© 2017

Tools for Computational Finance


  • Provides a broad understanding of practical techniques and algorithms

  • Ventures deep into the subject area while assuming only minimal background knowledge

  • Includes many exercises and numerous illustrations


Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages i-xxii
  2. Rüdiger U. Seydel
    Pages 1-82
  3. Rüdiger U. Seydel
    Pages 179-257
  4. Rüdiger U. Seydel
    Pages 259-305
  5. Rüdiger U. Seydel
    Pages 307-351
  6. Rüdiger U. Seydel
    Pages 353-387
  7. Back Matter
    Pages 389-486

About this book


Computational and numerical methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to anyone working in computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the book goes on to detail computational methods using both stochastic and deterministic approaches.

Now in its sixth edition, Tools for Computational Finance has been significantly revised and contains:   

  • Several new parts such as a section on extended applications of tree methods, including multidimensional trees, trinomial trees, and the handling of dividends;
  • Additional material in the field of generating normal variates with acceptance-rejection methods, and on Monte Carlo methods;
  • 115 exercises, and more than 100 figures, many in color.

Written from the perspective of an applied mathematician, all methods are introduced for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book, enabling readers to explore several areas of the financial world.

Interdisciplinary in nature, this book will appeal to advanced undergraduate and graduate students in mathematics, engineering, and other scientific disciplines as well as professionals in financial engineering.


computational finance pricing of options option pricing financial engineering algorithms for finance random number generation Monte Carlo simulation risk analysis Black-Scholes equations finite-difference methods finite-element methods MSC 91-01 91-08 91G20 91G60 65-01

Authors and affiliations

  1. 1.Mathematisches InstitutUniversität zu KölnGermany

About the authors

Rüdiger U. Seydel is professor emeritus of numerical analysis. He is the former head of a research group on computational finance at the University of Cologne. He also worked in bifurcation and dynamical systems.

Bibliographic information

Industry Sectors
Finance, Business & Banking