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Rating: 
Summary: Introduction to Computational Finance
Review: Over 100 students in Berkeley's Master's in Financial Engineering Program have so far successfully mastered state-of-the-art derivatives pricing using the material in this textbook. In "The proof of the pudding is in the eating" test, this book earns an A+.John O'Brien, Executive Director MFE Program, U.C. Berkeley
Rating:
Summary: The proof is in the reading!
Review: Over 100 students in Berkeley's Master's in Financial Engineering Program have so far successfully mastered state-of-the-art derivatives pricing using the material in this textbook. In "The proof of the pudding is in the eating" test, this book earns an A+. John O'Brien, Executive Director MFE Program, U.C. Berkeley
Rating: 
Summary: A book for the mathematically inclined
Review: The book covers pricing of derivatives and the underlying computational methods. This broad range of topics covers aspects like stochastic calculus, risk neutral pricing and computational methods. The communication of this broad range of topics is a challenge and the book might be fine tuned to better teach the reader besides the intuition of the methods, the detailed implementation. It is suitable for people with a very strong mathematics and programming background, but is a tough read if one wants to learn these subjects. In order to become a good how -to book, the examples provided need to be expanded and ideally worked out in a more detailed fashion. One great add on might be to have a disk with sample code, that shows how the different methods work and how to implement them. Positive is:
- Good section on stochastic calculus
- Good introduction to risk free pricing Areas for improvement
- Expand examples
- Better quality check to avoid typos, that are especially annoying in formulas
- If this book is to be used as a textbook or for self study, practice examples with solutions would be great, as the reader can then work through these to internalize the material and in addition check if he has fully understood the material Overall I can only recommend the book to people with strong liking of a mathematical treatment of a subject, strong programming skills and little need for detailed examples. It does not go into sufficient detail on how to implement the different simulation strategies into code (provides only "pseudo code") to teach the computational aspects.
Rating:
Summary: A book for the mathematically inclined
Review: The book covers pricing of derivatives and the underlying computational methods. This broad range of topics covers aspects like stochastic calculus, risk neutral pricing and computational methods. The communication of this broad range of topics is a challenge and the book might be fine tuned to better teach the reader besides the intuition of the methods, the detailed implementation. It is suitable for people with a very strong mathematics and programming background, but is a tough read if one wants to learn these subjects. In order to become a good how -to book, the examples provided need to be expanded and ideally worked out in a more detailed fashion. One great add on might be to have a disk with sample code, that shows how the different methods work and how to implement them. Positive is:
- Good section on stochastic calculus
- Good introduction to risk free pricing Areas for improvement
- Expand examples
- Better quality check to avoid typos, that are especially annoying in formulas
- If this book is to be used as a textbook or for self study, practice examples with solutions would be great, as the reader can then work through these to internalize the material and in addition check if he has fully understood the material Overall I can only recommend the book to people with strong liking of a mathematical treatment of a subject, strong programming skills and little need for detailed examples. It does not go into sufficient detail on how to implement the different simulation strategies into code (provides only "pseudo code") to teach the computational aspects.
Rating:
Summary: Derivatives Pricing
Review: The limitations of the models in practical applications could be better discussed, but this is a solid reference book.
Rating:
Summary: Introduction to Computational Finance
Review: This book covers the formulas describing the mathematics of derivatives, and is reminiscent of Paul Willmott's approach. It introduces the basic concepts in a fairly comprehensive. You may wish supplements on practical applications and descriptions of current products. For example, I bought and recommend "Credit Derivatives" by Tavakoli, since I was looking for material on this subject, and this book didn't give any description of the types of products. Schonbucher's book on "Credit Derivatives Pricing Models" is essential when you've moved beyond introductory books.
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Summary: Lucid and Practical Introduction
Review: This introductory book is clearly written and goes directly to the essence of every subject it covers. It focuses on important numerical methods (simulation and finite-differences) that are used extensively in practice. It makes good use of examples by applying the techniques to standard and complex derivatives to illustrate the need for various numerical methods. After a succint and practical introduction to foundational concepts on stochastic processes and continuous time pricing, numerous techniques with applications are given next. Throughout, the author does a good job in contrasting the different numerical approaches through discussions on computational barriers and accuracy. The book is definitely a good introduction to numerical methods in finance. It is easily accessible to practitioners and students with standard notions of calculus and probability.
Rating:
Summary: 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.
Rating:
Summary: Excellent resource
Review: Whether you're a practitioner or a student, this text is great. It is succinctly written, covering everything from fundamental theories then leading into practical applications. While it is not for the mentally flaccid, if your sharp enough, you'll find it very useful.
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