@book {MATHEDUC.06066614,
author = {Capi\'nski, Maciej and Zastawniak, Tomasz},
title = {Numerical methods in finance with C++.},
year = {2012},
isbn = {978-0-521-17716-0},
pages = {x, 166~p.},
publisher = {Cambridge: Cambridge University Press},
doi = {10.1017/CBO9781139017404.001},
abstract = {The book is about numerical methods combined with C++ programming skills, driven by concrete computational problems in quantitative finance. It begins with straightforward option pricing on binomial trees, and progresses towards non-linear solvers, Monte Carlo techniques for path-dependent derivative securities, finite-difference methods for partial differential equations, and American options pricing by solving a linear complementary problem. Prior knowledge of numerical methods as well as familiarity with C++ is not a prerequisite. The book is addressed to the readers who is interested in both the numerical techniques and programming language in application to finance.},
reviewer = {Yuliya S. Mishura (Ky{\"\i}v)},
msc2010 = {M35xx (N45xx N55xx N35xx)},
identifier = {2013c.00773},
}