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An introduction to financial option valuation : mathematics, stochastics, and computation / Desmond J. Higham.

By: Material type: TextTextPublisher: New York : Cambridge University Press, 2004Description: xxi, 273 pISBN:
  • 0521838843
  • 0521547571 (pb.)
Subject(s): DDC classification:
  • 332.64/53 22
LOC classification:
  • HG6024.A3 H532 2004
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.
Review: "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.
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Includes bibliographical references and index.

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.

"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.

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