Features

• Covers all the key computational methods in finance
• Includes chapters on calibration and parameter estimation
• Employs algorithms that can be easily coded
• Provides case studies and exercises, with hints/solutions to some exercises at the back of the book

Summary

This text addresses a variety of numerical methods for pricing derivative contracts, including Fourier techniques, finite differences, numerical simulation, and Monte Carlo simulation methods—one of the first books to cover all of these techniques. After presenting the basics of pricing techniques, it covers key concepts of calibration and parameter estimation. Written by a popular professor at Columbia University and NYU’s Courant Institute, the book is suitable for any graduate course on computational finance in financial engineering and financial mathematics programs as well as for practitioners interested in computational methods in finance.