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Financial Engineering and Computational Finance
The financial markets have undergone many changes during the last twenty years. In particular, the models that describe financial instruments (such as options, futures, bond and other derivative products) have become more robust and they are being applied to many real-life applications. The great breakthrough in this area is the famous Black-Scholes formula and this is the basis for much of financial engineering.
Furthermore, computing power has increased dramatically in recent years with the results that we can now run models and get results in a matter or minutes (or even seconds) whereas only ten years ago a supercomputer or mainframe would have been needed.
We are witnessing a revolution in financial engineering.
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First, mathematical and numerical techniques have been successfully applied in other disciplines
(such as Computational Fluid Dynamics, and heat transfer) are now being used
in financial engineering.
- Second, modern software engineering techniques allow us to implement these numerical techniques in object-oriented Languages such as C++, Java and C#.