Finite Difference Methods in Financial Engineering von Duffy, Daniel J.

Financial Instrument Pricing Using C++ von Duffy, Daniel J.

This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book...

This is one of the first books that describe all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is...