Computational Finance Using C and C# (Quantitative Finance)

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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.

Computational Finance Using C and C# (Quantitative Finance) Review

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.

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