Levy George. Computational Finance Using C and C#

Academic Press, 2008. — 384 p.Computational Finance Using C and C# 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 firm’s internal software and code requirements. The book 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); and credit derivatives (credit default swaps, defaultable bonds, total return swaps).This book is organized into 8 chapters, beginning with an overview of financial derivatives followed by an introduction to stochastic processes. The discussion then shifts to generation of random variates; European options; single asset American options; multi-asset options; other financial derivatives; and C# portfolio pricing application. The text is supported by a multi-tier website which enables purchasers of the book to download free software, which includes executable files, configuration files, and results files. With these files the user can run the C# portfolio pricing application and change the portfolio composition and the attributes of the deals.This book will be of interest to financial engineers and analysts as well as numerical analysts in banking, insurance, and corporate finance.This book builds on the author’s previous book Computational Finance: Numerical Methods for Pricing Financial Instruments, which contained information on pricing equity options using C code. The current book covers the following instrument types:
Equity derivatives
Interest rate derivatives
Foreign exchange derivatives
Credit derivativesThere is also an extensive final chapter which demonstrates how a C-based analytics pricing library can be used by C# portfolio valuation software. In addition this application:
illustrates the use of C# dictionaries, abstract classes and .NET InteropServices
permits the reader to value bespoke portfolios
allows market data to be specified via a configuration file
contains a generic basket pricer for which the reader can specify the payoff
function
can be freely downloaded for use by the reader.