Computational Finance : Numerical Methods for Pricing Financial Instruments
George. Levy
Bok Engelsk 2003 · Electronic books.
| Annen tittel | |
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| Utgitt | Burlington : : Elsevier Science, , 2003.
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| Omfang | 1 online resource (459 p.)
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| Opplysninger | Description based upon print version of record.. - Cover; Contents; Preface; Part I: Using Numerical Software Components within Microsoft Windows; Chapter 1: Introduction; Chapter 2: Dynamic Link Libraries (DLLs); 2.1 Visual Basic and Excel VBA; 2.2 VB.NET; 2.3 C#; Chapter 3: ActiveX and COM; 3.1 Introduction; 3.2 The COM interface IDispatch; 3.3 Type libraries; 3.4 Using IDispatch; 3.5 ActiveX controls and the Internet; 3.6 Using ActiveX components on a Web page; Chapter 4: A Financial Derivative Pricing Example; 4.1 Interactive user-interface; 4.2 Language user-interface; 4.3 Use within Delphi. - 11.2 Pseudorandomand quasirandomsequenc es11.3 Generation of multivariate distributions: independent variates; 11.4 Generation of multivariate distributions: correlated variates; Chapter 12: Multiasset European and American Options; 12.1 Introduction; 12.2 The multiasset Black-Scholes equation; 12.3 Multidimensional Monte Carlo methods; 12.4 Multidimensional lattice methods; 12.5 Two asset options; 12.6 Three asset options; 12.7 Four asset options; Chapter 13: Dealing with Missing Data; 13.1 Introduction; 13.2 Iterative multiple linear regression, MREG; 13.3 The EM algorithm. - 17.3 General error distribution. - 8.5 Ito's lemma in many dimensionsChapter 9: Analytic Methods and Single Asset European Options; 9.1 Introduction; 9.2 Put-call parity; 9.3 Vanilla options and the Black-Scholes model; 9.4 Barrier options; Chapter 10: Numeric Methods and Single Asset American Options; 10.1 Introduction; 10.2 Perpetual options; 10.3 Approximations for vanilla American options; 10.4 Lattice methods for vanilla options; 10.5 Implied lattice methods; 10.6 Grid methods for vanilla options; 10.7 Pricing American options using a stochastic lattice; Chapter 11: Monte Carlo Simulation; 11.1 Introduction. - Chapter 5: ActiveX Components and Numerical Optimization5.1 Ray tracing example; 5.2 Portfolio allocation example; 5.3 Numerical optimization within Microsoft Excel; Chapter 6: XML and Transformation Using XSL; 6.1 Introduction; 6.2 XML; 6.3 XML schema; 6.4 XSL; 6.5 Stock market data example; Chapter 7: Epilogue; 7.1 Wrapping C with Cþþ for OO numerics in .NET; 7.2 Final remarks; Part II: Pricing Assets; Chapter 8: Introduction; 8.1 An introduction to options and derivatives; 8.2 Brownian motion; 8.3 A Brownian model of asset price movements; 8.4 Ito's lemma in one dimension. - Part III: Financial EconometricsChapter 14: Introduction; 14.1 Asset returns; 14.2 Nonsynchronous trading; 14.3 Bid-ask spread; 14.4 Models of volatility; 14.5 Stochastic autoregressive volatility, ARV; 14.6 Generalized hyperbolic Levy motion; Chapter 15: GARCH Models; 15.1 Box Jenkins models; 15.2 Gaussian Linear GARCH; 15.3 The IGARCH model; 15.4 The GARCH-M model; 15.5 Regression-GARCH and AR-GARCH; Chapter 16: Nonlinear GARCH; 16.1 AGARCH-I; 16.2 AGARCH-II; 16.3 GJR-GARCH; Chapter 17: GARCH Conditional Probability Distributions; 17.1 Gaussian distribution; 17.2 Student's t distribution. - Computational Finance presents a modern computational approach to mathematical finance within the Windows environment, and contains financial algorithms, mathematical proofs and computer code in C/C++. The author illustrates how numeric components can be developed which allow financial routines to be easily called by the complete range of Windows applications, such as Excel, Borland Delphi, Visual Basic and Visual C++.These components permit software developers to call mathematical finance functions more easily than in corresponding packages. Although these packages may offer
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| Emner | |
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| ISBN | 0750657227
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