An Introduction to Financial Option Valuation

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Beschreibung

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.

Über den Autor

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).

Inhaltsverzeichnis

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.

Details

Medium:	Taschenbuch
Seiten:	296
ISBN-13:	9780521547574
ISBN-10:	0521547571
Sprache:	Englisch
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	Higham, Desmond
Hersteller:	Cambridge University Press
Maße:	244 x 170 x 17 mm
Von/Mit:	Desmond Higham
Erscheinungsdatum:	26.08.2015
Gewicht:	0,515 kg

preigu-id: 107984890

Über den Autor

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).

Inhaltsverzeichnis

Details

Medium:	Taschenbuch
Seiten:	296
ISBN-13:	9780521547574
ISBN-10:	0521547571
Sprache:	Englisch
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	Higham, Desmond
Hersteller:	Cambridge University Press
Maße:	244 x 170 x 17 mm
Von/Mit:	Desmond Higham
Erscheinungsdatum:	26.08.2015
Gewicht:	0,515 kg