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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 firm’s 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 Levy’s 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.
- Sales Rank: #2943425 in Books
- Brand: Brand: Academic Press
- Published on: 2008-05-15
- Original language: English
- Number of items: 1
- Dimensions: 9.21" h x .88" w x 6.14" l, 1.64 pounds
- Binding: Hardcover
- 384 pages
- Used Book in Good Condition
Review
“Think of Baxter and Rennie, add the pricing models from Wilmott and, to illustrate each model, Levy's own Numerical Recipes in C and C#. Levy's book is written in precise mathematical language, covering all types of derivative products and illustrating the state-of-the-art resolution methods for pricing. As such, it is set to become a classic amongst serious quants.”
- Professor Carol Alexander, Chair of Risk Management and Director of Research, ICMA Centre, Business School, The University of Reading, UK
About the Author
George Levy currently works as a quantitative analyst at RWE, and has provided technical consultancy to numerous financial institutions, In addition he has also published articles on numerical modelling, mathematical finance and software engineering. He is the author of Computational Finance: Numerical Methods for Pricing Financial Derivatives. His interests include: Monte Carlo simulation, Microsoft technologies and derivative valuation.
Most helpful customer reviews
12 of 15 people found the following review helpful.
Not quite what I was expecting
By R. Balsover
This book is going to require that you have had a few semesters of Calculus under your belt, but if you have this looks like interesting reading as far as the math is concerned. The writing is a little dry and the author pretty much runs through his mathematical proofs and then sometimes he writes a short code clip illustrating the proof; he certainly knows his subject matter but as a programming book I found it lacking. First of all contrary to what the first reviewer wrote there is no CD included with this book; perhaps that was written by one of the author's friends and he never actual saw a retail copy of the book, I don't know. Second of all, all of the source code is not included in the book nor is it published on the publisher's web site free of charge; you are required to pay additional money for the source code which I found rather cheap on their part. Also, as of the last time that I looked a week or so ago the source code was not available on the web site even for a price which is very poor management on their part. This not a cheap book as far as normal programming books are concerned, it is priced like a college textbook and being more expensive they should throw in the source code for free. Increase the price of the book if you must but only one price, not a second hidden price after the fact.
This is a complicated subject and no book is going to give you a functional knowledge in just 384 pages. If you are looking a book that covers some of the mathematical theory of finance then perhaps this is a good book for you, if you are looking for a finance library that you can plug into your applications then this is not the book for you and may be in fact way over your head.
3 of 5 people found the following review helpful.
Almost all that you need to understan Finance from the Porgrammers point of view
By Giuseppe
During a research for some specific project at the work we start to look for good books that an help us to understand some of those crazy Financial Formulas. Well almost all the books are for the Advanced Excel user's, so we had a pretty hard time, trying to understand the Principals, the Excel crazy macros, and translate them to C#, not the kind of fun that I appreciate when we are under a lot of stress.
I decided to buy this book because it was C#, and so far has been the only book that we where using, leaving that sour feeling for buying all those Financial calculation book's using Excel.
4 of 7 people found the following review helpful.
This is a very good book for the intended audience and goals it aims readers towards: solving problems
By Bachelier
In "Computational Finance Using C and C#" George Levy has done a credible job riding two horses at once, only lightly bridled together:
HORSE ONE are the proofs of common stochastic processes used for securities and options pricing, covered in chapter two. Much of this material is stated both worse (say, Oksendal) and better (say, Joshi) elsewhere, but Levy's summary is made both in the interest of the book being a self-contained "one stop shopping" for a teaching text, and because his selected (it is a wide selection) of processes will lead directly to practical technical code.
In chapter three, Levy very ably and in a compressed manner addresses one of the uber-nerd problems of finance and computation: how do you generate random numbers from something (both the metal and the instructions) that reduces to binary? The topic is nearly endlessly discussed on CompFin bulletin boards and Levy goes a step beyond....say Wilmott's "good enough solution "(()Rand+()Rand+()Rand+()Rand+()Rand+()Rand+()Rand+()Rand+"()Rand+()Rand+()Rand+()Rand)/12" and covers adequate methods of seeds, and pseudo-random number generation. For those of us who grew up on the early days of ArpaNet and laughed at the "LavaRand" site maintained for years by Digital Graphics (which provided random seeds), his is a good (although thin, considering how technical the problem is) chapter on the topic.
The following chapters then treat European and American options and multi-asset options and other derivatives individually, and offers narrative and mathematical descriptions.
Which brings us to HORSE TWO: coding. Most coders today grew up with stable, robust, cut-and-paste code and want everyone to do the heavy lifting for them. But in a world where desktops are more powerful than big iron of ten years ago, platforms are often assumed to be fungible and code instantly droppable into whatever is present, and therefore produce a lot of whiny lazy people when they find our the real world is often married to some outdated iron in the basement or proprietary interface which is perpetuated by those multi-headed daemons of inertia, rent-seeking behavior of folks in incumbent sinecures, and inability to kill something because of IT security breach fears.
So cut-and-paste code is often forbidden by policy.
Nevertheless, Levy provides quite a lot of example code in C and C# that is robust and stable and de-bugged. Of course, this does not apply to the fact that you still have to code data look-ups, indexes, output spaces and reporting, etc. etc. when using the code here to do what it is supposed to do ("I-Price-A-Vanilla-American-Option" [END].) and what you want to do (where? What platform? Report how? Distribute report to whom?, etc.)
Levy wisely aims the provided material at teaching you to think about what it is you are doing and what it is you want to do. This is a teaching text for financial utility and application coders, not a "Numerical Recipes in C++" where you can cut-n-paste and cobble together code and then expect it all to be stable and compile error free. A lot of the reviews here apparently can't tell the difference between a cookbook and a teaching exercise book. It is as if they want to read the manual of an exercise machine and then complain they did not loose weight.
So, whom is this book for? Levy's strength and flaw is he has written a book he wished he had himself when he started: a book on Finance and applied finance for mathematicians, physicists, or high-level computer scientists who are switching over from their fields to banking. Many levels of mathematical familiarity are sort of blithely assumed (upper level calculus) while jaw-droopingly obvious finance stuff is over-explained (for me). So for finance people, the math is a bit of a stretch. For coders, they cry-baby whine that Levy doesn't do it all for you ("I want my numerical recipes...stable, and de-bugged...whaaaaaaww!").
Which makes this a surprisingly GOOD book for rest-on-your oars Finance-lite types (because they have to stretch on the math) and lazy coders (because they have to think and problem solve at nodes of transition and platform and output issues, etc. and these exercises make you think rather than point and click), and of course is good for folks who are transitioning from other fields (with high theoretical and thin applied math) to Finance, because Finance is where it is all bout what you can DO as opposed to what you are capable of THINKING.
The writing style is a little dry and direct, but I like it. This is a much better book than the lazy reviewers here have whined about. If you can do the exercises in this book and Joshi's "C++ Design Patterns and Derivatives Pricing" then you are on your way to a credible career as a quant with a reputation for solving problems instead of whining about how the world should be perfect for your lazy ass.
Please e-mail the author for supplementary material (code sets) and an errata sheet. Few authors take the time to support their work after publication. George Levy does. He is a good man.
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