Numerical Methods for Pricing Financial Instruments
By (author) George Levy
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Computational Finance by George Levy
Book DescriptionComputational 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. Additional features such as: working computer code, demonstration applications and also pdf versions of several research articles can be found on the companion site. * 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 * Includes companion site
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Book DetailsISBN: 9780750657228
(234mm x 165mm x 29mm)
Imprint: Butterworth-Heinemann Ltd
Publisher: Elsevier Science & Technology
Publish Date: 17-Dec-2003
Country of Publication: United Kingdom
Books By Author George Levy
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Computational Finance Using C and C#, Hardback (June 2008)
Raises computational finance to the next level using the languages of standard C and C#. This book provides derivatives pricing information for: equity derivatives - vanilla options, quantos, generic equity basket options; interest rate derivatives - FRAs, swaps, quantos; and foreign exchange derivatives - FX forwards and FX options.
Computational Finance, Hardback (June 2008)View all books by George Levy
Contains two books on computational finance: "Computational Finance" that presents a modern computational approach to mathematical finance within the Windows environment; and, "Computational Finance Using C and C#" that Levy raises computational finance to the next level using the languages of both standard C and C#.
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Author Biography - George Levy
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.
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