Level

Preface

This book is discussing the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The contents will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance.

Level

Using this book

The book can be used as a textbook for MSc and PhD students in applied
mathematics, quantitative finance or similar studies. We use the contents of the book ourselves for two courses at the university. One is called “Computational Finance”, which is an MSc course in applied mathematics. 

Elevation

Exercises and Solutions

Exercises are attached to each chapter, and the software used to get the numbers in the tables and the curves in the figures is available. All the solutions to exercises are available for lecturers upon request: L.A.Grzelak@tudelft.nl.

Source Codes

Source Codes

This book provides with Python and Matlab codes that allow to generate all the results presented in this book. The codes can be downloaded from

The Authors

The Authors

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