By George Levy
Computational Finance utilizing C and C# increases computational finance to the following point utilizing the languages of either normal C and C#. The inclusion of either those languages permits readers to check their use of the ebook to their firm’s inner software program and code specifications. The ebook additionally presents derivatives pricing info for fairness derivates (vanilla techniques, quantos, well-known fairness basket options); rate of interest derivatives (FRAs, swaps, quantos); foreign currency echange derivatives (FX forwards, FX options); and credits derivatives (credit default swaps, defaultable bonds, overall go back swaps).
This e-book is prepared into eight chapters, starting with an summary of monetary derivatives by means of an advent to stochastic approaches. The dialogue then shifts to new release of random variates; eu strategies; unmarried asset American strategies; multi-asset thoughts; different monetary derivatives; and C# portfolio pricing software. The textual content is supported through a multi-tier site which permits buyers of the ebook to obtain unfastened software program, along with executable documents, configuration documents, and effects records. With those documents the consumer can run the C# portfolio pricing program and alter the portfolio composition and the attributes of the deals.
This e-book should be of curiosity to monetary engineers and analysts in addition to numerical analysts in banking, assurance, and company finance.
- Illustrates using C# layout styles, together with dictionaries, summary periods, and .NET InteropServices.
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Computational Finance Using C and C# (Quantitative Finance) by George Levy