Computational finance using C and C#

Computational finance using C and C#

by Levy, George

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Title Statements

  • Full title :Computational finance using C and C# / George Levy.

Edition Statements

  • Publication Date:©2016
  • Edition:2nd ed

Publication Statements

  • Publisher(s):Academic Press
  • Place of Publication:Amsterdam, [Netherlands]
  • Language:eng
  • Publication Date:©2016

Notes

Description based upon print version of record.

6.5.1 European Exchange Options

The Physical Object

  • Description:1 online resource (391 p.).

Edition Identifiers

  • ISBN:0128035765, 9780128035764, 012803579X, 9780128035795
  • oclc:on1113755269
  • LC Classification:HG106
  • Dewey Decimal:332.1

Table of Contents

Front Cover; Computational Finance Using C and C#; Copyright; Table of Contents; Preface; 1 Overview of Financial Derivatives; 2 Introduction to Stochastic Processes; 2.1 Brownian Motion; 2.2 A Brownian Model of Asset Price Movements; 2.3 Ito's Formula (or Lemma); 2.4 Girsanov's Theorem; 2.5 Ito's Lemma for Multi-Asset GBM; 2.6 Ito Product and Quotient Rules in Two Dimensions; 2.6.1 Ito Product Rule; 2.6.2 Ito Quotient Rule; 2.7 Ito Product in n Dimensions; 2.8 The Brownian Bridge; 2.9 Time Transformed Brownian Motion; 2.9.1 Scaled Brownian Motion; 2.9.2 Mean Reverting Process

2.10 Ornstein Uhlenbeck Process2.11 The Ornstein Uhlenbeck Bridge; 2.12 Other Useful Results; 2.12.1 Fubini's Theorem; 2.12.2 Ito's Isometry; 2.12.3 Expectation of a Stochastic Integral; 2.13 Selected Exercises; 3 Generation of Random Variates; 3.1 Introduction; 3.2 Pseudo-Random and Quasi-Random Sequences; 3.3 Generation of Multivariate Distributions: Independent Variates; 3.3.1 Normal Distribution; 3.3.2 Lognormal Distribution; 3.3.3 Student's t-Distribution; 3.4 Generation of Multivariate Distributions: Correlated Variates; 3.4.1 Estimation of Correlation and Covariance

3.4.2 Repairing Correlation and C…

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Subjects

Finance -- mathematical models Finances -- Modèles mathématiques Financial Engineering Ingénierie financière

Writers

Levy, George

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