An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation

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9780521547574: An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation

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Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Revue de presse :

'… a well organized and well written text. The book 'does what it says on the cover', is written in plain English and I think is an excellent introductory text. It will be useful to students from a wide range of backgrounds and an essential complement to the standard undergraduate course which embeds mathematical finance into probability theory. Finally, with it being studded with references, it provides an easy entry into deeper material.' Chris Barnett, UK Nonlinear News

' … this is a very accessible basic introduction to the subject and Des Higham's unique writing style with many quotes and side remarks makes the reading even more enjoyable.' L. Grune, Z. Angew. Math. Mech.

'A colleague and I use Desmond Higham's financial options book in our Computational Finance and Applied Optimal (stochastic) Control courses as a very good computational reference, but some of the motivations are very good too, such as call-put parity and the Black-Scholes derivation. Our students find it very helpful for its MATLAB code and we have cited it in a risk-neutral Monte-Carlo paper.' Floyd B. Hanson, University of Illinois at Chicago

'This book provides a clear introduction to elementary option pricing via Matlab. It is eminently suitable for advanced undergraduates and beginning graduates.' Dr Brad Baxter, Birkbeck College, University of London

'The material is presented in a … vivid and pedagogical manner. …It could equally well be ready by people with limited mathematical knowledge wanting to learn the basics of mathematical finance …' Zentralblatt MATH

Présentation de l'éditeur :

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.

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Desmond Higham
Edité par CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2004)
ISBN 10 : 0521547571 ISBN 13 : 9780521547574
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Description du livre CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2004. Paperback. État : New. 242 x 174 mm. Language: English Brand New Book ***** Print on Demand *****.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. N° de réf. du libraire AAV9780521547574

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Description du livre Cambridge University Press. Paperback. État : new. BRAND NEW PRINT ON DEMAND., An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, Desmond Higham, 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. N° de réf. du libraire B9780521547574

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Desmond Higham
Edité par CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2004)
ISBN 10 : 0521547571 ISBN 13 : 9780521547574
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Description du livre CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2004. Paperback. État : New. 242 x 174 mm. Language: English . Brand New Book ***** Print on Demand *****. 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. N° de réf. du libraire AAV9780521547574

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Description du livre Cambridge University Press, 2004. PAP. État : New. New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du libraire LQ-9780521547574

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Higham, Desmond
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Description du livre Cambridge University Press, 2016. Paperback. État : New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. N° de réf. du libraire ria9780521547574_lsuk

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Description du livre Cambridge Univ Pr, 2004. Paperback. État : Brand New. 276 pages. 9.25x6.75x0.75 inches. In Stock. N° de réf. du libraire __0521547571

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Description du livre 2004. Paperback. État : NEW. 9780521547574 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. N° de réf. du libraire HTANDREE0462613

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Higham, Desmond
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