Logo - springer
Slogan - springer

Mathematics - Quantitative Finance | Tools for Computational Finance

Tools for Computational Finance

Series: Universitext

Seydel, Rüdiger

5th ed. 2012, XVII, 429p. 98 illus..

Available Formats:

Springer eBooks may be purchased by end-customers only and are sold without copy protection (DRM free). Instead, all eBooks include personalized watermarks. This means you can read the Springer eBooks across numerous devices such as Laptops, eReaders, and tablets.

You can pay for Springer eBooks with Visa, Mastercard, American Express or Paypal.

After the purchase you can directly download the eBook file or read it online in our Springer eBook Reader. Furthermore your eBook will be stored in your MySpringer account. So you can always re-download your eBooks.


(net) price for USA

ISBN 978-1-4471-2993-6

digitally watermarked, no DRM

Included Format: PDF

download immediately after purchase

learn more about Springer eBooks

add to marked items


Softcover (also known as softback) version.

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.


(net) price for USA

ISBN 978-1-4471-2992-9

free shipping for individuals worldwide

usually dispatched within 3 to 5 business days

add to marked items

  • Provides exercises at the end of each chapter that range from simple tasks to more challenging projects
  • Covers on an introductory level the very important issue of computational aspects of derivative pricing
  • People with a background of stochastics, numerics, and derivative pricing will gain an immediate profit

Computational and numerical methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches.

Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains:

  • A new chapter on incomplete markets, which links to new appendices on viscosity solutions and the Dupire equation;
  • Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7)
  • Additional material in the field of analytical methods including Kim’s integral representation and its computation
  • Guidelines for comparing algorithms and judging their efficiency
  • An extended chapter on finite elements that now includes a discussion of two-asset options
  • Additional exercises, figures and references

Written from the perspective of an applied mathematician, all methods are introduced for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world.

Interdisciplinary in nature, this book will appeal to advanced undergraduate and graduate students in mathematics, engineering, and other scientific disciplines as well as professionals in financial engineering.

Content Level » Graduate

Keywords » Monte Carlo - computational finance - finite differences and elements - numerical methods in financial engineering - option pricing

Related subjects » Computational Science & Engineering - Quantitative Finance

Table of contents / Preface / Sample pages 

Popular Content within this publication 



Read this Book on Springerlink

Services for this book

New Book Alert

Get alerted on new Springer publications in the subject area of Quantitative Finance.