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An Introduction to Financial Option Valuation

An Introduction to Financial Option Valuation
Mathematics, Stochastics and Computation

$63.00

textbook
  • Date Published: April 2004
  • availability: In stock
  • format: Paperback
  • isbn: 9780521547574

$63.00
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  • This book is intended for use in a rigorous introductory PhD level course in econometrics, or in a field course in econometric theory. It covers the measure-theoretical foundation of probability theory, the multivariate normal distribution with its application to classical linear regression analysis, various laws of large numbers, central limit theorems and related results for independent random variables as well as for stationary time series, with applications to asymptotic inference of M-estimators, and maximum likelihood theory. Some chapters have their own appendices containing the more advanced topics and/or difficult proofs. Moreover, there are three appendices with material that is supposed to be known. Appendix I contains a comprehensive review of linear algebra, including all the proofs. Appendix II reviews a variety of mathematical topics and concepts that are used throughout the main text, and Appendix III reviews complex analysis. Therefore, this book is uniquely self-contained.

    • Introduction to all aspects of Financial Option Valuation, requiring only basic calculus
    • Comes with MATLAB code, exercises and examples using real stock market data
    • Solutions available from solutions@cambridge.org
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    Reviews & endorsements

    "...well organized and well written...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." UK Nonlinear News

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    Product details

    • Date Published: April 2004
    • format: Paperback
    • isbn: 9780521547574
    • length: 291 pages
    • dimensions: 246 x 174 x 18 mm
    • weight: 0.657kg
    • contains: 120 exercises
    • availability: In stock
  • Table of Contents

    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.

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  • Author

    Desmond Higham, University of Strathclyde
    Des Higham is a Professor of Mathematics at the University of Strathclyde. He has written 2 previous books, MATLAB Guide 0898715164 and Learning LaTeX 08988715164.

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