Computational methods in finance

Operations research books
Computational finance focuses on the use of practical numerical methods and modeling techniques for asset management and the systems designed for algorithmic or high-frequency trading, rather than just using mathematical proofs or theorems..
Mathematical finance is the application of mathematics to finance.
Computational finance and mathematical finance are both subfields of financial engineering.
Computational finance is a field in computer science and deals with the data and algorithms that arise in financial modeling.

In mathematical finance, a Monte Carlo option model uses Monte Carlo methods to calculate the value of an option with multiple sources of uncertainty or with complicated features.
The first application to option pricing was by Phelim Boyle in 1977.
In 1996, M.
Broadie and P.
Glasserman showed how to price Asian options by Monte Carlo.
An important development was the introduction in 1996 by Carriere of Monte Carlo methods for options with early exercise features.

Numerical integration process

In numerical analysis, the quasi-Monte Carlo method is a method for numerical integration and solving some other problems using low-discrepancy sequences to achieve variance reduction.
This is in contrast to the regular Monte Carlo method or Monte Carlo integration, which are based on sequences of pseudorandom numbers.

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Computational methods in finance

Operations research books