pricing derivatives
From the Wiley Series in Financial Engineering:

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."
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."
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."
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."
Mark Broadie, Associate Professor
School of Business, Columbia University, NY

Home

Communicate

Videos

NEW! Watch this Webinar: Automatic GPU Computing for Derivative Pricing Models

GPU computing movie

News & Events

SciComp to exhibit at Global Derivatives Trading & Risk Management. 25% Discount for SciComp Contacts.

16 - 20 April 2012, Hotel Arts Barcelona

Software vendors and service providers ease GPU adoption

...this approach masks the complexity of parallel programming from the end user, leaving them free to define the characteristics of the pricing model that they want to run on GPUs.