Sunday, September 21, 2008

Computational Finance

Y. Achdou and O. Pironneau, Computational Methods for Option Pricing, SIAM, 2005
K. Back, A Course in Derivative Securities: Introduction to Theory and Computation, Springer, 2005
P. Brandimarte, Numerical Methods in Finance: A MATLAB-Based Introduction, Wiley, 2001
L. Clewlow and C. Strickland, Implementing Derivative Models, Wiley, 1998
S. Dalton, Financial Applications Using Excel Add-in Development in C/C++, 2nd edition, Wiley, 2007
D. J. Duffy, Financial Instrument Pricing Using C++, Wiley, 2004
D. J. Duffy, Finite Difference Methods in Financial Engineering : A Partial Differential Equation Approach, Wiley, 2006
G. Fusai and A. Roncoroni, Implementing Models in Quantitative Finance: Methods and Cases, Wiley, 2006
P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2003
P. J├Ąckel, Monte Carlo Methods in Finance, Wiley, 2002
M. Jackson and M. Staunton, Advanced Modelling in Finance using Excel and VBA, Wiley, 2001
M. S. Joshi, C++ Design Patterns and Derivatives Pricing, Wiley, 2004
J. London, Modeling Derivatives in C++, Wiley, 2004
R. Seydel, Tools for Computational Finance, 2nd edition, Springer, 2004
D. Tavella, Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance, Wiley, 2004
J. Topper, Financial Engineering with Finite Elements, Wiley, 2005