Computational Methods in Finance (Chapman and Hall/CRC Financial Mathematics Series) 1st Edition

The number of times I reached out for this book at my desk made me feel sort of responsible to write down this review. In a few words, I found the book extremely well-written and really useful for anyone who works with numerical and computational methods. Here is a few points which in my opinion distinguishes this book from many of its class:1. The math is just at the right amount: the author has a very keen understanding of where a detailed derivation of an equation or an algorithm is necessary and instructive, and which mathematical details and technicalities should be left out in the references. There is also a consistent level of math throughout the book, in the sense that the author knows the average audience of such a book and what mathematical background they come from and everywhere in the book there are technical details hovering around the same level.2. The choice of topics is eclectic: Fourier methods, finite difference methods, Kalman filtering, monte-carlo simulation and many other topics are all gathered in one book, and in my opinion, with ample details and depth. There is no doubt that every chapter of this book could be a book by itself, but in my opinion the book has achieved to cover significant depth in each chapter. Just leafing through the book is a joyful experience as you see all these different methods and applications and how elegantly everything works in the examples.3. The exposition is extremely clear, well-written and easy to follow: I have seen a number of the topics elsewhere, however things look much more clear and easier to follow in this book. The book is a result of lecture notes that the author had used for teaching for years and I guess the clarity in the exposition is a result of the feedback from the students over the years.4. Many helpful and interesting examples: Applying a generic computational method to a specific stochastic process or financial product is not always straight forward and would sometimes need a significant amount of further mathematical derivation. As an example, take Kalman filter for Heston stochastic volatility model, or the finite difference methods for a PIDE for an American option. The examples throughout the book are extremely instructive in showing how to apply the generic methods to actual financial products and popular stochastic processes in quantitative finance.This list could be longer, but I think it would suffice to say at this point that I would strongly recommend this book to anyone interested in the topics.

The book covers many interesting and challenging topics like Fourier transformation methods, finite difference methods, Kalman filtering and Monte-Carlo simulation etc. If one understands theories presented in the book and puts these theories into practice by writing computer programs to solve problems at the end of each chapter, one is well prepared for a career in quantitative finance.The book is well-written and easy to follow. The author usually breaks down a complex problem into steps with clear mathematical derivations. For example, using tri-diagonal method to solve Partial Integro-Differential Equation (PIDE) of an American option is mathematically complex. The author analyzes and breaks down the problem into sections with clear derivations for each section. As a result, most people with decent math background can understand these derivations and can write a computer program solving PIDE to get price of an American option.

The delivery was slightly delayed and the book was damaged at the top left corner. See the enclosed picture.

Excellent book on pricing derivative securities via Fourier transform, finite difference methods, simulations, filtering and parameter estimation. I loved the course that the author gave at NYU. This book brings together the course lecture notes and adds more to them.If the reader of this review is considering taking Dr. Hirsa's course then my advise is: definitely take it. It will be difficult, but you'll learn a lot! He's an amazing teacher, but also be aware that he's a tough grader.

The book is a 5 star text book for studying at home, but it is a 3 star book if you want to use it as a quick reference at work. The book at clearly written and explained well, which leads to redundant details that most readers do not care. Also, there are a number errata that are very annoying and confusing.

perfect overview that covers the needed topics to thoroughly cover financial engineering. using this book to rehash topics for thesis.

Well structured book. However no codes available though the numerical schemes are described in depth.

This book has some qualities. It is well written, has an extensive reference section and gives a good overview about volatility and option models. But it's practical merits are in an Epsilon-neighborhood around Zero.There are a lot of integrals, but there is no single line of code. There is also no homepage were one can download one. The author is a mathematician who is probably not interested in this mundane stuff. One could have written this type of book long before the computer was invented.The book has emerged from lecture notes. Although it was published in 2013, there is a lot of legacy. There are only a few recent references, example-data are typically from 2000. One of these examples is calculating forward-rates. Eurodollar futures are used only for the first 2 years, because according to the author, ED-futures with longer maturities are illiquid. This is definetly not any more the case. One can nowadays use Eurodollars for at least 5 years. The author could have simply looked at the CME ED-homepage to check this fact.Note: I have written a host of additional quantitative finance reviews on amazon.de (in German) and on www.godotfinance.com (in English).

Man kann diesem Buch eine gewisse Qualität nicht absprechen. Dennoch bin ich nicht warm damit geworden. Es wird alles sehr schön mathematisch präsentiert, es gibt brauchbare References. Aber man kann auf Basis dieses Buches nichts berechnen. Es kommen sehr viele Integrale, aber keine Zeile Kode vor. Es gibt auch keine homepage, auf der man sich diesen herunterladen kann. Der Autor ist Mathematiker dem das wahrscheinlich auch nicht interessiert."Many books have been written solely covering the different methods which can be utilized to solve these types of optimization problems and so a comprehensive treatment of the subject is well beyond the scope of this text".(Chap. 7.6: Optimization and Optimization Methodology).Das Buch ist ein über die Jahre gewachsenes Vorlesungsskript. Obwohl es im Jahr 2013 erschienen ist, sind viele Beispiele aus dem Jahr 2000. In einem Beispiel wird die Forward-Rate-Curve berechnet. Der Autor verwendet dazu u.A. Eurodollar Futures mit einer maximalen Maturity von 2 Jahren. Darüber hinaus werden die Eurodollars - nach seinen Worten - zu illiquid. Das war einmal. Für dieses Problem kann man nun locker die ersten 5 Jahre nehmen. Der Autor hätte nur einen kurzen Blick auf die CME-Eurodollar Page machen müssen, um sich einen aktuellen Überblick zu verschaffen. Wahrscheinlich hat er diesen Satz einfach Jahr für Jahr aus seinem ursprünglichen Konzept übernommen.