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Cambridge University Press

An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation

An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation

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Format
This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Black-Scholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data.

Author: Desmond Higham
Publisher: Cambridge University Press
Published: 04/15/2004
Pages: 273
Binding Type: Paperback
Weight: 1.05lbs
Size: 9.50h x 6.70w x 0.70d
ISBN: 9780521547574

About the Author
Higham, Desmond: - Des Higham is a Professor of Mathematics at the University of Strathclyde. His previous books include MATLAB Guide (with Nicholas J. Higham, 2005) and Learning LaTeX (with David F. Griffiths, 1997).

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