TAILIEUCHUNG - An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation_1

Tham khảo tài liệu 'an introduction to financial option valuation: mathematics, stochastics and computation_1', tài chính - ngân hàng, tài chính doanh nghiệp phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | Desmond J. Higham An introduction to Financial Option valuation Mathematics. Stochastics and Computation Cambridge k Vi 978O521838849 This page intentionally left blank AN INTRODUCTION TO FINANCIAL OPTION VALUATION Mathematics Stochastics and Computation This is a lively X o k poVi di nig a solid n to financial option val uaiH n for undergraduate students armed with only a working knowledge ol lisst year calculus. Written as a series of short chapters this self-contained treatment gives equal weight to applied mathematics stochastics and computational algorithms with no prior background in probability statistics or numerical analysis 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. The author has made heavy use of ligi i cs and xx-amples and has included computations based on real stock market data. Solutions to exercises are made available at . Des Higham is a professor of mathematics at the University of .51 1111011x10. I 1c has co-written two previous books MATLAB Guide and Learning LaTeX. In 2005 he was awarded the Germund Dahlquist Prize by the Socíclf I oi didusialal and Applied Mathematics for his research contributions to a broad range of problems in numerical .

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