Читать книгу Numerical Methods in Computational Finance - Daniel J. Duffy - Страница 11

This book has universal appeal because it is a focused and detailed introduction to the mathematical theory and foundations of ordinary and partial differential equations, their approximation by the finite difference method and subsequent applications to computational finance. It is suitable both as an entry-level introduction as well as a detailed treatment of modern methods as used by industry quants and MSc/MFE students in finance. The topics in the book have major applications to numerical analysis, science and engineering. In fact, most of the PDE/FDM methods have their origins in these fields.

For more information relating to computational finance, including links to resources and the author's online courses, please visit www.datasim.nl.