An Introduction to Financial Option Valuation
Mathematics, Stochastics and Computation
- Author: Desmond J. Higham, University of Strathclyde
- Date Published: April 2004
- availability: Available
- format: Paperback
- isbn: 9780521547574
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 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.
Read more- Introduction to all aspects of Financial Option Valuation, requiring only basic calculus
- Comes with MATLAB code, exercises and examples using real stock market data
- Solutions available from [email protected]
Awards
- Winner of the 2005 Germund Dalquist Prize awarded by SIAM
Reviews & endorsements
"...well organized and well written...an excellent introductory text. It will be useful to students from a wide range of backgrounds and an essential complement to the standard undergraduate course which embeds mathematical finance into probability theory." UK Nonlinear News
Customer reviews
Not yet reviewed
Be the first to review
Review was not posted due to profanity
×Product details
- Date Published: April 2004
- format: Paperback
- isbn: 9780521547574
- length: 296 pages
- dimensions: 241 x 170 x 18 mm
- weight: 0.48kg
- contains: 120 exercises
- availability: Available
Table of Contents
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 volatility
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.-
General Resources
Find resources associated with this title
Type Name Unlocked * Format Size Showing of
This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to instructors whose faculty status has been verified. To gain access to locked resources, instructors should sign in to or register for a Cambridge user account.
Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other instructors may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.
Supplementary resources are subject to copyright. Instructors are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.
If you are having problems accessing these resources please contact [email protected].
Instructors have used or reviewed this title for the following courses
- A Mathematical Introduction to Options
- Economic Forecasting
- Introduction to Financial Engineering
- Statistical Methods with Applications to Finance
- Topics in Financial Mathematics
Sorry, this resource is locked
Please register or sign in to request access. If you are having problems accessing these resources please email [email protected]
Register Sign in» Proceed
You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.
Continue ×Are you sure you want to delete your account?
This cannot be undone.
Thank you for your feedback which will help us improve our service.
If you requested a response, we will make sure to get back to you shortly.
×