TY - BOOK ID - 1457895 TI - An introduction to financial option valuation : mathematics, stochastics, and computation PY - 2004 SN - 0521547571 9780521547574 9780521838849 0521838843 9780511800948 1107162300 051133639X 0511800940 0511648707 0511567170 0511337043 9780511648700 9780511337048 9780511252785 0511252781 9780511336393 9780511336393 9781107162303 9780511567179 1139637185 9780511644702 0511644701 9781139637183 9781282389458 1282389459 PB - Cambridge : Cambridge University Press, DB - UniCat KW - Money market. Capital market KW - Numerical analysis KW - Options (Finance) KW - Derivative securities. KW - Options (Finances) KW - Instruments dérivés (Finances) KW - Valuation KW - Mathematical models. KW - Prices KW - Prix KW - Modèles mathématiques KW - Derivative securities KW - Mathematical models KW - AA / International- internationaal KW - 333.605 KW - 305.91 KW - Nieuwe financiële instrumenten. KW - Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. KW - Derivative financial instruments KW - Derivative financial products KW - Derivative instruments KW - Derivatives (Finance) KW - Financial derivatives KW - Securities KW - Structured notes (Securities) KW - Call options KW - Calls (Finance) KW - Listed options KW - Options exchange KW - Options market KW - Options trading KW - Put and call transactions KW - Put options KW - Puts (Finance) KW - Investments KW - Nieuwe financiële instrumenten KW - Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles KW - Instruments financiers KW - Mathematical Sciences KW - General and Others KW - Options (Finance) - Valuation - Mathematical models KW - Options (Finance) - Prices - Mathematical models KW - Option UR - https://www.unicat.be/uniCat?func=search&query=sysid:1457895 AB - 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. ER -