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I am looking for a text similar to Glasserman's Monte Carlo Methods in Financial Engineering, but with a focus on numerical methods for PDEs. Glasserman's book seems to cover a lot for what is required from a financial engineer in terms of Monte Carlo methods, in other words, the foundations, the topics that are absolutely necessary to be known. One can then always explore in more detail some of the topics by reading papers on more recent methods.

It would be interesting to have a numerical PDE text that discusses things rigorously, for example proving orders of convergence, stability etc., while covering things such as ADI and upwinding scheme.

I would be especially interested in schemes for more complex modes, such as LSVs. Also useful would be a treatment of barrier options, one touch, double-no-touch, Americans, forward starting and possibly some other exotics. Finally, it would be nice to have some code to try out (any language).

Perhaps there is not a single text covering all of the above. Maybe there are good courses available online on this topic?

Any suggestion would be greatly appreciated.

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  • $\begingroup$ Nice question! I am also wondering the same. $\endgroup$
    – Idonknow
    Jun 4, 2020 at 1:59
  • $\begingroup$ Any other suggestions? $\endgroup$
    – fwd_T
    Jun 14, 2020 at 21:14

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I got a lot of mileage out of Daniel Duffy's Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach.

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