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...

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Bibliographic Details

Main Author:	Higham, Desmond J. 1964- (Author)
Format:	Electronic eBook
Language:	English
Published:	Cambridge Cambridge University Press 2004
Subjects:	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
Online Access:	BSB01 FHN01 Volltext
Summary:	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
Item Description:	Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Physical Description:	1 online resource (xxi, 273 pages)
ISBN:	9780511800948
DOI:	10.1017/CBO9780511800948