Numerical Methods in Computational Finance A Partial Differential Equation (PDE/FDM) Approach, by Duffy, Daniel J.
- ISBN: 9781119719670 | 1119719674
- Cover: Hardcover
- Copyright: 7/6/2021
Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach defines a repeatable process to introduce PDEs in finance, analyse them mathematically, devise robust and accurate numerical algorithms to approximate these PDEs and then map these algorithms to C++ and C#.
Written in an incremental way in order to facilitate a range of readers at various skill levels and experience, each chapter contains hands-on exercises and projects that form an integral part of the text.
The book consists of eight parts. Each part contains several chapters and deals with a single autonomous topic:
- PDEs (generic)
- PDEs in finance
- Fundamentals FDM (generic)
- FDM in finance
- Advanced FDM (generic)
- Advanced FDM in finance
- Software Frameworks in C++ and C#
- Applications of machine learning in computational finance