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

Higham, Desmond J.

Softcover

ISBN 10: 0521547571 ISBN 13: 9780521547574

Publisher: Cambridge University Press, 2004

Synopsis

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.

About this title

About the Author

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).

Edition details

• Publisher: Cambridge University Press
• Publication date: 2004
• Language: English
• ISBN 10: 0521547571
• ISBN 13: 9780521547574
• Binding: Paperback
• Edition number: 1
• Number of pages: 296