Computational finance :: numerical methods for pricing financial instruments /
Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book."--D.j
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Oxford ; Boston :
Elsevier Butterworth-Heinemann,
2004.
|
| Schriftenreihe: | Quantitative finance series.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book."--D.j |
| Beschreibung: | Series statement from dust cover. |
| Beschreibung: | 1 online resource (xiv, 443 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 432-438) and index. |
| ISBN: | 9780080472270 0080472273 1280966491 9781280966491 9786610966493 6610966494 |
Internformat
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| 260 | |a Oxford ; |a Boston : |b Elsevier Butterworth-Heinemann, |c 2004. | ||
| 300 | |a 1 online resource (xiv, 443 pages) : |b illustrations | ||
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| 490 | 1 | |a Quantitative finance series | |
| 500 | |a Series statement from dust cover. | ||
| 504 | |a Includes bibliographical references (pages 432-438) and index. | ||
| 520 | |a Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book."--D.j | ||
| 505 | 0 | |a Cover -- Contents -- Preface -- Part I: Using Numerical Software Components within Microsoft Windows -- Chapter 1: Introduction -- Chapter 2: Dynamic Link Libraries (DLLs) -- 2.1 Visual Basic and Excel VBA -- 2.2 VB.NET -- 2.3 C♯ -- Chapter 3: ActiveX and COM -- 3.1 Introduction -- 3.2 The COM interface IDispatch -- 3.3 Type libraries -- 3.4 Using IDispatch -- 3.5 ActiveX controls and the Internet -- 3.6 Using ActiveX components on a Web page -- Chapter 4: A Financial Derivative Pricing Example -- 4.1 Interactive user-interface -- 4.2 Language user-interface -- 4.3 Use within Delphi -- Chapter 5: ActiveX Components and Numerical Optimization -- 5.1 Ray tracing example -- 5.2 Portfolio allocation example -- 5.3 Numerical optimization within Microsoft Excel -- Chapter 6: XML and Transformation Using XSL -- 6.1 Introduction -- 6.2 XML -- 6.3 XML schema -- 6.4 XSL -- 6.5 Stock market data example -- Chapter 7: Epilogue -- 7.1 Wrapping C with Cþþ for OO numerics in .NET -- 7.2 Final remarks -- Part II: Pricing Assets -- Chapter 8: Introduction -- 8.1 An introduction to options and derivatives -- 8.2 Brownian motion -- 8.3 A Brownian model of asset price movements -- 8.4 Ito's lemma in one dimension -- 8.5 Ito's lemma in many dimensions -- Chapter 9: Analytic Methods and Single Asset European Options -- 9.1 Introduction -- 9.2 Put-call parity -- 9.3 Vanilla options and the Black-Scholes model -- 9.4 Barrier options -- Chapter 10: Numeric Methods and Single Asset American Options -- 10.1 Introduction -- 10.2 Perpetual options -- 10.3 Approximations for vanilla American options -- 10.4 Lattice methods for vanilla options -- 10.5 Implied lattice methods -- 10.6 Grid methods for vanilla options -- 10.7 Pricing American options using a stochastic lattice -- Chapter 11: Monte Carlo Simulation -- 11.1 Introduction -- 11.2 Pseudorandomand quasirandomsequenc es -- 11.3 Generation of multivariate distributions: independent variates -- 11.4 Generation of multivariate distributions: correlated variates -- Chapter 12: Multiasset European and American Options -- 12.1 Introduction -- 12.2 The multiasset Black-Scholes equation -- 12.3 Multidimensional Monte Carlo methods -- 12.4 Multidimensional lattice methods -- 12.5 Two asset options -- 12.6 Three asset options -- 12.7 Four asset options -- Chapter 13: Dealing with Missing Data -- 13.1 Introduction -- 13.2 Iterative multiple linear regression, MREG -- 13.3 The EM algorithm -- Part III: Financial Econometrics -- Chapter 14: Introduction -- 14.1 Asset returns -- 14.2 Nonsynchronous trading -- 14.3 Bid-ask spread -- 14.4 Models of volatility -- 14.5 Stochastic autoregressive volatility, ARV -- 14.6 Generalized hyperbolic Levy motion -- Chapter 15: GARCH Models -- 15.1 Box Jenkins models -- 15.2 Gaussian Linear GARCH -- 15.3 The IGARCH model -- 15.4 The GARCH-M model -- 15.5 Regression-GARCH and. | |
| 588 | 0 | |a Print version record. | |
| 546 | |a English. | ||
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Datensatz im Suchindex
