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'… a well organized and well written text. The book 'does what it says on the cover', is written in plain English and I think is an excellent introductory text. It will be useful to students from a wide range of backgrounds and an essential complement to the standard undergraduate course which embeds mathematical finance into probability theory. Finally, with it being studded with references, it provides an easy entry into deeper material.' Chris Barnett, UK Nonlinear News
' … this is a very accessible basic introduction to the subject and Des Higham's unique writing style with many quotes and side remarks makes the reading even more enjoyable.' L. Grune, Z. Angew. Math. Mech.
'A colleague and I use Desmond Higham's financial options book in our Computational Finance and Applied Optimal (stochastic) Control courses as a very good computational reference, but some of the motivations are very good too, such as call-put parity and the Black-Scholes derivation. Our students find it very helpful for its MATLAB code and we have cited it in a risk-neutral Monte-Carlo paper.' Floyd B. Hanson, University of Illinois at Chicago
'This book provides a clear introduction to elementary option pricing via Matlab. It is eminently suitable for advanced undergraduates and beginning graduates.' Dr Brad Baxter, Birkbeck College, University of London
'The material is presented in a … vivid and pedagogical manner. …It could equally well be ready by people with limited mathematical knowledge wanting to learn the basics of mathematical finance …' Zentralblatt MATH
' … this is a very accessible basic introduction to the subject and Des Higham's unique writing style with many quotes and side remarks makes the reading even more enjoyable.' L. Grune, Z. Angew. Math. Mech.
'A colleague and I use Desmond Higham's financial options book in our Computational Finance and Applied Optimal (stochastic) Control courses as a very good computational reference, but some of the motivations are very good too, such as call-put parity and the Black-Scholes derivation. Our students find it very helpful for its MATLAB code and we have cited it in a risk-neutral Monte-Carlo paper.' Floyd B. Hanson, University of Illinois at Chicago
'This book provides a clear introduction to elementary option pricing via Matlab. It is eminently suitable for advanced undergraduates and beginning graduates.' Dr Brad Baxter, Birkbeck College, University of London
'The material is presented in a … vivid and pedagogical manner. …It could equally well be ready by people with limited mathematical knowledge wanting to learn the basics of mathematical finance …' Zentralblatt MATH
Product Description
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.
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First Sentence
Throughout the book we use the term asset to describe any financial object whose value is known at present but is liable to change in the future. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
Throughout the book we use the term asset to describe any financial object whose value is known at present but is liable to change in the future. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews
Format:Paperback
For a mathematician like me, who took Further Maths A-level 20 years ago, this is an accessible introduction to a complex subject and I would highly recommend the book on that basis.
There were a few bits of calculus that caused me a bit of trouble, but nothing that could not be sorted out following a quick search of the web. For me, this book was a perfect follow on from the UK Association of Corporate Treasurers' Certificate in Financial Mathematics. The book also contains numerous exercises and MATLAB references if you want to delve a little deeper.
There were a few bits of calculus that caused me a bit of trouble, but nothing that could not be sorted out following a quick search of the web. For me, this book was a perfect follow on from the UK Association of Corporate Treasurers' Certificate in Financial Mathematics. The book also contains numerous exercises and MATLAB references if you want to delve a little deeper.
Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com:
2 reviews
6 of 7 people found the following review helpful
Highly recommended - a joy to read . . .
7 Jan 2005
Format:Paperback
If you are looking for an introduction to financial option valuation that is well-written and well-referenced than this book is for you. Prof. Higham is an excellent author (I highly recommend his other books Learning LaTeX and MATLAB Guide) and so anything he writes is a joy to read. His latest book is no exception. It is full of figures that help bring the equations and the ideas to life. Like many of his technical papers (which I also recommend you read - they are available at his website), he has incorporated MATLAB (a powerful matrix manipulation and numerical simulation tool) codes throughout the book (not only does he provide code listings but you can actually download the codes and run them assuming you own the software or have a license - I have!). The codes are a great way to see the equations in practice if you don't have MATLAB and experiment with some of the key parameters yourself if you do. Regarding the subject of the book itself, let me say that I am in the mechanical engineering field and can barely balance my checkbook - ok, my wife does it for me) but I am interested in all things mathematical and find the subject of option valuation (and the possibility of making some extra money) enticing. The book clearly introduces topics related to random numbers and stochastics, as well as finite-difference approximations for partial differential equations. The ultimate goal is the Black-Scholes PDE which is treated in the later half of the book. Monte Carlo simulation techniques as applied to finance are covered as well in several chapters. What I really enjoy about this book (and his other books) is the way he actually tries to teach and advise the reader - a good writer must be sensitive to his/her audience - and this is most appreciated by myself and others I am sure. The bottomline is that this is the first book to own if you want to get into the field of computational finance (his references tell you where to go next). I highly recommend it.
3 of 4 people found the following review helpful
A good hands-on intro to option valuation
4 Dec 2004
Format:Paperback
There are a lot of derivatives books out there - most of them follow the same approach. This one's different: no complicated measure-theoretic probability theory (of absolutely no use to practitioners), but lots of hands-on Matlab examples. A very reasonable price too. My only suggestion to the author would be to provide more appropriate names to his Matlab functions (instead of chapter numbers) - but this can easily be changed by the reader.
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