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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Produktdetaljer
ISBN
9781139637183
Publisert
2013
Utgave
1. utgave
Utgiver
Vendor
Cambridge University Press
Språk
Product language
Engelsk
Format
Product format
Digital bok
Forfatter