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| contents | Cover -- Contents -- Preface -- Part I: Using Numerical Software Components within Microsoft Windows -- Chapter 1: Introduction -- Chapter 2: Dynamic Link Libraries (DLLs) -- 2.1 Visual Basic and Excel VBA -- 2.2 VB.NET -- 2.3 C♯ -- Chapter 3: ActiveX and COM -- 3.1 Introduction -- 3.2 The COM interface IDispatch -- 3.3 Type libraries -- 3.4 Using IDispatch -- 3.5 ActiveX controls and the Internet -- 3.6 Using ActiveX components on a Web page -- Chapter 4: A Financial Derivative Pricing Example -- 4.1 Interactive user-interface -- 4.2 Language user-interface -- 4.3 Use within Delphi -- Chapter 5: ActiveX Components and Numerical Optimization -- 5.1 Ray tracing example -- 5.2 Portfolio allocation example -- 5.3 Numerical optimization within Microsoft Excel -- Chapter 6: XML and Transformation Using XSL -- 6.1 Introduction -- 6.2 XML -- 6.3 XML schema -- 6.4 XSL -- 6.5 Stock market data example -- Chapter 7: Epilogue -- 7.1 Wrapping C with Cþþ for OO numerics in .NET -- 7.2 Final remarks -- Part II: Pricing Assets -- Chapter 8: Introduction -- 8.1 An introduction to options and derivatives -- 8.2 Brownian motion -- 8.3 A Brownian model of asset price movements -- 8.4 Ito's lemma in one dimension -- 8.5 Ito's lemma in many dimensions -- Chapter 9: Analytic Methods and Single Asset European Options -- 9.1 Introduction -- 9.2 Put-call parity -- 9.3 Vanilla options and the Black-Scholes model -- 9.4 Barrier options -- Chapter 10: Numeric Methods and Single Asset American Options -- 10.1 Introduction -- 10.2 Perpetual options -- 10.3 Approximations for vanilla American options -- 10.4 Lattice methods for vanilla options -- 10.5 Implied lattice methods -- 10.6 Grid methods for vanilla options -- 10.7 Pricing American options using a stochastic lattice -- Chapter 11: Monte Carlo Simulation -- 11.1 Introduction -- 11.2 Pseudorandomand quasirandomsequenc es -- 11.3 Generation of multivariate distributions: independent variates -- 11.4 Generation of multivariate distributions: correlated variates -- Chapter 12: Multiasset European and American Options -- 12.1 Introduction -- 12.2 The multiasset Black-Scholes equation -- 12.3 Multidimensional Monte Carlo methods -- 12.4 Multidimensional lattice methods -- 12.5 Two asset options -- 12.6 Three asset options -- 12.7 Four asset options -- Chapter 13: Dealing with Missing Data -- 13.1 Introduction -- 13.2 Iterative multiple linear regression, MREG -- 13.3 The EM algorithm -- Part III: Financial Econometrics -- Chapter 14: Introduction -- 14.1 Asset returns -- 14.2 Nonsynchronous trading -- 14.3 Bid-ask spread -- 14.4 Models of volatility -- 14.5 Stochastic autoregressive volatility, ARV -- 14.6 Generalized hyperbolic Levy motion -- Chapter 15: GARCH Models -- 15.1 Box Jenkins models -- 15.2 Gaussian Linear GARCH -- 15.3 The IGARCH model -- 15.4 The GARCH-M model -- 15.5 Regression-GARCH and. |
| ctrlnum | (OCoLC)123912142 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/5197 |
| dewey-search | 332.01/5197 |
| dewey-sort | 3332.01 45197 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBA-ocn123912142 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:16:02Z |
| institution | BVB |
| isbn | 9780080472270 0080472273 1280966491 9781280966491 9786610966493 6610966494 |
| language | English |
| oclc_num | 123912142 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xiv, 443 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Elsevier Butterworth-Heinemann, |
| record_format | marc |
| series | Quantitative finance series. |
| series2 | Quantitative finance series |
| spelling | Levy, George. Computational finance : numerical methods for pricing financial instruments / George Levy. Oxford ; Boston : Elsevier Butterworth-Heinemann, 2004. 1 online resource (xiv, 443 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Quantitative finance series Series statement from dust cover. Includes bibliographical references (pages 432-438) and index. Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book."