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 (Kyïv)