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There is a well-known book from 2006 by Daniel Duffy, which is Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach. You may find it here on Wiley's:

https://onlinelibrary.wiley.com/doi/book/10.1002/9781118673447

On the other hand, he has a more recent book:

https://onlinelibrary.wiley.com/doi/book/10.1002/9781119719731

Have anyone here checked on both? What are the main differences? What would you recommend for someone looking to go further in FDM?

Thanks a lot!

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    $\begingroup$ In the link to the more recent book there is a section called FrontMatter that you can download for free, with a detailed outline and a preface that outlines the purpose of the book (it makes no reference to the earlier book). My impression from reading this is that the 2d book is more complete and self contained and would be the one I would get, it replaces the other. $\endgroup$
    – nbbo2
    Sep 13 at 17:02
  • $\begingroup$ Thanks for your contribution nbbo2! $\endgroup$
    – KT8
    Sep 14 at 6:47

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