An Introduction to Financial Option Valuation

Mathematics, Stochastics and Computation

Häftad, Engelska, 2004

839 kr

Beställningsvara. Skickas inom 7-10 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

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.

Produktinformation

Utgivningsdatum2004-04-15
Mått170 x 241 x 18 mm
Vikt480 g
FormatHäftad
SpråkEngelska
Antal sidor296
FörlagCambridge University Press
ISBN9780521547574

Tillhör följande kategorier

1. Introduction; 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. The Monte Carlo method; 16. The 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 variates; 22. Monte Carlo part III: variance reduction by control variates; 23. Finite difference methods; 24. Finite difference methods for the Black–Scholes PDE.

'… 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