Mathematical Modeling and Computation in Finance: with Exercises and Python and MATLAB Computer Codes

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, in a track called Financial Engineering, where we discuss most of the first ten chapters, and the other course is “Special Topics in Financial Engineering”, where interest rate models and products but also the risk management in the form of counterparty credit risk and credit valuation adjustment are treated. At other universities, these courses are also called “Financial Engineering” or “Quantitative Finance”. 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. Below most tables and figures in the book there are Matlab and a Python icons indicating that the corresponding Matlab and Python computer codes are available. In the e-book version, clicking on the icons opens the corresponding code as a pdf file. All codes are also available on a special webpage.