Computational Finance Using C and C# (Quantitative Finance) (Quantitative Finance) | 
 enlarge | Author: George Levy
Publisher: Academic Press
Category: Book
List Price: $89.95
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Avg. Customer Rating:  1 reviews
Sales Rank: 71933
Media: Hardcover
Edition: Har/Pas
Number Of Items: 1
Pages: 384
Shipping Weight (lbs): 1.7
Dimensions (in): 9.1 x 6.1 x 1.5
ISBN: 0750669195
Dewey Decimal Number: 332.02855133
EAN: 9780750669191
ASIN: 0750669195
Publication Date: May 9, 2008
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Product Description
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 firms 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 Levys 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.
* 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.
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| Customer Reviews:
Definitely worth a look August 8, 2008
1 out of 2 found this review helpful
This book has to be more densely populated with formulas than any I have read before - it reads like Cliffs Notes of a mathematical finance book. The C/C# component is less interesting; I have not examined the included CD, but code excerpts in the book were matrix computations that could be implemented in any other language, and were presented just OK. Think of Paul Wilmott meeting Justin London, and wonder how Levy's book stacks up against the combo of theirs, and against Levy's own 'Computational finance'. (I don't know the answer, and don't want to penalize the book with a less-than-five-stars rating).
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