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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.

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

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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

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  • $\begingroup$ Thank you I’ll check it as soon as possible. $\endgroup$ – TryingtobeQuant Dec 6 '18 at 20:10

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