This book is assembled from lectures given by the author over a period of 10 years at the School of Computing of DePaul University. The lectures cover multiple classes, including Analysis and Design of Algorithms, Scientific Computing, Monte Carlo Simulations, and Parallel Algorithms. These lectures teach the core knowledge required by any scientist interested in numerical algorithms and by students interested in computational finance.
The algorithms you will learn can be applied to different disciplines. Throughout history, it is not uncommon that an algorithm invented by a physicist would find application in, for example, biology or finance. …
