Tools for Computational Finance (Universitext) [Paperback]

Rüdiger U. Seydel (Author)

Book Description

Publication Date: November 5, 2003 | ISBN-10: 3540406042 | ISBN-13: 978-3540406044 | Edition: 2nd

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.

Editorial Reviews

Review

 

"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. "

www.riskbook.com

 

"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. "

CHOICE

 

"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)

Language Notes

Text: German --This text refers to an out of print or unavailable edition of this title.

See all Editorial Reviews

Product Details

• Paperback: 240 pages
• Publisher: Springer; 2nd edition (November 5, 2003)
• Language: English
• ISBN-10: 3540406042
• ISBN-13: 978-3540406044
• Product Dimensions: 9.3 x 6.3 x 0.6 inches
• Shipping Weight: 14.9 ounces
• Average Customer Review: 3.0 out of 5 stars  See all reviews (3 customer reviews)
• Amazon Best Sellers Rank: #3,534,612 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

17 of 18 people found the following review helpful:

3.0 out of 5 stars Worth reading, but..., September 7, 2003

By A Customer

This review is from: Tools for Computational Finance (Paperback)

Seydel is at a level of sophistication comparable to Wilmott et al. (2000). Indeed, it makes a lot of sense to read both books side-by-side. While Wilmott focuses exclusively on "differential equation methods" of financial engineering, Seidel takes a more balanced approach. The two books complement each other well.

The main part of this book is focused on methods of how to value american vanilla options. He does this only in the diffusion transformed version of B&S. He starts with the equation in this form, without mentioning much of how to get there, and why. And thats typical for the rest of the book aswell, much of it is "cookery book form" (even if the book contains lots of usefull references in the endchapter). He discusses several ways of solving PDE:s, mainly implicit/explicit/Crank N and then there is a very introductory chapter on FEM. The discussion on stability issues is to brief (and not to understandable), I'd say (Tavella does this much more elegant). In the endchapter he discusses how to value exotic options (using asian as a case), and concludes that the methods ealier in the book isnt of much use, but as the author says this is an introductory book.

4 of 5 people found the following review helpful:

4.0 out of 5 stars the shortcut for rocket scientists., March 20, 2006

By 

Yuanyuan Huang "andy huang" (williamsburg) - See all my reviews
(REAL NAME)   

This review is from: Tools for Computational Finance (Universitext) (Paperback)

During my painful thesis writting, I read this book in order to get some relaxation together with Hull's book. If you are a rocket scientist, such as a struggeling ph.d candidata like me, you will find Hull's book is useful but simplified. This book is quite helpful to me because I used PDE. Statistic, SDE, numerical method here and there and in the book, Seydel shows how to put these skills together and how to solve problems.

1 of 1 people found the following review helpful:

2.0 out of 5 stars Update abt this book !, February 8, 2008

By 

B. Jayapal "BJ" - See all my reviews
(REAL NAME)   

This review is from: Tools for Computational Finance (Universitext) (Paperback)

I was recommended couple of books for my course and this was one among them. Though it touches the topic, the contents are brief and if you want more detail, this is not the right one.