Mastro Financial Derivative and Energy Market Valuation

Theory and Implementation in MATLAB
1. Auflage 2013
ISBN: 978-1-118-50181-8
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 664 Seiten, E-Book

A road map for implementing quantitative financialmodels
Financial Derivative and Energy Market Valuation bringsthe application of financial models to a higher level by helpingreaders capture the true behavior of energy markets and relatedfinancial derivatives. The book provides readers with a range ofstatistical and quantitative techniques and demonstrates how toimplement the presented concepts and methods in Matlab®.
Featuring an unparalleled level of detail, this unique workprovides the underlying theory and various advanced topics withoutrequiring a prior high-level understanding of mathematics orfinance. In addition to a self-contained treatment of appliedtopics such as modern Fourier-based analysis and affine transforms,Financial Derivative and Energy Market Valuation also:
* Provides the derivation, numerical implementation, anddocumentation of the corresponding Matlab for each topic
* Extends seminal works developed over the last four decadesto derive and utilize present-day financial models
* Shows how to use applied methods such as fast Fouriertransforms to generate statistical distributions for optionpricing
* Includes all Matlab code for readers wishing to replicatethe figures found throughout the book
Thorough, practical, and easy to use, Financial Derivativeand Energy Market Valuation is a first-rate guide for readerswho want to learn how to use advanced numerical methods toimplement and apply state-of-the-art financial models. The book isalso ideal for graduate-level courses in quantitative finance,mathematical finance, and financial engineering.

Autoren/Hrsg.

Mastro, Michael

Inhaltsverzeichnis

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

Über Autor(innen)

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.