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

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

Label
An introduction to financial option valuation : mathematics, stochastics, and computation
Title
An introduction to financial option valuation
Title remainder
mathematics, stochastics, and computation
Statement of responsibility
Desmond J. Higham
Creator
Subject
Language
eng
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
Cataloging source
DLC
Dewey number
332.64/53
Index
index present
LC call number
HG6024.A3
LC item number
H532 2004
Literary form
non fiction
Nature of contents
bibliography
Label
An introduction to financial option valuation : mathematics, stochastics, and computation, Desmond J. Higham
Publication
Bibliography note
Includes bibliographical references and index
http://library.link/vocab/branchCode
  • zbnus
  • mel
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
Control code
000025179162
Dimensions
25 cm
Extent
xxi, 273 p.
Isbn
9780521838849
Lccn
2003069572
http://library.link/vocab/recordID
.b20609267
System control number
  • 25179162lw
  • (OCoLC)53901306

Library Locations

    • Deakin University Library - Melbourne Burwood CampusBorrow it
      221 Burwood Highway, Burwood, Victoria, 3125, AU
      -37.846510 145.115099
    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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