Financial Derivative and Energy Market Valuation (eBook)

Theory and Implementation in MATLAB

Michael Mastro (Autor)

eBook Download: EPUB

2013 | 1. Auflage
664 Seiten
John Wiley & Sons (Verlag)
978-1-118-50181-8 (ISBN)

Infos

A road map for implementing quantitative financial
models

Financial Derivative and Energy Market Valuation brings
the application of financial models to a higher level by helping
readers capture the true behavior of energy markets and related
financial derivatives. The book provides readers with a range of
statistical and quantitative techniques and demonstrates how to
implement the presented concepts and methods in Matlab®.

Featuring an unparalleled level of detail, this unique work
provides the underlying theory and various advanced topics without
requiring a prior high-level understanding of mathematics or
finance. In addition to a self-contained treatment of applied
topics such as modern Fourier-based analysis and affine transforms,
Financial Derivative and Energy Market Valuation also:

* Provides the derivation, numerical implementation, and
documentation of the corresponding Matlab for each topic

* Extends seminal works developed over the last four decades
to derive and utilize present-day financial models

* Shows how to use applied methods such as fast Fourier
transforms to generate statistical distributions for option
pricing

* Includes all Matlab code for readers wishing to replicate
the figures found throughout the book

Thorough, practical, and easy to use, Financial Derivative
and Energy Market Valuation is a first-rate guide for readers
who want to learn how to use advanced numerical methods to
implement and apply state-of-the-art financial models. The book is
also ideal for graduate-level courses in quantitative finance,
mathematical finance, and financial engineering.

Autor

MICHAEL MASTRO, PhD, is a civilian Staff Scientist at the U.S. Naval Research Lab. Dr. Mastro has authored more than 150 papers and patents and has organized several conference symposia.

Inhalt

Preface vii

1 Financial Models 1

2 Jump Models 35

3 Options 65

4 Binomial Trees 105

5 Trinomial Trees 131

6 Finite Difference Methods 167

7 Kalman Filter 231

8 Futures and Forwards 245

9 Nonlinear and Non-Gaussian Kalman Filter 295

10 Short-Term Deviation/Long-Term Equilibrium Model 349

11 Futures and Forwards Options 359

12 Fourier Transform 397

13 Fundamentals of Characteristic Functions 459

14 Application of Characteristic Functions 467

15 Levy Processes 505

16 Fourier-Based Option Analysis 547

17 Fundamentals of Stochastic Finance 585

18 Affine Jump-Diffusion Processes 605

Index 645

Rezensionen

"The book is also ideal for graduate-level courses in
quantitative finance, mathematical finance, and financial
engineering." (Zentralblatt MATH, 1 August
2013)

Produkt-Details

• Erscheint lt. Verlag: 19.2.2013
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Business & Finance • Finance & Investments • Financial Engineering • Finanztechnik • Finanz- u. Anlagewesen • Finanz- u. Wirtschaftsstatistik • Mathematics • Mathematik • Mathematik in Wirtschaft u. Finanzwesen • MATLAB • Statistics • Statistics for Finance, Business & Economics • Statistik
• ISBN-10: 1-118-50181-0 / 1118501810
• ISBN-13: 978-1-118-50181-8 / 9781118501818