Computational finance : numerical methods for pricing financial instruments /

Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book."--D.j

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Levy, George
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford ; Boston : Elsevier Butterworth-Heinemann, 2004.
Colección:Quantitative finance series.
Temas:
Finance > Mathematical models.
Finance > Data processing.
Finance > Computer programs.
Finances > Modèles mathématiques.
Finances > Informatique.
Finances > Logiciels.
BUSINESS & ECONOMICS > Finance.
Finance > Computer programs
Finance > Data processing
Finance > Mathematical models
Financieel management.
Numerieke methoden.
Finanças (modelos matemáticos)
Finanças (processamento de dados)
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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
  • Chapter 5: ActiveX Components and Numerical Optimization
  • 5.1 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
  • 8.5 Ito's lemma in many dimensions
  • Chapter 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
  • 11.2 Pseudorandomand quasirandomsequenc es
  • 11.3 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
  • Part III: Financial Econometrics
  • Chapter 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.

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