\input zb-basic
\input zb-matheduc
\iteman{ZMATH 2013c.00773}
\itemau{Capi\'nski, Maciej; Zastawniak, Tomasz}
\itemti{Numerical methods in finance with C++.}
\itemso{Mastering Mathematical Finance. Cambridge: Cambridge University Press (ISBN 978-0-521-17716-0/pbk; 978-1-107-00371-2/hbk; 978-1-139-53398-0/ebook). x, 166~p. \sterling~24.00; \$~39.00/pbk; \sterling~50.00; \$~80.00/hbk; \$~32.00/ebook (2012).}
\itemab
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.
\itemrv{Yuliya S. Mishura (Ky{\"\i}v)}
\itemcc{M35 N45 N55 N35}
\itemut{binomial pricer; American options; non-linear solvers; Monte Carlo methods; finite difference methods}
\itemli{doi:10.1017/CBO9781139017404.001}
\end