© 2004

Tools for Computational Finance


Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages I-XVI
  2. Rüdiger Seydel
    Pages 1-55
  3. Rüdiger Seydel
    Pages 109-150
  4. Rüdiger Seydel
    Pages 151-174
  5. Rüdiger Seydel
    Pages 175-202
  6. Back Matter
    Pages 203-244

About this book


This edition contains more material. The largest addition is a new section on jump processes (Section 1.9). The derivation of a related partial integro­ differential equation is included in Appendix A3. More material is devoted to Monte Carlo simulation. An algorithm for the standard workhorse of in­ verting the normal distribution is added to Appendix A7. New figures and more exercises are intended to improve the clarity at some places. Several further references give hints on more advanced material and on important developments. Many small changes are hoped to improve the readability of this book. Further I have made an effort to correct misprints and errors that I knew about. A new domain is being prepared to serve the needs of the computational finance community, and to provide complementary material to this book. The address of the domain is The domain is under construction; it replaces the website address www . mi. uni­ Suggestions and remarks both on this book and on the domain are most welcome.


Black/Scholes Computational Finance Finance Mathematische Finanz Numerical integration Optionen Stochastic Differential Equations boundary element method derivatives differential equation exotische Optionen finite element method mathematical finance numerics rating

Authors and affiliations

  1. 1.Institute of MathematicsUniversity of KölnKölnGermany

Bibliographic information

  • Book Title Tools for Computational Finance
  • Authors Rüdiger U. Seydel
  • Series Title Universitext
  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Softcover ISBN 978-3-540-40604-4
  • eBook ISBN 978-3-662-22551-6
  • Series ISSN 0172-5939
  • Series E-ISSN 2191-6675
  • Edition Number 2
  • Number of Pages XVI, 244
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Quantitative Finance
    Numerical Analysis
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking



"In an increasingly crowded field of financial engineering titles, Seydel's Tools for Computational Finance stands out as filling an unmet need. It is an intermediate level text with an extremely practical focus. ... This is the kind of book you can read quickly, gaining a broad understanding of practical techniques of financial engineering. On the other hand, you can go through it slowly, working through all the examples and exercises in order to gain indepth practical knowledge you can use on the job. "


"Remarkably, Seydel addresses students of both mathematics and business, presumes only minimal background in either subject, yet ventures deep into the subject in little more than 200 pages. Compare the longer books Mathematics of Financial Markets, by R.J. Elliott and P.E. Kopp (1999), or Methods of Mathematical Finance, by I. Karatzas and S.E. Shreve (1998), which presume research-level preparation in probability theory, delve deeper into theoretical issues, but ignore numerics. On the mathematical side, Seydel covers stochastic processes, random number generation, stochastic differential equations, finite differences, and finite elements. On the financial side, he treats put and call options of so-called American, European, and Asian types. A Web site provides additional material, including colored figures. Summing Up: Highly recommended. "



"Seydel has sought a compromise between justifying his results and avoiding formal proofs. I think he has struck a healthy balance, and I enjoyed reading the book.


Hull´s book teaches how to write the equations and Seydel´s teaches how to solve them"

Physics Today


"In my opinion, this book is mainly tailored to financial researchers and practitioners with an applied mathematics or engineering background. Various methods are introduced from a problem-solving point of view, been eventually formulated and summarised as algorithms which are offered for straightforward implementation in computer programmes. This expository style, which is similar to Kloeden´s and Platen´s 'Numerical Solutions of SDEs through computer experiments', makes the book unique among others and will definitely attract a broad range of readers coming from the financial academia or practice.

Quant Notes


"This book is very easy to read and one can gain a quick snapshot of computational issues arising in financial mathematics. Researchers or students of the mathematical sciences with an interest in finance will find this book a very helpful and gentle guide to the world of financial engineering."

SIAM review (46, 2004)

From the reviews of the third edition:

"Tools for Computational Finance is a book on numerical methods for pricing financial derivative products. … the author concentrates on how to provide numerical solutions to the problem of pricing. Exercises are provided at the end of each chapter and they follow and complement the text very well. In my opinion the book is more for practitioners … . it does guide us in a right direction and I think it could be valuable even for an academic." (Ita Cirovic Doney, MathDL-online, October, 2006)