Financial Engineering with Finite Elements

Topper brings together a powerful set of tools for quantitative modeling in finance.  When confronted with challenging numerical PDE problems, I have more than once been told that the recommended recipes are well known by PDE specialists, although not found in books.  Topper's book is now an exception!  Darrel Duffie, Graduate School of Business, Stanford University, USA

"Financial Engineering with Finite Elements is packed with state of the art valuation methods.  Written in a clear and intuitive way makes it a must have for anyone wanting to stay ahead of the game.  The book stands out from the crowd with a lot of information I have never seen published in any other finance book."  Espen Gaarder Haug, Trader, J.P. Morgan, New York

"Finite elements have for a long time been a preferred numerical scheme for the solution of differential equations arising in the hard sciences.  Now Jürgen Topper shows us how to apply the technique effectively to solve equations from the financial arena including the pricing of derivatives.  He includes sections on multi-asset options, non-linear equations, exit times and exotics.  A very welcome addition to the literature on numerical analysis in finance."  Paul Wilmott, fund mananger and mathematician, London

"Jürgen Topper fills an important gap in the burgeoning literature on mathematical finance by providing a systematic and accessible description of the Method of Finite Elements and its applications.  Since this important computational technique has a lot of potential in financem the book is very timely."  Alexander Lipton, Citadel Investment Group, L.L.C., Chicago