Reviewers' praise for...
Pricing Financial Instruments
by Domingo Tavella, Ph.D. and Curt Randall, Ph.D.
| "In my experience, finite difference methods have proven to be a simple yet powerful tool for numerically solving the evolutionary PDEs that arise in modern mathematical finance. This book should finally dispel the widely held notion that these methods are somehow difficult or abstract. I highly recommend it to anyone interested in the implementation of these methods in the financial arena." | |
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Peter Carr, Principal Bank of America Securities | |
| "Pricing Financial Instruments is the first broad and accessible treatment of finite difference methods for pricing derivative securities. The authors have taken great care to clearly explain both the origins of the pricing problems in a financial setting, as well as many practical aspects of their numerical methods. The book covers a wide variety of applications, such as American options and credit derivatives. Both financial analysts and academic asset-pricing specialists will want to own a copy." | |
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Darrell Duffie, Professor of Finance Stanford University | |
| "A very comprehensive treatment of the application of finite difference techniques to derivatives finance. Practitioners will find the many extensive examples very valuable and students will appreciate the rigorous attention paid to the many subtleties of finite difference techniques." | |
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Francis Longstaff, Professor The Anderson School at UCLA | |
| "The finite difference approach is central to the numerical pricing of financial securities. This book gives a clear and succinct introduction to this important subject. Highly recommended." | |
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Mark Broadie, Associate Professor School of Business, Columbia University, NY | |
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