An introduction to financial option valuation: mathematics, stochastics, and computation
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 co...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2004
|
| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (xxi, 273 pages) |
| ISBN: | 9780511800948 |
| DOI: | 10.1017/CBO9780511800948 |
Internformat
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV043943764 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 161206s2004 |||| o||u| ||||||eng d | ||
| 020 | |a 9780511800948 |c Online |9 978-0-511-80094-8 | ||
| 024 | 7 | |a 10.1017/CBO9780511800948 |2 doi | |
| 035 | |a (ZDB-20-CBO)CR9780511800948 | ||
| 035 | |a (OCoLC)859645042 | ||
| 035 | |a (DE-599)BVBBV043943764 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-12 |a DE-92 | ||
| 082 | 0 | |a 332.64/53 |2 22 | |
| 084 | |a QK 650 |0 (DE-625)141674: |2 rvk | ||
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 100 | 1 | |a Higham, Desmond J. |d 1964- |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a An introduction to financial option valuation |b mathematics, stochastics, and computation |c Desmond J. Higham |
| 264 | 1 | |a Cambridge |b Cambridge University Press |c 2004 | |
| 300 | |a 1 online resource (xxi, 273 pages) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 500 | |a Title from publisher's bibliographic system (viewed on 05 Oct 2015) | ||
| 505 | 8 | |a Option valuation preliminaries -- Random variables -- Computer simulation -- Asset price movement -- Asset price model: part I -- Asset price model: part II -- Black-Scholes PDE and formulas -- More on hedging -- The Greeks -- More on the Black-Scholes formulas -- Risk neutrality -- Solving a nonlinear equation -- Implied volitility -- The Monte Carlo method -- The binomial method -- Cash-or-nothing options -- American options -- Exotic options -- Historical volatility -- Monte Carlo part II: variance reduction by antithetic variates -- Monte Carlo part III: variance reduction by control variates -- Finite difference methods -- Finite difference methods for the Black-Scholes PDE. | |
| 520 | |a 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 | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Options (Finance) / Valuation / Mathematical models | |
| 650 | 4 | |a Options (Finance) / Prices / Mathematical models | |
| 650 | 4 | |a Derivative securities | |
| 650 | 0 | 7 | |a Optionsgeschäft |0 (DE-588)4043670-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Monte-Carlo-Simulation |0 (DE-588)4240945-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Black-Scholes-Modell |0 (DE-588)4206283-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a MATLAB |0 (DE-588)4329066-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mathematische Methode |0 (DE-588)4155620-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Optionspreistheorie |0 (DE-588)4135346-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Bewertung |0 (DE-588)4006340-9 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Optionspreistheorie |0 (DE-588)4135346-8 |D s |
| 689 | 0 | 1 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |D s |
| 689 | 0 | 2 | |a Black-Scholes-Modell |0 (DE-588)4206283-4 |D s |
| 689 | 0 | 3 | |a Monte-Carlo-Simulation |0 (DE-588)4240945-7 |D s |
| 689 | 0 | 4 | |a MATLAB |0 (DE-588)4329066-8 |D s |
| 689 | 0 | |8 1\p |5 DE-604 | |
| 689 | 1 | 0 | |a Optionsgeschäft |0 (DE-588)4043670-6 |D s |
| 689 | 1 | 1 | |a Bewertung |0 (DE-588)4006340-9 |D s |
| 689 | 1 | 2 | |a Mathematische Methode |0 (DE-588)4155620-3 |D s |
| 689 | 1 | |8 2\p |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druckausgabe |z 978-0-521-54757-4 |
| 776 | 0 | 8 | |i Erscheint auch als |n Druckausgabe |z 978-0-521-83884-9 |
| 856 | 4 | 0 | |u https://doi.org/10.1017/CBO9780511800948 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-20-CBO | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-029352735 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 883 | 1 | |8 2\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 966 | e | |u https://doi.org/10.1017/CBO9780511800948 |l BSB01 |p ZDB-20-CBO |q BSB_PDA_CBO |x Verlag |3 Volltext | |
| 966 | e | |u https://doi.org/10.1017/CBO9780511800948 |l FHN01 |p ZDB-20-CBO |q FHN_PDA_CBO |x Verlag |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804176887949295616 |
|---|---|
| any_adam_object | |
| author | Higham, Desmond J. 1964- |
| author_facet | Higham, Desmond J. 1964- |
| author_role | aut |
| author_sort | Higham, Desmond J. 1964- |
| author_variant | d j h dj djh |
| building | Verbundindex |
| bvnumber | BV043943764 |
| classification_rvk | QK 650 QK 660 SK 980 |
| collection | ZDB-20-CBO |
| contents | Option valuation preliminaries -- Random variables -- Computer simulation -- Asset price movement -- Asset price model: part I -- Asset price model: part II -- Black-Scholes PDE and formulas -- More on hedging -- The Greeks -- More on the Black-Scholes formulas -- Risk neutrality -- Solving a nonlinear equation -- Implied volitility -- The Monte Carlo method -- The binomial method -- Cash-or-nothing options -- American options -- Exotic options -- Historical volatility -- Monte Carlo part II: variance reduction by antithetic variates -- Monte Carlo part III: variance reduction by control variates -- Finite difference methods -- Finite difference methods for the Black-Scholes PDE. |
| ctrlnum | (ZDB-20-CBO)CR9780511800948 (OCoLC)859645042 (DE-599)BVBBV043943764 |
| dewey-full | 332.64/53 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/53 |
