1. Introduction
My course comprises the second half of Mathematical Methods and concentrates on algorithmic aspects. This is not a course in pricing, but I have tried to illustrate topics by examples drawn from mathematical ¯nance.
1.1. Reading List. There are many books on mathematical ¯nance, but very few good ones. My strongest recommendations are for the books by Higham and Kwok.However, the following books are all useful.