Description |
xxi, 273 pages : illustrations ; 26 cm |
Contents |
1. Options -- 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. Monte Carlo method -- 16. 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 variaties -- 22. Monte Carlo part III : variance reduction by control variates -- 23. Finite difference methods -- 24. Finite difference methods for the Black-Scholes PDE |
Summary |
"This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of 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."--BOOK JACKET |
Notes |
Includes index |
Bibliography |
Bibliography: pages 267-270 |
Audience |
For undergraduate students in mathematics, statistics and related areas |
Subject |
Derivative securities.
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Options (Finance) -- Prices -- Mathematical models.
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Options (Finance) -- Valuation -- Mathematical models.
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LC no. |
2003069572 |
ISBN |
0521838843 hardback |
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0521547571 paperback |
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