Computational Finance: Numerical Methods for Pricing Financial Instruments Book

	Preface
Pt. I	Using Numerical Software Components within Microsoft Windows	1
1	Introduction	3
2	Dynamic Link Libraries (DLLs)	6
3	ActiveX and COM	28
4	A financial derivative pricing example	38
5	Active X components and numerical optimization	44
6	XML and transformation using XSL	54
7	Epilogue	64
Pt. II	Pricing Assets	75
8	Introduction	77
9	Analytic methods and single asset European options	87
10	Numeric methods and single asset American options	116
11	Monte Carlo simulation	221
12	Multiasset European and American options	247
13	Dealing with missing data	274
Pt. III	Financial Econometrics	285
14	Introduction	287
15	GARCH models	301
16	Nonlinear GARCH	311
17	GARCH conditional probability distributions	319
18	Maximum likelihood parameter estimation	327
19	Analytic derivatives of the log likelihood	336
20	GJR-GARCH algorithms	344
21	GARCH software	353
22	GARCH process identification	360
23	Multivarite time series	371
	Appendices	375
App. A	Computer code for Part I	377
App. B	Some more option pricing formulae	379
App. C	Derivation of the Greeks for vanilla European options	381
App. D	Multiasset binomial lattices	386
App. E	Derivation of the conditional mean and covariance for a multivariate normal distribution	393
App. F	Standard statistical results	395
App. G	Derivation of barrier option integrals	403
App. H	Algorithms for an AGARCH-I process	410
App. I	The general error distribution	417
App. J	The Student's t distribution	420
App. K	Mathematical reference	423
App. L	The stability of a Black-Scholes finite-difference schemes	426
	Glossary of terms	429
	Computing reading list	430
	Mathematics and finance references	432
	Index	439