New Book "Computational Finance : Numerical Methods for Pricing Financial Instruments"

fiveone · October 31st, 2004, 6:15 pm

Does anyone know this book "Computational Finance : Numerical Methods for Pricing Financial Instruments" from George Levy ?Thanks

WilmottBookshop · November 1st, 2004, 8:16 am

Computational Finance: Numerical Methods for Pricing Financial Instruments

DominicConnor · November 1st, 2004, 10:36 am

For some bizarre reason my copy arrived from the Wilomtt bookshop 4 days earlier than they promised.My first pass is that this is rather a good book.The code is mostly C++, but written well enough to be readable. There's a CD inevitably with a few papers chucked in, some scanned from Risk Magazine.The form is Here's the thing, here's the maths, here's the code that does it.Unusually it does seem to have a bit more "real world" tweaking than you often find in the idealised examples in books.When I've read it, I'll post a review.

PedroAzevedo · May 9th, 2005, 8:40 pm

so.... read it already?

spursfan · May 10th, 2005, 7:44 am

it's ok, nothing brilliant though - and a lot on GARCH models that is less relevant for option pricing

quantie · May 10th, 2005, 10:12 pm

QuoteOriginally posted by: fiveoneDoes anyone know this book "Computational Finance : Numerical Methods for Pricing Financial Instruments" from George Levy ?ThanksIt is available in amznI wonder how it compares to the brandimarte book? I have the later and both of them seem to have simillar TOC and use matlab as the language of choice?

WilmottBookshop · May 11th, 2005, 6:52 am

- Numerical Methods in Finance by Paolo Brandimarte- Computational Finance by George Levy