Recommended Resources for Financial Engineering and Numerical Methods

Summary

The document recommends books and references for readers seeking applied material in fixed income and financial engineering, especially numerical methods. It points to two classical financial engineering references and identifies Brandimarte’s numerical methods book as a source that includes MATLAB examples. The original question also expresses interest in a simple finite difference implementation for solving partial differential equations.

The document offers a starting bibliography rather than teaching a numerical method directly. It provides no comparison of the suggested resources, sample implementation, or evidence about their coverage, so readers would need to consult them to determine which best fits their needs. The recommendations are broad and may not focus specifically on fixed income or PDE methods.

Key ideas

• The document recommends established financial engineering references for further study.
• It identifies a numerical methods book with MATLAB material as a potentially relevant resource.
• The request focuses on fixed income applications and numerical techniques.
• Finite difference PDE implementation is raised as a desired topic, but no method is explained.

Tags

# Paper recommendation with examples


# Paper recommendation with examples












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 by Ezy (score 1, accepted)

https://quant.stackexchange.com/a/42944

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 by J-F (score 1)

https://quant.stackexchange.com/a/42942

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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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.