Paper recommendation with examples

Question

Could you please advise me some papers/working documents with applications mainly focused on Fixed Income/Financial Engineering (Numerical Methods) as the one in the link below? Preferably on Matlab, but not necessarily.

https://epubs.siam.org/doi/pdf/10.1137/S0036144500378302

And simple implementation of solving PDE with finite difference method would be great.

Thanks in advance.

Answer 1

I recommend 2 sets of classical books in the field of financial engineering

• "The Wilmott": https://www.wiley.com/en-us/Paul+Wilmott+on+Quantitative+Finance%2C+3+Volume+Set%2C+2nd+Edition-p-9781118836835

• "The Piterbarg": https://link.springer.com/article/10.1007%2Fs11408-011-0157-y

Answer 2

Numerical Methods in Finance and Economics from Brandimarte has what you're looking for (in Matlab, too).

https://www.amazon.com/Numerical-Methods-Finance-Economics-MATLAB-Based/dp/0471745030