Pricing Financial Instruments: The Finite Difference Method

DOMINGO TAVELLA, Ph.D., is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance, and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Before founding Octanti Associates, Dr. Tavella was director of financial engineering at Integral Development Corporation and vice president at Bankers Trust Securities. Prior to that, he was a scientist at Stanford University and NASA Ames Research Center.

CURT RANDALL, Ph.D.,is a Principal and Vice President of Applications at SciComp Inc., a leading developer of software synthesis technology for the finance industry. He has extensive experience in the application of finite difference methods to a variety of disciplines. Prior to joining SciComp, Dr. Randall developed computational methods for advanced simulations at Schlumberger Corporation. Before that, he was a research scientist at Lawrence Livermore National Laboratory.