Computational Finance Using C and C#

Computational Finance Using C and C#, 1st Edition

Computational Finance Using C and C#, 1st Edition,George Levy,ISBN9780750669191


Academic Press

9780750669191 New edition

9780080878072 New edition


229 X 152

The latest on numerical optimization of portfolios and financial instrument pricing using both standard C and C# code

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Key Features

* Complete financial instrument pricing code in standard C and C# available to book buyers on companion website
* Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.


In Computational Finance Using C and C# George Levy raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firm’s internal software and code requirements. Levy also provides derivatives pricing information for:
— equity derivates: vanilla options, quantos, generic equity basket options
— interest rate derivatives: FRAs, swaps, quantos
— foreign exchange derivatives: FX forwards, FX options
— credit derivatives: credit default swaps, defaultable bonds, total return swaps.

Computational Finance Using C and C# by George Levy is supported by extensive web resources. Available for purchase on the multi-tier website are e versions of this book and Levy’s first book, Computational Finance: Numerical Methods for Pricing Financial Derivatives. Purchasers of the print or e-book can download free software consisting of executable files, configuration files, and results files. With these files the user can run the example portfolio application in Chapter 8 and change the portfolio composition and the attributes of the deals.

In addition, Upgrade Software is available on the website for a small fee, and includes:
• Code to run all the C, C# and Excel examples in the book
• Complete C source code for the Analytics_Mathlib maths library that is used in the book
• C# source code, market data and portfolio files for the portfolio application described in Chapter 8

All the C/C# software can be compiled using either Visual Studio .NET 2005, or the freely available Microsoft Visual C#/C++ 2005 Express Editions.

With this software, the user can open the files and create new deals, new instruments, and change the attributes of the deals by editing the code and recompiling it. This serves as a template that a user can run to customize the deals for their personal, everyday use.


Financial Engineers and Analysts; Numerical Analysts in Banking, Insurance, and Corporate Finance

George Levy

DPhil, University of Oxford

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.

Affiliations and Expertise

Senior Project Consultant developing software for estimating financial risk, SunGard Systems, UK

View additional works by George Levy

Computational Finance Using C and C#, 1st Edition


Chp. 1 Overview of Financial Derivatives
Chp. 2 Introduction to Stochastic Processes
2.1 Brownian Motion
2.2 A Brownian Model of Asset Price Movements
2.3 Itos's Formula (or lemma)
2.4 Girsanov's Theorem
2.5 Ito's Lemma for Multi-asset Geometric Brownian Motion
2.6 Ito Product and Quotient Rules
2.7 Ito Product in n Dimensions
2.8 The Brownian Bridge
2.9 Time Transformed Brownian Motion
2.10 Ornstein Uhlenbeck Bridge
2.11 The Ornstein Uhlenbeck Bridge
2.12 Other Useful Results
2.13 Selected Problems
Chp. 3 Generation of Random Variates
3.1 Introduction
3.2 Pseudo-random and Quasi-random Sequences
3.3 Generation of Multivariate Distributions: independent variates
3.4 Generation of Multivariate Distributions: Correlated Variates
Chp. 4 European Options
4.1 Introduction
4.2 Pricing Derivatives Using A Martingale Measure
4.3 Put Call Parity
4.4 Vanilla Options and the Black Scholes Model
4.5 Barrier Options
Chp. 5 Single Asset American Options
5.1 Introduction
5.2 Aproximations for Vanilla American Options
5.3 Lattice Methods for Vanilla Options
5.4 Grid Methods for Vanilla Options
5.5 Pricing American Options Using A Sthochastic Lattice
Chp. 6 Multi-Asset Options
6.1 Introduction
6.2 The Multi-Asset Black Scholes Equation
6.3 Multi-dimenssional Monte Carlo Methods
6.4 Introduction to Multi-dimenssional Lattice Methods
6.5 Two Asset Options
6.6 Three Asset Options
6.7 Four Asset Options
Chp. 7 Other Financial Derivatives
7.1 Introduction
7.2 Interest Rate Derivatives
7.3 Foreign Exchange Derivatives
7.4 Credit Derivatives
7.5 Equity Derivatives
Chp. 8 C# Portfolio Pricing Application
8.1 Introduction
8.2 Storing and Retrieving the Market Data
8.3 The PricingUtils Class and the Analytics_MathLib
8.4 Equity Deal Classes
8.5 FX Deal Classes
Appendix A: The Greeks for Vanila European Options
Appendix B: Barrier Option Integrals
Appendix C: Standard Statistical Results
Appendix D: Statistical Distribution Functions
Appendix E: Mathematical Reference
Appendix F: Black-Scholes Finite-Difference Schemes

Quotes and reviews

“Think of Baxter and Rennie, add the pricing models from Wilmott and, to illustrate each model, Levy's own Numerical Recipes in C and C#. Levy's book is written in precise mathematical language, covering all types of derivative products and illustrating the state-of-the-art resolution methods for pricing. As such, it is set to become a classic amongst serious quants.”
- Professor Carol Alexander, Chair of Risk Management and Director of Research, ICMA Centre, Business School, The University of Reading, UK
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