of asset price movements 9
2.3 Ito's formula (or lemma) 10
2.4 Girsanov's theorem 12
2.5 Ito's lemma for multiasset geometric Brownian motion 13
2.6 Ito product and quotient rules in two dimensions 15
2.7 Ito product in n dimensions 18
2.8 The Brownian bridge 19
2.9 Time-transformed Brownian motion 21
2.10 Ornstein-Uhlenbeck process 24
2.11 The Ornstein-Uhlenbeck bridge 27
2.12 Other useful results 31
2.13 Selected problems 33
3 Generation of random variates 37
3.1 Introduction 37
3.2 Pseudo-random and quasi-random sequences 38
3.3 Generation of multivariate distributions: independent variates 41
3.4 Generation of multivariate distributions: correlated variates 47
4 European options 59
4.1 Introduction 59
4.2 Pricing derivatives using a martingale measure 59
4.3 Put call parity 60
4.4 Vanilla options and the Black-Scholes model 62
4.5 Barrier options 85
5 Single asset American options 97
5.1 Introduction 97
5.2 Approximations for vanilla American options 97
5.3 Lattice methods for vanilla options 114
Computational Finance Using C and C#
5.4 Grid methods for vanilla options 135
5.5 Pricing American options using a stochastic lattice 172
6 Multiasset options 181
6.1 Introduction 181
6.2 The multiasset Black-Scholes equation 181
6.3 Multidimensional Monte Carlo methods 183
6.4 Introduction to multidimensional lattice methods 185
6.5 Two asset options 190
6.6 Three asset options 201
6.7 Four asset options 205
7 Other financial derivatives 209
7.1 Introduction 209
7.2 Interest rate derivatives 209
7.3 Foreign exchange derivatives 228
7.4 Credit derivatives 232
7.5 Equity derivatives 237
8 C# portfolio pricing application 245
8.1 Introduction 245
8.2 Storing and retrieving the market data 254
8.3 The PricingUtils class and the Analytics_MathLib 262
8.4 Equity deal classes 267
8.5 FX deal classes 280
Appendix A: The Greeks for vanilla European options 289
A.I Introduction 289
A.2 Gamma 290
A.3 Delta 291
A.4 Theta 292
A.5 Rho 293
A. 6 Vega 294
Appendix B: Barrier option integrals 295
B.I The down and out call 295
B.2 The up and out call 298
Appendix C: Standard statistical results 303
C.I The law of large numbers 303
C.2 The central limit theorem 303
C.3 The variance and covariance of random variables 305
C.4 Conditional mean and covariance of normal distributions 310
C.5 Moment generating functions 311
Contents ix
Appendix D: Statistical distribution functions 313
D.I The normal (Gaussian) distribution 313
D.2 The lognormal distribution 315
D.3 The Student's t distribution 317
D.4 The general error distribution 319
Appendix E: Mathematical reference 321
E.I Standard integrals 321
E.2 Gamma function 321
E.3 The cumulative normal distribution function 322
E.4 Arithmetic and geometric progressions 323
Appendix F: Black-Scholes finite-difference schemes 325
F.I The general case 325
F.2 The log transformation and a uniform grid 325
Appendix G: The Brownian bridge: alternative derivation 329
Appendix H: Brownian motion: more results 333
H.I Some results concerning Brownian motion 333
H.2 Proof of Eq. (H.I.2) 334
H.3 Proof of Eq. (H.1.4) 335
H.4 Proof of Eq. (H.1.5) 335
H.5 Proof of Eq. (H.1.6) 335
H.6 Proof of Eq. (H.I.7) 338
H.7 Proof of Eq. (H.I.8) 338
H.8 Proof of Eq. (H.I.9) 338
H.9 Proof of Eq. (H.I.10) 339
la 341
343
343
344
345
346
346
347
348
350
350
352
354
355
Index 361
Appendix I: The : Feynman-Kac fc
Appendix J: Answers to problems
J-l Problem 1
J-2 Problem 2
J-3 Problem 3
J-4 Problem 4
J-5 Problem 5
J.6 Problem 6
J-7 Problem 7
J-8 Problem 8
J-9 Problem 9
J.io Problem 10
J-11 Problem 11
References |
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| illustrated | Illustrated |
| index_date | 2024-07-02T21:50:19Z |
| indexdate | 2024-07-09T21:20:38Z |
| institution | BVB |
| isbn | 9780750669191 0750669195 |
| language | English |
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| physical | XII, 370 S. Ill., graph. Darst. 24 cm |
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| series2 | Quantitative finance series |
| spelling | Levy, George Verfasser aut Computational finance using C and C# George Levy Computational finance using C and C sharp Amsterdam [u.a.] Elsevier 2008 XII, 370 S. Ill., graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier Quantitative finance series Includes bibliographical references (p. [355]-360) and index Finance / Mathematical models Finances / Modèles mathématiques Finances - Modèles mathématiques Mathematisches Modell Finance Mathematical models C sharp (DE-588)4616843-6 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf C Programmiersprache (DE-588)4113195-2 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s C Programmiersprache (DE-588)4113195-2 s C sharp (DE-588)4616843-6 s b DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016701362&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Levy, George Computational finance using C and C# Finance / Mathematical models Finances / Modèles mathématiques Finances - Modèles mathématiques Mathematisches Modell Finance Mathematical models C sharp (DE-588)4616843-6 gnd Finanzmathematik (DE-588)4017195-4 gnd C Programmiersprache (DE-588)4113195-2 gnd |
| subject_GND | (DE-588)4616843-6 (DE-588)4017195-4 (DE-588)4113195-2 |
| title | Computational finance using C and C# |
| title_alt | Computational finance using C and C sharp |
| title_auth | Computational finance using C and C# |
| title_exact_search | Computational finance using C and C# |
| title_exact_search_txtP | Computational finance using C and C# |
| title_full | Computational finance using C and C# George Levy |
| title_fullStr | Computational finance using C and C# George Levy |
| title_full_unstemmed | Computational finance using C and C# George Levy |
| title_short | Computational finance using C and C# |
| title_sort | computational finance using c and c |
| topic | Finance / Mathematical models Finances / Modèles mathématiques Finances - Modèles mathématiques Mathematisches Modell Finance Mathematical models C sharp (DE-588)4616843-6 gnd Finanzmathematik (DE-588)4017195-4 gnd C Programmiersprache (DE-588)4113195-2 gnd |
| topic_facet | Finance / Mathematical models Finances / Modèles mathématiques Finances - Modèles mathématiques Mathematisches Modell Finance Mathematical models C sharp Finanzmathematik C Programmiersprache |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016701362&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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