An Introduction to Financial Option Valuation (Paperback)

Desmond J. Higham

ISBN 10: 0521547571 / ISBN 13: 9780521547574

Published by Cambridge University Press, Cambridge, 2004

About this Item

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 . Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Seller Inventory # 9780521547574

Bibliographic Details

• Title: An Introduction to Financial Option Valuation (Paperback)
• Publisher: Cambridge University Press, Cambridge
• Publication Date: 2004
• Language: English
• ISBN 10: 0521547571
• ISBN 13: 9780521547574
• Binding: Paperback
• Condition: new

About this title

Synopsis

This textbook provides an introduction to financial option valuation for undergraduates. Solutions available from solutions@cambridge.org.

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).