Mathematics of Computational Finance

ISBN : 9789819815111

Author : Andrzej Palczewski

Publisher : World Scientific

Year : 2026

Language : English

Type : Book

Description : The book focuses on numerical methods for derivative pricing with an emphasis on their mathematical foundations. It offers the most frequently explored numerical methods of derivative pricing and covers the material of standard courses in computational finance. The book presents the best-known methods of multinomial trees, Monte Carlo simulations for European, American, and exotic options, and finite difference and finite element methods for PDEs. However, unlike many textbooks on computational finance, it also presents rigorous results on analyzed numerical algorithms with a focus on the mathematical content — including theorems with possibly complete proofs.

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