An Introduction to Financial
Mathematics, Stochastics and Computation
DESMOND J. HIGHAM
Department of Mathematics
University of Strathclyde
PUBLISHED BY THE PRESS SYNDICATE OF THE UNIVERSITY OF CAMBRIDGE
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CAMBRIDGE UNIVERSITY PRESS
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© Cambridge University Press 2004
This book is in copyright. Subject to statutory exception
and to the provisions of relevant collective licensing agreements,
no reproduction of any part may take place without
the written permission of Cambridge University Press.
First published 2004
Printed in the United Kingdom at the University Press, Cambridge
Typeface Times 11/14 pt. System LATEX2e [TB]
A catalogue record for this book is available from the British Library
Library of Congress Cataloguing in Publication data
Higham, D. J. (Desmond J.)
An introduction to financial option valuation : mathematics, stochastics, and computation / Desmond J.
Includes bibliographical references and index.
ISBN 0 521 83884 3 – ISBN 0 521 54757 1 (paperback)
1. Options (Finance) – Valuation – Mathematical models. 2. Options (Finance) – Prices – Mathematical
models. 3. Derivative securities. I. Title.
332.64′53 – dc22 2003069572
ISBN 0 521 83884 3 hardback
ISBN 0 521 54757 1 paperback
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