This lively textbook provides an introduction to financial option valuation for undergraduates armed with a knowledge of first year calculus. Its approach gives equal weight to applied mathematics, stochastics and computations. Contains stand-alone MATLAB code to illustrate ideas and examples using real stock market data. Solutions available from email@example.com.
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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
Des Higham is a Professor of Mathematics at the University of Strathclyde. He has written 2 previous books, MATLAB Guide 0898715164 and Learning LaTeX 08988715164.
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