Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes,
by C.W. Oosterlee and L.A. Grzelak, World Scientific Publishing Europe Ltd, 2019.
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.
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.
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 are available. All the solutions to exercises are available for lecturers upon request: L.A.Grzelak@tudelft.nl.
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
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Free Courses based on the Book
Based on the book, two free online courses are available. All materials are available for download.