The book arose from my lecture notes for the lectures on mathematical finance held at University of Mainz and University of Frankfurt. It tries to give a balanced representation of the theoretical foundations, state of the art models which are actually used in practice and their implementation.

In practice, none of the three aspects "theory", "modeling" and "implementation" may be considered alone. Knowledge of the theory is worthless if it isn't applied. Theory gives the tools for a consistent modeling. A model without implementation is essentially worthless. A good implementation requires a deep understanding of the model and the underlying theory.

With this in mind, the book tries to build a bridge from academia to practice and from theory to object oriented implementation.