Computational Finance ：Numerical Methods for Pricing Financial Instruments ( Quantitative Finance )

Publication subTitle ：Numerical Methods for Pricing Financial Instruments

Publication series ：Quantitative Finance

Author： Levy   George  

Publisher： Elsevier Science‎

Publication year： 2003

E-ISBN: 9780080472270

P-ISBN(Paperback): 9780750657228

P-ISBN(Hardback):  9780750657228

Subject： F8 Finances;TP3 Computers

Language： ENG

Access to resources Favorite

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Description

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

Chapter

Cover

pp.：  1 – 8

Contents

pp.：  8 – 14

Preface

pp.：  14 – 16

Part I: Using Numerical Software Components within Microsoft Windows

pp.：  16 – 90

Part II: Pricing Assets

pp.：  90 – 300

Part III: Financial Econometrics

pp.：  300 – 390

Appendices

pp.：  390 – 392

Appendix A: Computer Code for Part I

pp.：  392 – 394

Appendix B: Some More Option Pricing Formulae

pp.：  394 – 396

Appendix C: Derivation of the Greeks for Vanilla European Options

pp.：  396 – 401

Appendix D: Multiasset Binomial Lattices

pp.：  401 – 408

Appendix E: Derivation of the Conditional Mean and Covariance for a Multivariate Normal Distribution

pp.：  408 – 410

Appendix F: Standard Statistical Results

pp.：  410 – 418

Appendix G: Derivation of Barrier Option Integrals

pp.：  418 – 425

Appendix H: Algorithms for an AGARCH-I Process

pp.：  425 – 432

Appendix I: The General Error Distribution

pp.：  432 – 435

Appendix J: The Student's t Distribution

pp.：  435 – 438

Appendix K: Mathematical Reference

pp.：  438 – 441

Appendix L: The Stability of the Black-Scholes Finite-Difference Schemes

pp.：  441 – 443

Glossary of Terms

pp.：  443 – 445

Computer Reading List

pp.：  445 – 447

Mathematics and Finance References

pp.：  447 – 454

Index

pp.：  454 – 460

The users who browse this book also browse


No browse record.