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          <strong>An Introduction to Financial Option Valuation:
           Mathematics, Stochastics and Computation</strong><br>
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   <a href="http://www.cambridge.org/uk/catalogue/catalogue.asp?isbn=0521838843">[buy the hardback]</A>,
 <br>
by 
     <A HREF="http://fox.maths.strath.ac.uk/~aas96106">
Desmond J. Higham,</A><br>  
             <a href="http://uk.cambridge.org/">Cambridge University Press</A>, 
            2004,<br> 
<br>
ISBN 0521 54757 1 for paperback
and 
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<strong> Feedback may be mailed to</strong>
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<HR>
                 Independent reviews of the book: 
              <a href="http://www.maths.leeds.ac.uk/Applied/news.dir/issue38/Higham_Financial.html">
UK Nonlinear News (38/2005)</a>,
              <a href="zamm.pdf">
ZAMM (7/2005)</a>,
              <a href="asa.pdf">
Journal of the American Statistical Association, 100 (471), 2005, page 1098,
</a>,
              <a href="math_gazette.pdf">
Mathematical Gazette (Vol. 89, No. 515, 2005)</a>
              <a href="MathToday.pdf">
Mathematics Today (August 2007)</a>,
              <a href="http://isi.cbs.nl/sbr/sbrRev2004.htm#86">
ISI - International Statistical Institute (2004)</a>,
              <a href="quantreview.html">
Quant Book Reviews (2008)</a>.


<br>

              <a href="op_op.html">
 Other opinions about the book. </a>



<HR>
<strong>Jump to</strong> <a href="#code"><i>MATLAB Code</i></a>, 
 <a href="#solutions"><i>Solutions</i></a>, 
 <a href="#sites"><i>Websites</i></a>, 
 <a href="#figures"><i>Figures</i></a>,
 <a href="#quotes"><i>Bonus quotes</i></a>,
 <a href="#errs"><i>List of corrections</i></a>.

<HR>



<p>
<p>

<A NAME="code"> <b>MATLAB code from each Chapter</b> </A>
       <ul>
	 <li>  <a href="ch01.m"><tt>ch01.m</tt></a>
	 <li>  <a href="ch02.m"><tt>ch02.m</tt></a>
	 <li>  <a href="ch03.m"><tt>ch03.m</tt></a>
	 <li>  <a href="ch04.m"><tt>ch04.m</tt></a>
	 <li>  <a href="ch05.m"><tt>ch05.m</tt></a>
	 <li>  <a href="ch06.m"><tt>ch06.m</tt></a>
	 <li>  <a href="ch07.m"><tt>ch07.m</tt></a>
	 <li>  <a href="ch08.m"><tt>ch08.m</tt></a>
	 <li>  <a href="ch09.m"><tt>ch09.m</tt></a>
	 <li>  <a href="ch10.m"><tt>ch10.m</tt></a>
	 <li>  <a href="ch11.m"><tt>ch11.m</tt></a>  (<em>corrected version, July 2004</em>)
	 <li>  <a href="ch12.m"><tt>ch12.m</tt></a>
	 <li>  <a href="ch13.m"><tt>ch13.m</tt></a>
	 <li>  <a href="ch14.m"><tt>ch14.m</tt></a>
	 <li>  <a href="ch15.m"><tt>ch15.m</tt></a>
	 <li>  <a href="ch16.m"><tt>ch16.m</tt></a>
	 <li>  <a href="ch17.m"><tt>ch17.m</tt></a>
	 <li>  <a href="ch18.m"><tt>ch18.m</tt></a>
	 <li>  <a href="ch19.m"><tt>ch19.m</tt></a>
	 <li>  <a href="ch20.m"><tt>ch20.m</tt></a>
	 <li>  <a href="ch21.m"><tt>ch21.m</tt></a>   (<em>corrected version, April 2004</em>)
	 <li>  <a href="ch22.m"><tt>ch22.m</tt></a>
	 <li>  <a href="ch23.m"><tt>ch23.m</tt></a>
	 <li>  <a href="ch24.m"><tt>ch24.m</tt></a>
        </ul>

