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Book Cover
Book
Author Higham, Desmond J., 1964-

Title An introduction to financial option valuation : mathematics, stochastics and computation / Desmond J. Higham
Published Cambridge : Cambridge University Press, 2004

Copies

Location Call no. Vol. Availability
 MELB  332.6453 Hig/Itf  AVAILABLE
Description xxi, 273 pages : illustrations ; 26 cm
Contents 1. Options -- 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. Monte Carlo method -- 16. 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 variaties -- 22. Monte Carlo part III : variance reduction by control variates -- 23. Finite difference methods -- 24. Finite difference methods for the Black-Scholes PDE
Summary "This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of 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."--BOOK JACKET
Notes Includes index
Bibliography Bibliography: pages 267-270
Audience For undergraduate students in mathematics, statistics and related areas
Subject Derivative securities.
Options (Finance) -- Prices -- Mathematical models.
Options (Finance) -- Valuation -- Mathematical models.
LC no. 2003069572
ISBN 0521838843 hardback
0521547571 paperback