Computational Finance Using C and C#

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.

• Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices