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. Jäckel, 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