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

Higham, Desmond

 
9780521547574: An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation
Tapa blanda
ISBN 10: 0521547571 ISBN 13: 9780521547574
Editorial: Cambridge University Press, 2004

Sinopsis

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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Acerca del autor

Des Higham is a Professor of Mathematics at the University of Strathclyde. His previous books include MATLAB Guide (with Nicholas J. Higham, 2005) and Learning LaTeX (with David F. Griffiths, 1997).

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Cambridge University Press
Año de publicación
2004
Idioma
Inglés
ISBN 10 
0521547571
ISBN 13 
9780521547574
Encuadernación
Tapa blanda
Número de páginas
296
Contacto del fabricante
no disponible
Persona responsable
gpsr@libri.de
gpsr@libri.de

Friedensallee 273
Hamburg
22763
Alemania

Otras ediciones populares con el mismo título

9780521838849: An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation

Edición Destacada

ISBN 10:  0521838843 ISBN 13:  9780521838849
Editorial: Cambridge University Press, 2004
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