Details
Financial Derivative and Energy Market Valuation
Theory and Implementation in MATLAB1. Aufl.
126,99 € |
|
Verlag: | Wiley |
Format: | EPUB |
Veröffentl.: | 19.02.2013 |
ISBN/EAN: | 9781118501818 |
Sprache: | englisch |
Anzahl Seiten: | 664 |
DRM-geschütztes eBook, Sie benötigen z.B. Adobe Digital Editions und eine Adobe ID zum Lesen.
Beschreibungen
<p><b>A road map for implementing</b> <b>quantitative financial models</b></p> <p><i>Financial Derivative and Energy Market Valuation</i> 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®.</p> <p>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, <i>Financial Derivative and Energy Market Valuation</i> also:<br /> <br /> • Provides the derivation, numerical implementation, and documentation of the corresponding Matlab for each topic<br /> <br /> • Extends seminal works developed over the last four decades to derive and utilize present-day financial models<br /> <br /> • Shows how to use applied methods such as fast Fourier transforms to generate statistical distributions for option pricing<br /> <br /> • Includes all Matlab code for readers wishing to replicate the figures found throughout the book</p> <p>Thorough, practical, and easy to use, <i>Financial Derivative and Energy Market Valuation</i> 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.</p>
<p>Preface vii</p> <p>1 Financial Models 1</p> <p>2 Jump Models 35</p> <p>3 Options 65</p> <p>4 Binomial Trees 105</p> <p>5 Trinomial Trees 131</p> <p>6 Finite Difference Methods 167</p> <p>7 Kalman Filter 231</p> <p>8 Futures and Forwards 245</p> <p>9 Nonlinear and Non-Gaussian Kalman Filter 295</p> <p>10 Short-Term Deviation/Long-Term Equilibrium Model 349</p> <p>11 Futures and Forwards Options 359</p> <p>12 Fourier Transform 397</p> <p>13 Fundamentals of Characteristic Functions 459</p> <p>14 Application of Characteristic Functions 467</p> <p>15 Levy Processes 505</p> <p>16 Fourier-Based Option Analysis 547</p> <p>17 Fundamentals of Stochastic Finance 585</p> <p>18 Affine Jump-Diffusion Processes 605</p> <p>Index 645</p>
<p>“The book is also ideal for graduate-level courses in quantitative finance, mathematical finance, and financial engineering.” (<i>Zentralblatt MATH</i>, 1 August 2013)</p>
<p><b>MICHAEL MASTRO, PhD, </b>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.</p>
<p><b>A road map for implementing quantitative financial models</b></p> <p><i>Financial Derivative and Energy Market Valuation</i> 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®.</p> <p>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, <i>Financial Derivative and Energy Market Valuation</i> also:</p> <ul> <li>Provides the derivation, numerical implementation, and documentation of the corresponding Matlab for each topic</li> <li>Extends seminal works developed over the last four decades to derive and utilize present-day financial models</li> <li>Shows how to use applied methods such as fast Fourier transforms to generate statistical distributions for option pricing</li> <li>Includes all Matlab® code for readers wishing to replicate the figures found throughout the book</li> </ul> <p>Thorough, practical, and easy to use, <i>Financial Derivative and Energy Market Valuation</i> 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.</p>
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