Title: Excellent Reference for Computational Finance
Review: This is an excellent introduction book on computational finance. It covers Monte Carlo simulation for pricing and scenario generations and finite difference methods very well. I really like the part on Monte Carlo simulation with various variance reduction techniques such as Brownian Bridge.The author not only presents the methodologies, but he also tells the readers their limitations. This book is also a good resource for basics of stochastic processes most commonly needed in practice. I think the book is beneficial both to practitioners and students who really wants to consider financial engineering as a career.
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