Mastro, Michael
Financial Derivative and Energy Market Valuation: Theory and Implementation in MATLAB
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.
Avainsanat: Statistics for Finance, Business & Economics, qualitative finance, derivative valuation, financial derivative valuation, statistics, financial engineering, applied mathematics
- Tekijä(t)
- Mastro, Michael
- Julkaisija
- John Wiley and Sons, Inc.
- Julkaisuvuosi
- 2013
- Kieli
- en
- Painos
- 1
- Sivumäärä
- 664 sivua
- Kategoria
- Eksaktit luonnontieteet
- Tiedostomuoto
- E-kirja
- eISBN (ePUB)
- 9781118501818
- Painetun ISBN
- 9781118487716