Numerical Methods in Finance

I am a quant. I work at a bank. We do a fair amount of portfolio optimization & price-analytics, in Scala, Matlab,C++, CPLEX. Its not hard to get your feet wet with financial modeling, though reasoning about the models does take an MFE or comparable education. For example, here's a tiny scala pricer I coded up in 5 minutes to spit out the price of a google at-the-money call expiring 47 days from now, on Dec 17 using a 10k Monte-Carlo simulation. -- val risk = 0.28 // google has a 28% implied vol val T = 47.0/365 // 47 days annualized println((1 to 10000).toList.map(_=>Random.nextGaussian).map(x=>595 * exp((-risk * risk/2) * T + risk * sqrt(T) * x)).map(x=>max(0,(x-595))).sum/10000) -- Output: $23 & change ( its selling at about $23 right now ) To veyron's excellent list, I'd add Brandimarte's "Numerical Methods in Finance".