An Introduction to Financial Option Valuation (Paperback)

Paperback. 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 BlackScholes 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. This lively textbook provides an introduction to financial option valuation for undergraduates armed with a knowledge of first year calculus. Its approach gives equal weight to applied mathematics, stochastics and computations. Contains stand-alone MATLAB code to illustrate ideas and examples using real stock market data. Solutions available from . This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.