Author-maintained website for the book
An Introduction to Financial Option Valuation:
Mathematics, Stochastics and Computation
[buy the paperback] or
[buy the hardback],
by
Desmond J. Higham,
Cambridge University Press,
2004,
ISBN 0521 54757 1 for paperback
and
ISBN 0521 83884 3 for hardback
Buy on Amazon:
amazon.com page
and
amazon.co.uk page
Feedback may be mailed to
djh@maths.strath.ac.uk
Independent reviews of the book:
UK Nonlinear News (38/2005),
ZAMM (7/2005),
Journal of the American Statistical Association, 100 (471), 2005, page 1098,
,
Mathematical Gazette (Vol. 89, No. 515, 2005)
Mathematics Today (August 2007),
ISI - International Statistical Institute (2004),
Quant Book Reviews (2008).
Other opinions about the book.
Jump to MATLAB Code,
Solutions,
Websites,
Figures,
Bonus quotes,
List of corrections.
MATLAB code from each Chapter
Outline solutions to odd-numbered exercises (in pdf format)
Websites mentioned in the book
- From the Preface
- The Mathworks' homepage
- From Chapter Three. Random Variables
- The Probability Web
- source for Morris Kline quote
- source for
Irving Fisher quote
- From Chapter Four. Computer simulation
- pLab website
- Cleve's
Corner articles
- Robert Davies artcile
- source for Moler and Moler quote
- From Chapter Five. Asset price movement
- Yahoo! Finance
- Petter
Wiberg's software
Petter now works for a bank and this link has died!
- American Stock Exchange
- Chicago Board Options Exchange
- London Stock Exchange
- New York Stock Exchange
- From Chapter Seven. Asset price model: Part II
- Prediction Company
- From Chapter Eight. Black-Scholes PDE and Formulas
- Nobel Prize
press release
- From Chapter Eleven. More on the Black-Scholes Formulas
- source for
Kitaigorodski quote
- From Chapter Twelve. Risk neutrality
- lecture notes of Prof. Robert Kohn
- From Chapter Nineteen. Exotic options
- Carr et al. paper.
- From Chapter Twentyone. Monte Carlo part II: variance reduction
by antithetic variates
- source for Corless quote.
- From Chapter Twentytwo. Monte Carlo part III: variance reduction
by control variates
- source for Star Trek quote.
- From Chapter Twentythree. Finite difference methods
- Trefethen
book
- source for Polya quote.
- From Chapter Twentyfour. Finite difference methods for the Black-Scholes PDE
- Netlib Repository.
- David Griffiths'
Differential Equations and Related Topics page.
Colour versions of some of the figures
- From Chapter Eleven. More on the Black-Scholes Formulas
- Figure 11.3
- Figure 11.4
- Figure 11.5
- From Chapter Seventeen. Cash-or-nothing options
- Figure 17.2
- Figure 17.3
Bonus Quotes
- Extra quotes that didn't make it into the book.
- pdf format
- ps format
- html format (slightly cludgy translation)
List of corrections.
There are two lists. One for the original 2004 printing and
another for the ``Reprinted with corrections 2005'' version.
Look at the inside page where the ISBN numbers are given to see which version
you have.
- List of known typos/errors in the ``Reprinted with corrections 2005'' version.
- pdf format
- ps format
- html format (slightly cludgy translation)
- List of known typos/errors in the orignal 2004 version.
- pdf format
- ps format
- html format (slightly cludgy translation)
Feedback may be mailed to
djh@maths.strath.ac.uk
Go to my home page.
Last modified June 2007