An introduction to financial option valuation: mathematics, stochastics and computation

D.J. Higham

Research output: Book/ReportBook

Abstract

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.
LanguageEnglish
Place of PublicationCambridge, UK
Number of pages273
DOIs
Publication statusPublished - 2004

Fingerprint

Option Valuation
Black-Scholes Equation
Variance Reduction
Computational Techniques
Stochastic Algorithms
Computational Algorithm
Stock Market
Applied mathematics
Monte Carlo method
MATLAB
Numerical Analysis
Figure
Finite Difference
Calculus
Statistics
Series
Model
Presentation
Knowledge
Background

Keywords

  • mathematical models
  • valuation
  • options
  • finance

Cite this

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

Cambridge, UK, 2004. 273 p.

Research output: Book/ReportBook

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