NuclearPhynance Archive

Are his books good?

As far as I know he has published 2 books so far. According to amazon a third one is comming in 2009.



His one on pde solving with fdm is ok'ish. In fact a nice introduction (which I assume you won't need anymore). Although it's an old book I prefer it to duffy's book on FDM. Duffy's is the worst book I ever bought.



His second one is one of those Wiley-scams. IMHO all of the treated subjects it can be found in other and much better books. There's a chapter on pde's that is almost an exact replica of parts of his first book.

As PathIntegral said, Tavella's FDM for PDEs book is ok for a simple introduction to the topic but is not great. I personally don't like it.



I prefer this book

Hey MadMax,



I've a course from Achdou in French. Do you have any ideas if the book gives a real added value given his .pdf? For the ones who understand it here it is: [url=/User%20Files/593/AchdouEDPFinance.pdf]Attached File: AchdouEDPFinance.pdf[/url]. Thanks in advance!!



Cheers

I took that course a few years back in Paris. The book is based/grew out of that course. However, there are a few topics in the book not covered in the lecture notes. Some of these topics are done in the course but did not make to the lecture notes. Most importantly these are calibration (with both American and European options) greeks and Adaptive Mesh refinement. There are also some C++ code snippets to illustrate some points but the full C++ code can be downloaded from Achdou's website.

I had the Tavella and Randell book and didn't like it at all - very fluffy. I think it's the only finance book I've ever sold (although, for reasons that elude me now, the buyer was very keen).