ETH Zurich seminar for applied math group根据近年的project发展起来的一门课和教材。
具体涉及一下数值方法:
finite element, finite difference for parabolic PDE, theory and implementation.
Black Scholes market and pricing
adjustment for BS model: CEV local volatiliy.
multi-asset model and multi-dimensional problem (Heston, etc.)
Levy process
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European\American\Barrier\Asian\Swing......option pricing

另外本书只考虑了金融模型的PDE解法，对应其他更高效的方法鉴于不是本课目标而没有涉及。