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

http://www.mathworks.com/support/books/book48479.html

First submitted by MathWorks Classroom Resources Team on 6 Feb 2010

Undergraduate textbook on financial option valuation, with extensive MATLAB examples

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Date	Contributor	Description	Rating
6 Feb 2010	MathWorks Classroom Resources Team	"An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation", by Desmond J. Higham. Published by Cambridge University Press. == Table of Contents == 1 Options 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 Monte Carlo method 16 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

6 Feb 2010

MathWorks Classroom Resources Team

"An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation", by Desmond J. Higham. Published by Cambridge University Press.

== Table of Contents ==
1 Options
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 Monte Carlo method
16 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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language english	MathWorks Classroom Resources Team	6 Feb 2010 at 10:19pm
academic	MathWorks Classroom Resources Team	6 Feb 2010 at 10:19pm
textbook	MathWorks Classroom Resources Team	6 Feb 2010 at 10:19pm
business economics and finance	MathWorks Classroom Resources Team	6 Feb 2010 at 10:19pm
computational finance	MathWorks Classroom Resources Team	6 Feb 2010 at 10:19pm