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An introduction to financial option valuation : mathematics, stochastics, and computation

An introduction to financial option valuation : mathematics, stochastics, and computation (Loan 47 times)

Material type
단행본
Personal Author
Higham, D. J. (Desmond J.)
Title Statement
An introduction to financial option valuation : mathematics, stochastics, and computation / Desmond J. Higham.
Publication, Distribution, etc
New York :   Cambridge University Press,   2004   (2008 printing)  
Physical Medium
273 p. : ill. ; 25 cm.
ISBN
0521838843 0521547571 (pbk.) 9780521547574 (pbk.)
General Note
Reprinted with corrections.  
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Options (Finance) -- Valuation -- Mathematical models. Options (Finance) -- Prices -- Mathematical models. Derivative securities.
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020 ▼a 0521838843
020 ▼a 0521547571 (pbk.)
020 ▼a 9780521547574 (pbk.)
035 ▼a (KERIS)REF000009878413
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
050 0 0 ▼a HG6024.A3 ▼b H532 2004
082 0 0 ▼a 332.64/53 ▼2 22
084 ▼a 332.6453 ▼2 DDCK
090 ▼a 332.6453 ▼b H638i
100 1 ▼a Higham, D. J. ▼q (Desmond J.)
245 1 3 ▼a An introduction to financial option valuation : ▼b mathematics, stochastics, and computation / ▼c Desmond J. Higham.
260 ▼a New York : ▼b Cambridge University Press, ▼c 2004 ▼g (2008 printing)
300 ▼a 273 p. : ▼b ill. ; ▼c 25 cm.
500 ▼a Reprinted with corrections.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Options (Finance) ▼x Valuation ▼x Mathematical models.
650 0 ▼a Options (Finance) ▼x Prices ▼x Mathematical models.
650 0 ▼a Derivative securities.
945 ▼a KINS

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No. 1 Location Main Library/Western Books/ Call Number 332.6453 H638i Accession No. 111530714 Availability Available Due Date Make a Reservation Service B M
No. 2 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.6453 H638i Accession No. 121126076 Availability Available Due Date Make a Reservation Service B M
No. 3 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.6453 H638i Accession No. 121207299 Availability Available Due Date Make a Reservation Service B M
No. 4 Location Sejong Academic Information Center/Social Science/ Call Number 332.6453 H638i Accession No. 151311876 Availability Available Due Date Make a Reservation Service
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.6453 H638i Accession No. 111530714 Availability Available Due Date Make a Reservation Service B M
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.6453 H638i Accession No. 121126076 Availability Available Due Date Make a Reservation Service B M
No. 2 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.6453 H638i Accession No. 121207299 Availability Available Due Date Make a Reservation Service B M
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.6453 H638i Accession No. 151311876 Availability Available Due Date Make a Reservation Service

Contents information

Table of Contents

1. Introduction; 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. The Monte Carlo method; 16. The 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 variates; 22. Monte Carlo part III: variance reduction by control variates; 23. Finite difference methods; 24. Finite difference methods for the Black?Scholes PDE.


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