This book is very easy to read and one can gain a quick snapshot of computational
issues arising in financial mathematics. Researchers or students of the mathematical
sciences with an interest in finance will find this book a very helpful and gentle guide to
the world of financial engineering. SIAM review (46, 2004).
The third edition is thoroughly revised and significantly extended. The largest addition
is a new section on analytic methods with main focus on interpolation approach and
quadratic approximation. New sections and subsections are among others devoted to
risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the
integral representation of options and the derivation of the Black-Scholes equation.
New figures, more exercises, more background material make this guide to the world of
financial engineering a real must-to-have for everyone working in FE.
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