UK Nonlinear News Book Review
An Introduction to Financial Option
Valuation:
Mathematics, Stochastics and Computation
D. J. Higham
Cambridge University Press 2004, 0521547571, £24.99 (paperback); 0521838843
, £50 (hardback), 296 pages
Another textbook for undergraduate mathematical finance? The
question was prompted by the impression that there were too many already. So
when some time became available and I began to read through, I came to the task
with the feeling that I ought to be elsewhere. Well, these feelings were
cancelled by 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.
Professor Higham has carefully restricted the scope of this
book. There is little explicit material on interest rates, for example.
However, the text gets as far as American style securities and some of the more
exotic options. For the reviewer, a pure mathematician, the discussion of
numerical approximation and the use of Matlab routines for illustrating key
ideas was most welcome. There is a web site for the book containing Matlab
code, online solutions for some of the exercises, colour versions of some of
the figures, errata and so on. All in all, this is a much bigger book than it
appears.
Chris
Barnett,
Imperial College London.
UK Nonlinear News
would like to thank Cambridge University Press for providing a copy of this
volume for review.
