What distinguishes this book from other texts on mathematical
finance is the use of both probabilistic and PDEs tools to price
derivatives for both constant and stochastic volatility models, by
which the reader has the advantage of computing explicitly a large
number of prices for European, American and Asian derivatives.The
book presents continuous time models for financial markets,
starting from classical models such as Black-Scholes and evolving
towards the most popular models today such as Heston and VAR.A key
feature of the textbook is the large number of exercises, mostly
solved, which are designed to help the reader to understand the
material.The book is based on the author's lectures on topics on
computational finance for senior and graduate students, delivered
in USA (Princeton University and EMU), Taiwan and Kuwait. The
prerequisites are an introductory course in stochastic calculus, as
well as the usual calculus sequence.The book is addressed to
undergraduate and graduate students in Masters of Finance programs
as well as to those who wish to become more efficient in their
practical applications.Topics covered:
General
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