Numerical Methods

Professor R. Falk's reference list for numerical analysis
Professor R. Falk's reference list for numerical solution of PDEs
M. Galassi, J. Davies, J. Theiler, B. Gough, G. Jungman, M. Booth, F. Rossi, GNU Scientific Library Reference Manual, Network Theory, 2006
G. H. Golub and C. F. Van Loan, Matrix Computations, 3rd Edition, Johns Hopkins University Press, 1996
P. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer, 2000
W. H. Press, S. A. Teukolsky, W. T. Vetterling, and B. P. Flannery, Numerical Recipes: The Art of Scientific Computing, 3rd edition, Cambridge, 2007
A. Quarteroni, R. Sacco, and F. Saleri, Numerical Mathematics, 2nd edition, Springer, 2004

Computer Programming

S. Bullen, J. Green, R. Bovey, and R. Rosenberg, Excel VBA, Wiley, 2003
H. M. Deitel and P. J. Deitel, C How to Program, 4th edition, Prentice Hall, 2003
H. M. Deitel and P. J. Deitel, C++ How to Program, 5th edition, Prentice Hall

E. Freeman, B. Bates and K. Sierra, Head First Design Patterns, O'Reilly, 2004
E. Gamma, R. Helm, R. Johnson, and J. Vlissides, Design Patterns: Elements of Reusable Object-Oriented Software, Addison-Wesley, 1994
J. R. Hubbard, Schaum's Outline of Programming with C++, McGraw-Hill, 2000
M. S. Joshi, C++ Design Patterns and Derivatives Pricing, 2nd edition, Cambridge, 2008
N. M. Josuttis, The C++ Standard Library: A Tutorial and Reference, Addison-Wesley, 1st edition, 1999
B. W. Kernighan and D. M. Ritchie, The C Programming Language, Prentice Hall, 2nd edition, 1988
S. G. Kochan, Programming in C, 3rd edition, Developer's Library, 2005
J. Liberty, Programming Visual Basic, O'Reilly, 2005
S. B. Lippman and J. Lajoie, C++ Primer, Addison-Wesley, 3rd edition, 1998

R. C. Martin, Clean Code: A Handbook of Agile Software Craftsmanship, Prentice Hall, 2008
S. Meyers, Effective C++: 55 Specific Ways to Improve Your Programs and Designs, 3rd edition, Addison-Wesley, 2005
S. Oualline, Practical C Programming, 3rd edition, O'Reilly, 1997
S. Oualline, Practical C++ Programming, 2nd edition, O'Reilly, 2003
P. J. Plauger, The Standard C Library, Prentice Hall, 1st edition, 1991
S. Salleh, A. Zomaya, and S. Abu Bakar, Computing for Numerical Methods using Visual C++, Wiley, 2008
H. Schildt, C++: The Complete Reference, Osborne/McGraw-Hill, 3rd edition, 1998
B. Stroustrup, The C++ Programming Language, Addison-Wesley, 2000
D. Yang, C++ and Object-Oriented Numeric Programming for Scientists and Engineers (with code), Springer, 2001

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