| An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation Contributor(s): Higham, Desmond J. (Author) |
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ISBN: 0521547571 ISBN-13: 9780521547574 Publisher: Cambridge University Press OUR PRICE: $66.49 Product Type: Paperback - Other Formats Published: April 2004 Annotation: 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. |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General - Mathematics | Applied |
| Dewey: 332.645 |
| LCCN: 2003069572 |
| Physical Information: 0.7" H x 6.7" W x 9.5" (1.05 lbs) 273 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |
Contributor Bio(s): Higham, Desmond: - 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). |
