An Introduction to Financial Option Valuation
eBook - PDF

An Introduction to Financial Option Valuation

Mathematics, Stochastics and Computation

  1. English
  2. PDF
  3. Available on iOS & Android
eBook - PDF

An Introduction to Financial Option Valuation

Mathematics, Stochastics and Computation

Book details
Table of contents
Citations

About This Book

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 Blackā€“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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Yes, you can access An Introduction to Financial Option Valuation by Desmond J. Higham in PDF and/or ePUB format, as well as other popular books in Mathematics & Applied Mathematics. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Cambridge University Press
Year
2004
ISBN
9780511252785
Topic
Mathematics
Subtopic
Applied Mathematics
Index
Mathematics

Table of contents

  1. Cover
  2. Half Title
  3. Title Page
  4. Copyright
  5. Dedication
  6. Contents
  7. List of illustrations
  8. Preface
  9. 1 Options
  10. 2 Option valuation preliminaries
  11. 3 Random variables
  12. 4 Computer simulation
  13. 5 Asset price movement
  14. 6 Asset price model: Part I
  15. 7 Asset price model: Part II
  16. 8 Blackā€“Scholes PDE and formulas
  17. 9 More on hedging
  18. 10 The Greeks
  19. 11 More on the Blackā€“Scholes formulas
  20. 12 Risk neutrality
  21. 13 Solving a nonlinear equation
  22. 14 Implied volatility
  23. 15 Monte Carlo method
  24. 16 Binomial method
  25. 17 Cash-or-nothing options
  26. 18 American options
  27. 19 Exotic options
  28. 20 Historical volatility
  29. 21 Monte Carlo Part II: variance reduction by antithetic variates
  30. 22 Monte Carlo Part III: variance reduction by control variates
  31. 23 Finite difference methods
  32. 24 Finite difference methods for the Blackā€“Scholes PDE
  33. References
  34. Index