| dewey-search | 332.64/53 |
| dewey-sort | 3332.64 253 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511800948 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>04737nmm a2200721zc 4500</leader><controlfield tag="001">BV043943764</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">161206s2004 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780511800948</subfield><subfield code="c">Online</subfield><subfield code="9">978-0-511-80094-8</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1017/CBO9780511800948</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-20-CBO)CR9780511800948</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)859645042</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043943764</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield><subfield code="a">DE-92</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.64/53</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 650</subfield><subfield code="0">(DE-625)141674:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Higham, Desmond J.</subfield><subfield code="d">1964-</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">An introduction to financial option valuation</subfield><subfield code="b">mathematics, stochastics, and computation</subfield><subfield code="c">Desmond J. Higham</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge</subfield><subfield code="b">Cambridge University Press</subfield><subfield code="c">2004</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (xxi, 273 pages)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Title from publisher's bibliographic system (viewed on 05 Oct 2015)</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Option valuation preliminaries -- Random variables -- Computer simulation -- Asset price movement -- Asset price model: part I -- Asset price model: part II -- Black-Scholes PDE and formulas -- More on hedging -- The Greeks -- More on the Black-Scholes formulas -- Risk neutrality -- Solving a nonlinear equation -- Implied volitility -- The Monte Carlo method -- The binomial method -- Cash-or-nothing options -- American options -- Exotic options -- Historical volatility -- Monte Carlo part II: variance reduction by antithetic variates -- Monte Carlo part III: variance reduction by control variates -- Finite difference methods -- Finite difference methods for the Black-Scholes PDE.</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">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</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Options (Finance) / Valuation / Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Options (Finance) / Prices / Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Optionsgeschäft</subfield><subfield code="0">(DE-588)4043670-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Capital-Asset-Pricing-Modell</subfield><subfield code="0">(DE-588)4121078-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Monte-Carlo-Simulation</subfield><subfield code="0">(DE-588)4240945-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Black-Scholes-Modell</subfield><subfield code="0">(DE-588)4206283-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">MATLAB</subfield><subfield code="0">(DE-588)4329066-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mathematische Methode</subfield><subfield code="0">(DE-588)4155620-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Optionspreistheorie</subfield><subfield code="0">(DE-588)4135346-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Bewertung</subfield><subfield code="0">(DE-588)4006340-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Optionspreistheorie</subfield><subfield code="0">(DE-588)4135346-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Capital-Asset-Pricing-Modell</subfield><subfield code="0">(DE-588)4121078-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Black-Scholes-Modell</subfield><subfield code="0">(DE-588)4206283-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Monte-Carlo-Simulation</subfield><subfield code="0">(DE-588)4240945-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="4"><subfield code="a">MATLAB</subfield><subfield code="0">(DE-588)4329066-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Optionsgeschäft</subfield><subfield code="0">(DE-588)4043670-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Bewertung</subfield><subfield code="0">(DE-588)4006340-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="2"><subfield code="a">Mathematische Methode</subfield><subfield code="0">(DE-588)4155620-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="8">2\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druckausgabe</subfield><subfield code="z">978-0-521-54757-4</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druckausgabe</subfield><subfield code="z">978-0-521-83884-9</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1017/CBO9780511800948</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-20-CBO</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-029352735</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">2\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/CBO9780511800948</subfield><subfield code="l">BSB01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">BSB_PDA_CBO</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/CBO9780511800948</subfield><subfield code="l">FHN01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">FHN_PDA_CBO</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV043943764 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:39:20Z |
