Q: Do I need to purchase the first book to understand the second?

A: It would help (because the first book is often referred to), but is perhaps not essential. Each chapter in the second volume is reasonably self-contained. You might just try the second and see how it goes.

Q: Is the second book just a new edition of the first?

A: No. It is a completely new book with new topics.

Bear with us as these code files are slowly added. They generally have to be cleaned up first and this takes a while. They are Mathematica files (.nb) or C/C++ files (.cpp) that have been zipped up. You need to download them and unzip them. The .nb files require Mathematica to run. The .cpp files are console apps created in Visual Studio (2013/2015).

The software is provided “AS-IS”, without warranty of any kind, and a license is granted solely for personal, non-commercial use.

Ch1: CIRJumpStart.nb

Ch3: JointInference.TimeChangeModel.nb (Note: codes from 3.11 Appendix)

Ch5: HMM.SVP.090513.nb  (Note: there are a number of closely related, but not identical, files referenced in Ch. 5. This one was used to generate Table 5.5, and the detail found in Appendix 5.12).

Ch8: SABR.McKeanFormula.Animated.nb

Ch:9 BackToBasics.UsingNDSolve.nb (or try the pdf version)

Ch:9 BinomialHHLMultiple.cpp

Ch10: CIR.nb

Ch11: DEJDExact.nb

Ch12: CEVpGeneralSoln.nb