Hidden Bibliographic Details
| ISBN: | 9780511800948
0511800940
9780511648700
0511648707
0511337043
9780511337048
9780511252785
0511252781
051133639X
9780511336393
0521838843
9780521838849
0521547571
9780521547574
9780511336393
1107162300
9781107162303
0511567170
9780511567179
9780511644702
0511644701
9781139637183
1139637185
9781282389458
1282389459
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| Notes: | Includes bibliographical references (pages 267-270) and index.
English.
Print version record.
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| Summary: | Textbook providing an introduction to financial option valuation for undergraduates. Solutions available from solutions@cambridge.org.
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 Blаскђ́أScholes 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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| Other form: | Print version: Higham, D.J. (Desmond J.). Introduction to financial option valuation. Cambridge, UK ; New York : Cambridge University Press, 2004 0521838843
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