--D.j Cover -- Contents -- Preface -- Part I: Using Numerical Software Components within Microsoft Windows -- Chapter 1: Introduction -- Chapter 2: Dynamic Link Libraries (DLLs) -- 2.1 Visual Basic and Excel VBA -- 2.2 VB.NET -- 2.3 C♯ -- Chapter 3: ActiveX and COM -- 3.1 Introduction -- 3.2 The COM interface IDispatch -- 3.3 Type libraries -- 3.4 Using IDispatch -- 3.5 ActiveX controls and the Internet -- 3.6 Using ActiveX components on a Web page -- Chapter 4: A Financial Derivative Pricing Example -- 4.1 Interactive user-interface -- 4.2 Language user-interface -- 4.3 Use within Delphi -- Chapter 5: ActiveX Components and Numerical Optimization -- 5.1 Ray tracing example -- 5.2 Portfolio allocation example -- 5.3 Numerical optimization within Microsoft Excel -- Chapter 6: XML and Transformation Using XSL -- 6.1 Introduction -- 6.2 XML -- 6.3 XML schema -- 6.4 XSL -- 6.5 Stock market data example -- Chapter 7: Epilogue -- 7.1 Wrapping C with Cþþ for OO numerics in .NET -- 7.2 Final remarks -- Part II: Pricing Assets -- Chapter 8: Introduction -- 8.1 An introduction to options and derivatives -- 8.2 Brownian motion -- 8.3 A Brownian model of asset price movements -- 8.4 Ito's lemma in one dimension -- 8.5 Ito's lemma in many dimensions -- Chapter 9: Analytic Methods and Single Asset European Options -- 9.1 Introduction -- 9.2 Put-call parity -- 9.3 Vanilla options and the Black-Scholes model -- 9.4 Barrier options -- Chapter 10: Numeric Methods and Single Asset American Options -- 10.1 Introduction -- 10.2 Perpetual options -- 10.3 Approximations for vanilla American options -- 10.4 Lattice methods for vanilla options -- 10.5 Implied lattice methods -- 10.6 Grid methods for vanilla options -- 10.7 Pricing American options using a stochastic lattice -- Chapter 11: Monte Carlo Simulation -- 11.1 Introduction -- 11.2 Pseudorandomand quasirandomsequenc es -- 11.3 Generation of multivariate distributions: independent variates -- 11.4 Generation of multivariate distributions: correlated variates -- Chapter 12: Multiasset European and American Options -- 12.1 Introduction -- 12.2 The multiasset Black-Scholes equation -- 12.3 Multidimensional Monte Carlo methods -- 12.4 Multidimensional lattice methods -- 12.5 Two asset options -- 12.6 Three asset options -- 12.7 Four asset options -- Chapter 13: Dealing with Missing Data -- 13.1 Introduction -- 13.2 Iterative multiple linear regression, MREG -- 13.3 The EM algorithm -- Part III: Financial Econometrics -- Chapter 14: Introduction -- 14.1 Asset returns -- 14.2 Nonsynchronous trading -- 14.3 Bid-ask spread -- 14.4 Models of volatility -- 14.5 Stochastic autoregressive volatility, ARV -- 14.6 Generalized hyperbolic Levy motion -- Chapter 15: GARCH Models -- 15.1 Box Jenkins models -- 15.2 Gaussian Linear GARCH -- 15.3 The IGARCH model -- 15.4 The GARCH-M model -- 15.5 Regression-GARCH and. Print version record. English. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finance Data processing. http://id.loc.gov/authorities/subjects/sh2020000036 Finance Computer programs. http://id.loc.gov/authorities/subjects/sh85048258 Finances Modèles mathématiques. Finances Informatique. Finances Logiciels. BUSINESS & ECONOMICS Finance. bisacsh Finance Computer programs fast Finance Data processing fast Finance Mathematical models fast Financieel management. gtt Numerieke methoden. gtt Finanças (modelos matemáticos) larpcal Finanças (processamento de dados) larpcal has work: Computational Finance (Text) https://id.oclc.org/worldcat/entity/E39PD3qtYtfFbqDhM8M9KP7pMX https://id.oclc.org/worldcat/ontology/hasWork Print version: Levy, George. Computational finance. Oxford ; Boston : Elsevier Butterworth-Heinemann, 2004 0750657227 9780750657228 (DLC) 2005357181 (OCoLC)54942382 Quantitative finance series. http://id.loc.gov/authorities/names/no2001010280 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=104697 Volltext |
| spellingShingle | Levy, George Computational finance : numerical methods for pricing financial instruments / Quantitative finance series. Cover -- Contents -- Preface -- Part I: Using Numerical Software Components within Microsoft Windows -- Chapter 1: Introduction -- Chapter 2: Dynamic Link Libraries (DLLs) -- 2.1 Visual Basic and Excel VBA -- 2.2 VB.NET -- 2.3 C♯ -- Chapter 3: ActiveX and COM -- 3.1 Introduction -- 3.2 The COM interface IDispatch -- 3.3 Type libraries -- 3.4 Using IDispatch -- 3.5 ActiveX controls and the Internet -- 3.6 Using ActiveX components on a Web page -- Chapter 4: A Financial Derivative Pricing Example -- 4.1 Interactive user-interface -- 4.2 Language user-interface -- 4.3 Use within Delphi -- Chapter 5: ActiveX Components and Numerical Optimization -- 5.1 Ray tracing example -- 5.2 Portfolio allocation example -- 5.3 Numerical optimization within Microsoft Excel -- Chapter 6: XML and Transformation Using XSL -- 6.1 Introduction -- 6.2 XML -- 6.3 XML schema -- 6.4 XSL -- 6.5 Stock market data example -- Chapter 7: Epilogue -- 7.1 Wrapping C with Cþþ for OO numerics in .NET -- 7.2 Final remarks -- Part II: Pricing Assets -- Chapter 8: Introduction -- 8.1 