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A Perl:
#!/usr/bin/perl
my $result_file=shift;
my $pattern=shift;
my (@file_list) = glob $pattern;

open( OUT, ">$result_file") or die "Can't open '$result_file':$!";
foreach my $in_file...

Something like this:
# ls file*csv
file1.csv file2.csv
# awk '{print $0","FILENAME}' file*csv > result.csv