</p>
</p>

<p>
<p>

<A NAME="solutions"> <b>Outline solutions to odd-numbered exercises (in pdf format)</b> </A>
       <ul>
	 <li>  <a href="ch1.pdf">Chapter One. <em>Options</em></a>
         <li>  <a href="ch2.pdf">Chapter Two. <em>Option Valuation Preliminaries</em></a>
         <li>  <a href="ch3.pdf">Chapter Three. <em>Random Variables</em></a>
         <li>  <a href="ch4.pdf">Chapter Four. <em>Computer Simulation</em></a>
         <li>  <a href="ch5.pdf">Chapter Five. <em>Asset price movement</em></a>
         <li>  <a href="ch6.pdf">Chapter Six. <em>Asset price model: part I</em></a>
         <li>  <a href="ch7.pdf">Chapter Seven. <em>Asset price model: part II</em></a>
         <li>  <a href="ch8.pdf">Chapter Eight. <em>Black--Scholes PDE and Formulas</em></a>
         <li>  <a href="ch9.pdf">Chapter Nine. <em>More on hedging</em></a>
         <li>  <a href="ch10.pdf">Chapter Ten. <em>The Greeks</em></a>
         <li>  <a href="ch11.pdf">Chapter Eleven. <em>More on the Black-Scholes Formulas</em></a>
         <li>  <a href="ch12.pdf">Chapter Twelve. <em>Risk neutrality</em></a>
         <li>  <a href="ch13.pdf">Chapter Thirteen. <em>Solving a nonlinear equation</em></a>
         <li>  <a href="ch14.pdf">Chapter Fourteen. <em>Implied volatility</em></a>
         <li>  <a href="ch15.pdf">Chapter Fifteen. <em>Monte Carlo method</em></a>
         <li>  <a href="ch16.pdf">Chapter Sixteen. <em>Binomial method</em></a>
         <li>  <a href="ch17.pdf">Chapter Seventeen. <em>Cash-or-nothing options</em></a>
         <li>  <a href="ch18.pdf">Chapter Eighteen. <em>American options</em></a>
         <li>  <a href="ch19.pdf">Chapter Nineteen. <em>Exotic options</em></a>
         <li>  <a href="ch20.pdf">Chapter Twenty. <em>Historical volatility</em></a>
         <li>  <a href="ch21.pdf">Chapter Twentyone. <em>Monte Carlo part II: variance reduction
                  by antithetic variates</em></a>
         <li>  <a href="ch22.pdf">Chapter Twentytwo. <em>Monte Carlo part III: variance reduction
                  by control variates</em></a>
         <li>  <a href="ch23.pdf">Chapter Twentythree. <em>Finite difference methods</em></a>
         <li>  <a href="ch24.pdf">Chapter Twentyfour. <em>Finite difference methods for the 
                 Black-Scholes PDE</em></a>
        </ul>

