We are currently upgrading our print fulfillment systems. Print book orders placed between Sept 22 and Oct 9 will be delayed. Delivery of these orders will start on Oct 10, with purchases being fulfilled in the order received. Buy the Print and get eBook immediately for FREE. Use Code BOGO. Or save up to 40% on all orders with code: DELTA. Exclusions apply. Click here for terms and conditions.
»
Computational Finance
 
 

Computational Finance, 1st Edition

Numerical Methods for Pricing Financial Instruments

 
Computational Finance, 1st Edition,George Levy,ISBN9780750657228
 
 
 

  

Butterworth-Heinemann

9780750657228

9780080472270

456

234 X 165

The book covers financial engineering with an emphasis on computational/numerical methods and software development

Print Book + eBook

USD 198.00
USD 330.00

Buy both together and save 40%

Print Book

Hardcover

In Stock

Estimated Delivery Time
USD 165.00

eBook
eBook Overview

DRM Free included formats: PDF

USD 165.00
Add to Cart
 
 

Key Features

* 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

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.

Additional features such as: working computer code, demonstration applications and also pdf versions of several research articles can be found on the companion site.

Readership

Financial Analysts; Financial Engineers; Numerical Analysts; Investment Portfolio Managers; MATLAB Users in Investment Banking, Commercial Banking, Insurance, and Corporate Finance; MSc courses in Computational Finance

George Levy

DPhil, University of Oxford

George Levy has a doctorate in mathematical physics from Oxford University. For 11 years he worked at the Numerical Algorithms Group NAG, developing mathematical and financial software. Currently he works as a consultant at SunGard developing software for estimating financial risk. He has provided technical consultancy to numerous financial institutions, and has published articles on numerical modelling, mathematical finance and software engineering. He is the author of Computational Finance: Numerical Methods for Pricing Financial Derivatives. His current interests include Monte Carlo simulation, derivative valuation techniques, and Microsoft technologies.

Affiliations and Expertise

A Senior Project Consultant developing software for estimating financial risk at SunGard Systems, UK, George Levy has a doctorate in mathematical physics from Oxford University. For 11 years he worked at the Numerical Algorithms Group (NAG), developing mathematical and financial software.

View additional works by George Levy

Computational Finance, 1st Edition

Using Numerical Software Components with Microsoft Windows: Introduction; Dynamic Link Libraries (DLLs); ActiveX and COM; A financial derivative pricing example; ActiveX components and numerical optimization; XML and transformation using XSL; Epilogue; Pricing Assets: Introduction; Analytical methods and single asset European options; Numeric methods and single asset American options; Monte Carlo simulation; Multiasset European and American options; Dealing with missing data; Financial Econometrics: Introduction; GARCH models; Nonlinear GARCH; GARCH conditional probability distributions; Maximum likelihood parameter estimation; Analytic derivatives of the log likelihood; GJR-GARCH algorithms; GARCH software; GARCH process identification; Multivariate time series; Appendices.

Quotes and reviews

…there are a number of books that describe the numerical methods available for solving the resultant equations in each of these areas. But the final step of coding the numerical models in a suitable environment has not, up to this point, been particularly well covered. Until now. My next choice, Computational Finance: Numerical Methods for Pricing Financial Instruments, written by George Levy and published by Elsevier Butterworth Heinemann as part of the Elsevier finance series, does precisely that. It also includes a [companion site] full of code and examples in environments including Visual Basic in Excel, C, C++, as well as more advanced environments such as HTML, XML, Delphi and C#.net. This is the first in what I expect will become a growing area, which may mean that financial engineering coders will finally be able to throw out their old copies of Numerical Recipes. One of the Top Ten financial engineering titles published in 2003-2004 - Richard Norgate, Ph.D., Financial Engineering News
 
 
Shop with Confidence

Free Shipping around the world
▪ Broad range of products
▪ 30 days return policy
FAQ