Computational Finance Using C and C#

Computational Finance Using C and C#

Derivatives and Valuation

Levy, George (Senior Project Consultant developing software for estimating financial risk, SunGard Systems, UK)

Elsevier Science Publishing Co Inc

06/2016

388

Dura

Inglês

9780128035795

15 a 20 dias

Descrição não disponível.
1. Overview of financial derivatives 2. Introduction to stochastic processes 3. Generation of random variates 4. European Options 5. Single asset American options 6. Multi-asset options 7. Other Financial Derivatives 8. C# Portfolio Pricing Application 9. A Brief History of Finance Appendix A. The Greeks for vanilla 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 Appendix G. The Brownian Bridge: alternative derivation Appendix H. Brownian motion: more results Appendix I. Feynman-Kac formula
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