An introduction to options and derivatives -- 8.2 Brownian motion -- 8.3 A Brownian model of asset price movements -- 8.4 Ito's lemma in one dimension -- 8.5 Ito's lemma in many dimensions -- Chapter 9: Analytic Methods and Single Asset European Options -- 9.1 Introduction -- 9.2 Put-call parity -- 9.3 Vanilla options and the Black-Scholes model -- 9.4 Barrier options -- Chapter 10: Numeric Methods and Single Asset American Options -- 10.1 Introduction -- 10.2 Perpetual options -- 10.3 Approximations for vanilla American options -- 10.4 Lattice methods for vanilla options -- 10.5 Implied lattice methods -- 10.6 Grid methods for vanilla options -- 10.7 Pricing American options using a stochastic lattice -- Chapter 11: Monte Carlo Simulation -- 11.1 Introduction -- 11.2 Pseudorandomand quasirandomsequenc es -- 11.3 Generation of multivariate distributions: independent variates -- 11.4 Generation of multivariate distributions: correlated variates -- Chapter 12: Multiasset European and American Options -- 12.1 Introduction -- 12.2 The multiasset Black-Scholes equation -- 12.3 Multidimensional Monte Carlo methods -- 12.4 Multidimensional lattice methods -- 12.5 Two asset options -- 12.6 Three asset options -- 12.7 Four asset options -- Chapter 13: Dealing with Missing Data -- 13.1 Introduction -- 13.2 Iterative multiple linear regression, MREG -- 13.3 The EM algorithm -- Part III: Financial Econometrics -- Chapter 14: Introduction -- 14.1 Asset returns -- 14.2 Nonsynchronous trading -- 14.3 Bid-ask spread -- 14.4 Models of volatility -- 14.5 Stochastic autoregressive volatility, ARV -- 14.6 Generalized hyperbolic Levy motion -- Chapter 15: GARCH Models -- 15.1 Box Jenkins models -- 15.2 Gaussian Linear GARCH -- 15.3 The IGARCH model -- 15.4 The GARCH-M model -- 15.5 Regression-GARCH and. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finance Data processing. http://id.loc.gov/authorities/subjects/sh2020000036 Finance Computer programs. http://id.loc.gov/authorities/subjects/sh85048258 Finances Modèles mathématiques. Finances Informatique. Finances Logiciels. BUSINESS & ECONOMICS Finance. bisacsh Finance Computer programs fast Finance Data processing fast Finance Mathematical models fast Financieel management. gtt Numerieke methoden. gtt Finanças (modelos matemáticos) larpcal Finanças (processamento de dados) larpcal |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85048260 http://id.loc.gov/authorities/subjects/sh2020000036 http://id.loc.gov/authorities/subjects/sh85048258 |
| title | Computational finance : numerical methods for pricing financial instruments / |
| title_auth | Computational finance : numerical methods for pricing financial instruments / |
| title_exact_search | Computational finance : numerical methods for pricing financial instruments / |
| title_full | Computational finance : numerical methods for pricing financial instruments / George Levy. |
| title_fullStr | Computational finance : numerical methods for pricing financial instruments / George Levy. |
| title_full_unstemmed | Computational finance : numerical methods for pricing financial instruments / George Levy. |
| title_short | Computational finance : |
| title_sort | computational finance numerical methods for pricing financial instruments |
| title_sub | numerical methods for pricing financial instruments / |
| topic | Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finance Data processing. http://id.loc.gov/authorities/subjects/sh2020000036 Finance Computer programs. http://id.loc.gov/authorities/subjects/sh85048258 Finances Modèles mathématiques. Finances Informatique. Finances Logiciels. BUSINESS & ECONOMICS Finance. bisacsh Finance Computer programs fast Finance Data processing fast Finance Mathematical models fast Financieel management. gtt Numerieke methoden. gtt Finanças (modelos matemáticos) larpcal Finanças (processamento de dados) larpcal |
| topic_facet | Finance Mathematical models. Finance Data processing. Finance Computer programs. Finances Modèles mathématiques. Finances Informatique. Finances Logiciels. BUSINESS & ECONOMICS Finance. Finance Computer programs Finance Data processing Finance Mathematical models Financieel management. Numerieke methoden. Finanças (modelos matemáticos) Finanças (processamento de dados) |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=104697 |
| work_keys_str_mv | AT levygeorge computationalfinancenumericalmethodsforpricingfinancialinstruments |