</p>
</p>


<p>
<p>

<A NAME="sites"> <b>Websites mentioned in the book</b> </A>
       <dl>
         <dt> From the <em>Preface </em>
	 <dd>  <a href="http://www.mathworks.com/">The Mathworks' homepage</a>
         <dt> From Chapter Three. <em>Random Variables</em>
	 <dd>  <a href="http://www.mathcs.carleton.edu/probweb/probweb.html">The Probability Web</a>
	 <dd>  <a href="http://www.mathacademy.com/pr/quotes/">source for Morris Kline quote</a>
	 <dd>  <a href="http://www.quotesforall.com/f/fisherirving.htm">source for 
                         Irving Fisher quote</a>
         <dt> From Chapter Four. <em>Computer simulation</em>
	 <dd>  <a href="http://random.mat.sbg.ac.at/">pLab website</a>
	 <dd>  <a href="http://www.mathworks.com/company/newsletter/clevescorner/cleve_toc.shtml">Cleve's
Corner articles</a>
	 <dd>  <a href="http://www.robertnz.net/hwrng.htm">Robert Davies artcile</a>
	 <dd>  <a href="http://www.mathworks.com/moler/">source for Moler and Moler quote</a>
         <dt> From Chapter Five. <em>Asset price movement</em>
	 <dd>  <a href="http://finance.yahoo.com/">Yahoo! Finance</a>
	 <dd>  <a href="http://www.maths.warwick.ac.uk/~wiberg/MathFinance/">Petter 
                  Wiberg's software</a>
     Petter now works for a bank and this link has died! 
	 <dd>  <a href="http://www.amex.com/">American Stock Exchange</a>
	 <dd>  <a href="http://www.cboe.com/Home/">Chicago Board Options Exchange</a>
	 <dd>  <a href="http://www.londonstockexchange.com/">London Stock Exchange</a>
	 <dd>  <a href="http://www.nyse.com/">New York Stock Exchange</a>
         <dt> From Chapter Seven. <em>Asset price model: Part II</em>
	 <dd>  <a href="http://www.predict.com/html/introduction.html">Prediction Company</a>
         <dt> From Chapter Eight. <em>Black-Scholes PDE and Formulas</em>
	 <dd>  <a href="http://www.nobel.se/economics/laureates/1997/">Nobel Prize 
                         press release</a>
         <dt> From Chapter Eleven. <em>More on the Black-Scholes Formulas</em>
	 <dd>  <a href="http://www.byrneweb.com/sunburn/quotes.html">source for 
                Kitaigorodski quote</a>
         <dt> From Chapter Twelve. <em>Risk neutrality</em>
	 <dd>  <a href="http://www.math.nyu.edu/faculty/kohn/">lecture notes of Prof. Robert Kohn</a>
         <dt> From Chapter Nineteen. <em>Exotic options</em>
	 <dd>  <a href="http://bmgt1-notes.umd.edu/faculty/km/papers.nsf">Carr et al. paper.</a>
         <dt> From Chapter Twentyone. <em>Monte Carlo part II: variance reduction
                  by antithetic variates</em>
	 <dd>  <a href="http://www.apmaths.uwo.ca/~rcorless/">source for Corless quote.</a>
         <dt> From Chapter Twentytwo. <em>Monte Carlo part III: variance reduction
                  by control variates</em>
	 <dd>  <a href="http://us.imdb.com/Quotes?0060028">source for Star Trek quote.</a>
         <dt> From Chapter Twentythree. <em>Finite difference methods</em>
	 <dd>  <a href="http://web.comlab.ox.ac.uk/oucl/work/nick.trefethen/pdetext.html">Trefethen
             book</a>
	 <dd>  <a href="http://math.furman.edu/~mwoodard/mquot.html">source for Polya quote. </a>
         <dt> From Chapter Twentyfour. <em>Finite difference methods for the Black-Scholes PDE</em>
	 <dd>  <a href="http://www.netlib.org/liblist.html">Netlib Repository. </a>
	 <dd>  <a href="http://www.maths.dundee.ac.uk/software/index.html#DEs">David Griffiths' 
Differential Equations and Related Topics page.</a>
       </dl>
</p>
</p>

<p>
<p>

<A NAME="figures"><b>Colour versions of some of the figures</b></A>
       <dl>
         <dt> From Chapter Eleven. <em>More on the Black-Scholes Formulas</em>
	 <dd>  <a href="fig11p3.eps">Figure 11.3</a>
	 <dd>  <a href="fig11p4.eps">Figure 11.4</a>
	 <dd>  <a href="fig11p5.eps">Figure 11.5</a>
         <dt> From Chapter Seventeen. <em>Cash-or-nothing options</em>
	 <dd>  <a href="fig17p2.eps">Figure 17.2</a>
	 <dd>  <a href="fig17p3.eps">Figure 17.3</a>
       </dl>

</p>
</p>

<p>
<p>

<A NAME="quotes"><b>Bonus Quotes</b></A>
       <dl>
         <dt><em>Extra quotes that didn't make it into the book.</em>
	 <dd>  <a href="fquotes.pdf">pdf format</a>
	 <dd>  <a href="fquotes.ps">ps format</a>
	 <dd>  <a href="fquotes.html">html format</a> (slightly cludgy translation)
       </dl>

</p>
</p>

<p>
<p>

<A NAME="errs"><b>List of corrections.</b></A>
    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.
       <dl>
         <dt> <em>List of known typos/errors in the ``Reprinted with corrections 2005'' version.</em>
	 <dd>  <a href="new_corr.pdf">pdf format</a>
	 <dd>  <a href="new_corr.ps">ps format</a>
	 <dd>  <a href="new_corr.html">html format</a> (slightly cludgy translation)
       </dl>
       <dl>
         <dt> <em>List of known typos/errors in the orignal 2004 version.</em>
	 <dd>  <a href="corr.pdf">pdf format</a>
	 <dd>  <a href="corr.ps">ps format</a>
	 <dd>  <a href="corr.html">html format</a> (slightly cludgy translation)
       </dl>

</p>
</p>

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<strong> Feedback may be mailed to</strong>
      <em>
     djh&#64;maths.strath.ac.uk
       </em>

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   <p>
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<i>Last modified June 2007</i>

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