Mathematics, Stochastics and Computation
This textbook by Desmond J. Higham offers a clear introduction to financial option valuation. It is intended for students with basic knowledge of calculus and combines applied mathematics, stochastics, and computational techniques. Each chapter includes independent MATLAB code that links the theory to practical examples using real stock market data.
Contents
The book covers fundamental models for financial option pricing, including the Black-Scholes equation, without requiring prior knowledge of probability theory, statistics, or numerical analysis. In addition to theoretical foundations, computational methods are discussed in depth, such as binomial models, finite differences, and variance reduction for Monte Carlo simulations. By combining mathematical insight with practical applications, this is a valuable resource for anyone who wants to delve into financial option valuation.
Product specifications
- Author: Desmond J. Higham (University of Strathclyde)
- Publisher: Cambridge University Press
- Format: Trade paperback (US)
- Publication date: 2004-04-15
- Number of pages: 296
- ISBN: 9780521547574
- Subject: Probability and statistics
- BISAC: MATHEMATICS / Probability & Statistics / General
About the author
Des Higham is a professor of mathematics at the University of Strathclyde. Previously, he wrote, among other things, MATLAB Guide (with Nicholas J. Higham, 2005) and Learning LaTeX (with David F. Griffiths, 1997).