An introduction to financial option valuation : (Record no. 520230)
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| 000 -LEADER | |
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| fixed length control field | 02922nam a22003618i 4500 |
| 001 - CONTROL NUMBER | |
| control field | CR9780511800948 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | UkCbUP |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20200124160259.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m|||||o||d|||||||| |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr|||||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 101021s2004||||enk o ||1 0|eng|d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780511800948 (ebook) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9780521838849 (hardback) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9780521547574 (paperback) |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | UkCbUP |
| Language of cataloging | eng |
| Description conventions | rda |
| Transcribing agency | UkCbUP |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG6024.A3 |
| Item number | H532 2004 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.64/53 |
| Edition number | 22 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Higham, Desmond J., |
| Dates associated with a name | 1964- |
| Relator term | author. |
| 245 13 - TITLE STATEMENT | |
| Title | An introduction to financial option valuation : |
| Remainder of title | mathematics, stochastics, and computation / |
| Statement of responsibility, etc | Desmond J. Higham. |
| 264 #1 - Production, Publication, Distribution, Manufacture, and Copyright Notice (R) | |
| Place of production, publication, distribution, manufacture (R) | Cambridge : |
| Name of producer, publisher, distributor, manufacturer (R) | Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2004. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (xxi, 273 pages) : |
| Other physical details | digital, PDF file(s). |
| 336 ## - Content Type (R) | |
| Content type term (R) | text |
| Content type code (R) | txt |
| Source (NR) | rdacontent |
| 337 ## - Media Type (R) | |
| Media type term (R) | computer |
| Media type code (R) | c |
| Source (NR) | rdamedia |
| 338 ## - Carrier Type (R) | |
| Carrier type term (R) | online resource |
| Carrier type code (R) | cr |
| Source (NR) | rdacarrier |
| 500 ## - GENERAL NOTE | |
| General note | Title from publisher's bibliographic system (viewed on 05 Oct 2015). |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Option valuation preliminaries -- Random variables -- Computer simulation -- Asset price movement -- Asset price model: part I -- Asset price model: part II -- Black-Scholes PDE and formulas -- More on hedging -- The Greeks -- More on the Black-Scholes formulas -- Risk neutrality -- Solving a nonlinear equation -- Implied volitility -- The Monte Carlo method -- The binomial method -- Cash-or-nothing options -- American options -- Exotic options -- Historical volatility -- Monte Carlo part II: variance reduction by antithetic variates -- Monte Carlo part III: variance reduction by control variates -- Finite difference methods -- Finite difference methods for the Black-Scholes PDE. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Options (Finance) |
| General subdivision | Valuation |
| -- | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Options (Finance) |
| General subdivision | Prices |
| -- | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Derivative securities. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print version: |
| International Standard Book Number | 9780521838849 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://doi.org/10.1017/CBO9780511800948">https://doi.org/10.1017/CBO9780511800948</a> |
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