Positive is:
- Good section on stochastic calculus
- Good introduction to risk free pricing

Areas for improvement
- Expand examples
- Better quality check to avoid typos, that are especially annoying in formulas
- If this book is to be used as a textbook or for self study, practice examples with solutions would be great, as the reader can then work through these to internalize the material and in addition check if he has fully understood the material

Overall I can only recommend the book to people with strong liking of a mathematical treatment of a subject, strong programming skills and little need for detailed examples. It does not go into sufficient detail on how to implement the different simulation strategies into code (provides only "pseudo code") to teach the computational aspects.


Full of typos  Apr 08, 2012 By K
First, the book is a landmine of typos. It's mainly elementary concepts covered in other books as well. Skip it and find a more mainstream book. Most of the stuff here are covered in books by Veronesi or Stefanica, or even a pure stochastic calculus book such as Shreve's. There is a reason the book has only one edition in over 10 years.

4 of 7 found the following review helpful:


sloppy editing, little additional material over previous work  Oct 24, 2007 By Bachelier ""1004""
Slapped together and little better than his original book. The original and a few downloaded PDFs are a better value. I'm beginning to think JW&S specializes in adding slipcovers with fancy graphics and nice new clean typefaces onto stale old previous material. Like middle-aged men who suddenly start dressing bizarrely younger in an unsuitable style, the result is neither value added, becoming, or informative.

10 of 17 found the following review helpful:


Excellent Reference for Computational Finance  Aug 09, 2002
This is an excellent introduction book on computational finance. It covers Monte Carlo simulation for pricing and scenario generations and finite difference methods very well. I really like the part on Monte Carlo simulation with various variance reduction techniques such as Brownian Bridge.

The author not only presents the methodologies, but he also tells the readers their limitations. This book is also a good resource for basics of stochastic processes most commonly needed in practice. I think the book is beneficial both to practitioners and students who really wants to consider financial engineering as a career.

6 of 12 found the following review helpful:


Lucid and Practical Introduction  May 22, 2002 By Farid AitSahlia
This introductory book is clearly written and goes directly to the essence of every subject it covers. It focuses on important numerical methods (simulation and finite-differences) that are used extensively in practice. It makes good use of examples by applying the techniques to standard and complex derivatives to illustrate the need for various numerical methods. After a succint and practical introduction to foundational concepts on stochastic processes and continuous time pricing, numerous techniques with applications are given next. Throughout, the author does a good job in contrasting the different numerical approaches through discussions on computational barriers and accuracy.

The book is definitely a good introduction to numerical methods in finance. It is easily accessible to practitioners and students with standard notions of calculus and probability.

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