new book "Numerical Methods in Computational Finance, a PDE/FDM Approach" (John Wiley, 2021) by Daniel J. Duffy

Update of publication date, from publisher. ? I checked with the Manufacturing team and they have confirmed that stock has arrived and has begun shipping from the warehouse. The new in-store date is March 10th. ? The eBooks are on track for March 11th.

Congrats, Daniel Duffy! For sure it's a great book, at least as good as your comments.

Several chapters are devoted to FDM for 2-factor European/American options We tested the relatrve performance on spread options for the same level of accuracy: 1 Saulyev ADE : 1 second 2 Barakat and Clark 2.2 3 Yanenko 4.2 4 "Classic" ADI 4.0 (4 times slower!) 5 Predictor-Corrector 3.8 6 Marchuk-Strang 7.6 . Methods 1+2 do not involve solving matrix systems. 3-6 solve tridiagonal systems. . It is possible to compute greeks by wtiting them as PDEs and using CSE approach (essentially tbe Cauchy-Kowalewski (Lax-Wendroff) technique). We did it for 1-factor and CSE for spreads should also be fast as well. . Sauly'ev ADE is also the easiest to program. . We mapped PDEs to unit square making boundary conditions easy (Fichera theory). . Schemes 1 and 2 can easily be applied to 3-factor problems., . The methods are also applicble to fixed income (Hull-White, CIR-style, mean-reverting).

disclaimer: the book contains no polls.

Finally, I can give some publication dates on my PDE/FDM book eBooks will publish on March 11, 2022. In store date (the date books are available at retail) is March 17, 2022. Give or take some "slack".. in the supply chain. Something to show on St. Patrick's Day ??