Tools for Computational Finance

Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic [...]
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Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.