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Title details for An Introduction to Financial Option Valuation by Desmond J. Higham - Available

An Introduction to Financial Option Valuation

by Desmond J. Higham
ebook
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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.

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Publisher: Cambridge University Press

Kindle Book

  • Release date: October 2, 2007

OverDrive Read

  • ISBN: 9781139637183
  • File size: 12686 KB
  • Release date: October 2, 2007

EPUB ebook

  • ISBN: 9781139637183
  • File size: 12686 KB
  • Release date: October 2, 2007

Formats

Kindle Book
OverDrive Read
EPUB ebook

subjects

Mathematics Nonfiction

Languages

English

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.

Expand title description text
Mathematics Nonfiction