Computational finance : numerical methods for pricing financial instruments /: numerical methods for pricing financial instruments. (2004)

• Record Type: Book
• Further Information: Note: George Levy.
• Other Names: Levy, George
• Contents: 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.
• Publisher Details: Oxford Boston : Elsevier Butterworth-Heinemann
• Publication Date: 2004
• Extent: 1 online resource (xiv, 443 pages), illustrations
• Subjects: 332.01/5197; 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); Electronic books
• Languages: English
• ISBNs: 9780080472270; 0080472273
• Related ISBNs: 0750657227; 9780750657228
• Notes: Note: Includes bibliographical references (pages 432-438) and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.