| institution | BVB |
| isbn | 9780511800948 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029352735 |
| oclc_num | 859645042 |
| open_access_boolean | |
| owner | DE-12 DE-92 |
| owner_facet | DE-12 DE-92 |
| physical | 1 online resource (xxi, 273 pages) |
| psigel | ZDB-20-CBO ZDB-20-CBO BSB_PDA_CBO ZDB-20-CBO FHN_PDA_CBO |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Cambridge University Press |
| record_format | marc |
| spelling | Higham, Desmond J. 1964- Verfasser aut An introduction to financial option valuation mathematics, stochastics, and computation Desmond J. Higham Cambridge Cambridge University Press 2004 1 online resource (xxi, 273 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) Option valuation preliminaries -- Random variables -- Computer simulation -- Asset price movement -- Asset price model: part I -- Asset price model: part II -- Black-Scholes PDE and formulas -- More on hedging -- The Greeks -- More on the Black-Scholes formulas -- Risk neutrality -- Solving a nonlinear equation -- Implied volitility -- The Monte Carlo method -- The binomial method -- Cash-or-nothing options -- American options -- Exotic options -- Historical volatility -- Monte Carlo part II: variance reduction by antithetic variates -- Monte Carlo part III: variance reduction by control variates -- Finite difference methods -- Finite difference methods for the Black-Scholes PDE. 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 Mathematisches Modell Options (Finance) / Valuation / Mathematical models Options (Finance) / Prices / Mathematical models Derivative securities Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Monte-Carlo-Simulation (DE-588)4240945-7 gnd rswk-swf Black-Scholes-Modell (DE-588)4206283-4 gnd rswk-swf MATLAB (DE-588)4329066-8 gnd rswk-swf Mathematische Methode (DE-588)4155620-3 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Black-Scholes-Modell (DE-588)4206283-4 s Monte-Carlo-Simulation (DE-588)4240945-7 s MATLAB (DE-588)4329066-8 s 1\p DE-604 Optionsgeschäft (DE-588)4043670-6 s Bewertung (DE-588)4006340-9 s Mathematische Methode (DE-588)4155620-3 s 2\p DE-604 Erscheint auch als Druckausgabe 978-0-521-54757-4 Erscheint auch als Druckausgabe 978-0-521-83884-9 https://doi.org/10.1017/CBO9780511800948 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Higham, Desmond J. 1964- An introduction to financial option valuation mathematics, stochastics, and computation Option valuation preliminaries -- Random variables -- Computer simulation -- Asset price movement -- Asset price model: part I -- Asset price model: part II -- Black-Scholes PDE and formulas -- More on hedging -- The Greeks -- More on the Black-Scholes formulas -- Risk neutrality -- Solving a nonlinear equation -- Implied volitility -- The Monte Carlo method -- The binomial method -- Cash-or-nothing options -- American options -- Exotic options -- Historical volatility -- Monte Carlo part II: variance reduction by antithetic variates -- Monte Carlo part III: variance reduction by control variates -- Finite difference methods -- Finite difference methods for the Black-Scholes PDE. Mathematisches Modell Options (Finance) / Valuation / Mathematical models Options (Finance) / Prices / Mathematical models Derivative securities Optionsgeschäft (DE-588)4043670-6 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd Black-Scholes-Modell (DE-588)4206283-4 gnd MATLAB (DE-588)4329066-8 gnd Mathematische Methode (DE-588)4155620-3 gnd Optionspreistheorie (DE-588)4135346-8 gnd Bewertung (DE-588)4006340-9 gnd |
| subject_GND | (DE-588)4043670-6 (DE-588)4121078-5 (DE-588)4240945-7 (DE-588)4206283-4 (DE-588)4329066-8 (DE-588)4155620-3 (DE-588)4135346-8 (DE-588)4006340-9 |
| title | An introduction to financial option valuation mathematics, stochastics, and computation |
| title_auth | An introduction to financial option valuation mathematics, stochastics, and computation |
| title_exact_search | An introduction to financial option valuation mathematics, stochastics, and computation |
| title_full | An introduction to financial option valuation mathematics, stochastics, and computation Desmond J. Higham |
| title_fullStr | An introduction to financial option valuation mathematics, stochastics, and computation Desmond J. Higham |
| title_full_unstemmed | An introduction to financial option valuation mathematics, stochastics, and computation Desmond J. Higham |
| title_short | An introduction to financial option valuation |
| title_sort | an introduction to financial option valuation mathematics stochastics and computation |
| title_sub | mathematics, stochastics, and computation |
| topic | Mathematisches Modell Options (Finance) / Valuation / Mathematical models Options (Finance) / Prices / Mathematical models Derivative securities Optionsgeschäft (DE-588)4043670-6 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd Black-Scholes-Modell (DE-588)4206283-4 gnd MATLAB (DE-588)4329066-8 gnd Mathematische Methode (DE-588)4155620-3 gnd Optionspreistheorie (DE-588)4135346-8 gnd Bewertung (DE-588)4006340-9 gnd |
| topic_facet | Mathematisches Modell Options (Finance) / Valuation / Mathematical models Options (Finance) / Prices / Mathematical models Derivative securities Optionsgeschäft Capital-Asset-Pricing-Modell Monte-Carlo-Simulation Black-Scholes-Modell MATLAB Mathematische Methode Optionspreistheorie Bewertung |
| url | https://doi.org/10.1017/CBO9780511800948 |
| work_keys_str_mv | AT highamdesmondj anintroductiontofinancialoptionvaluationmathematicsstochasticsandcomputation |