An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation - PDF free download eBook

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  • Published: 03.01.2019
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Introduction

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...

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

Original Title
An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation
ISBN13
9780521547574
First Published
2004 year
Edition Format
Paperback
Number of Pages
273 pages
Book Language
English
Ebook Format
PDF, EPUB

Some brief overview of this book

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 n 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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