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An Introduction to Financial Option Valuation
296 pages - paperback
Cambridge University Press - (isbn 0-521-54757-1)
Apr. 2004
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An Introduction to Financial Option Valuation 296 pages - paperback Cambridge University Press - (isbn 0-521-54757-1) Apr. 2004 |
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| Price: |
43,48 EUR
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| Author(s): |
Higham, Desmond (University of Strathclyde)
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| Description: |
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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| Contents List: |
1.
Introduction; 2. Option valuation preliminaries; 3. Random variables;
4. Computer simulation; 5. Asset price movement; 6. Asset price model:
part I; 7. Asset price model: part II; 8. Black-Scholes PDE and
formulas; 9. More on hedging; 10. The Greeks; 11. More on the
Black-Scholes formulas; 12. Risk neutrality; 13. Solving a nonlinear
equation; 14. Implied volitility; 15. The Monte Carlo method; 16. The
binomial method; 17. Cash-or-nothing options; 18. American options; 19.
Exotic options; 20. Historical volatility; 21. Monte Carlo part II:
variance reduction by antithetic variates; 22. Monte Carlo part III:
variance reduction by control variates; 23. Finite difference methods;
24. Finite difference methods for the Black-Scholes PDE.
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| Illustrations etc.: | 95 figures, 120exercises, 80worked examples | |||||||||
| Weight: | 657 g | |||||||||
| Dimensions: | 246 x 174 | |||||||||
| Publisher: | Cambridge University Press (Virtual Publishing) | |||||||||
| Cambridge University Press (Virtual Publishing) | ||||||||||