Numerical Analysis

[gver]

Hi .. I was looking for some good book that could serve as an introduction to numerical methods used in quants. This is from a perspective of model validation .. Could you please suggest something..

 

[Daniel Duffy]

There are many classics (re)published by Dover.

Dahlquist and Bjorck.
Keller and Isaacson
Conte and de Boor
etc.

NA books whose 1st edition > 1975 are not exciting.

And don't forget libraries

http://www.datasimfinancial.com/forum/viewtopic.php?t=94

 

[gver]

Thanks for this .. will check them out

Also, could you recommend some books on differential equations - ODE, PDE ans SDE.
Though I have some text on Engineering mathematics but it isnt much helpful.

 

[Daniel Duffy]

Thanks for this .. will check them out

Also, could you recommend some books on differential equations - ODE, PDE ans SDE.
Though I have some text on Engineering mathematics but it isnt much helpful.

For numerical analyis of *DEs

Lambert ODEs
Kloeden, Platen SDEs
Mitchell PDEs
Smith PDEs
Thomas Numercal PDEs (practical)
Duffy finite difference for financial engineers 2006

The other books I mentioned also contain ODE, PDE.

A cryprtic answer; if you can't locate them let me know and I can give a more decent title.

BTW lots of refs here
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1552926

 

[gver]

Thanks Daniel .. exactly the guidance i was looking for .. cheers

 

[bigbadwolf]

NA books whose 1st edition > 1975 are not exciting.

Then you're missing H.H. Goldstine's A History of Numerical Analysis from the 16th through the 19th Century, published in 1977. Some used copies are floating around. The book should be acquired, stored in an armored vault and guarded with a shotgun. Easily worth its weight in silver, if not in gold.

 

[Daniel Duffy]

Then you're missing H.H. Goldstine's A History of Numerical Analysis from the 16th through the 19th Century, published in 1977. Some used copies are floating around. The book should be acquired, stored in an armored vault and guarded with a shotgun. Easily worth its weight in silver, if not in gold.

Just ordered it!

 

[bigbadwolf]

A review of the book in BAMS:

http://projecteuclid.org/download/pdf_1/euclid.bams/1183544086