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Library | Item Barcode | Call Number | Material Type | Item Category 1 | Status |
---|---|---|---|---|---|
Searching... | 30000010307175 | HG6024.A3 M37 2013 | Open Access Book | Book | Searching... |
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Summary
Summary
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 MatlabĀ®.
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.
Author Notes
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.
Table of Contents
Preface | p. vii |
1 Financial Models | p. 1 |
2 Jump Models | p. 35 |
3 Options | p. 65 |
4 Binomial Trees | p. 105 |
5 Trinomial Trees | p. 131 |
6 Finite Difference Methods | p. 167 |
7 Kalman Filter | p. 231 |
8 Futures and Forwards | p. 245 |
9 Nonlinear and Non-Gaussian Kalman Filter | p. 295 |
10 Short-Term Deviation/Long-Term Equilibrium Model | p. 349 |
11 Futures and Forwards Options | p. 359 |
12 Fourier Transform | p. 397 |
13 Fundamentals of Characteristic Functions | p. 459 |
14 Application of Characteristic Functions | p. 467 |
15 Levy Processes | p. 505 |
16 Fourier-Based Option Analysis | p. 547 |
17 Fundamentals of Stochastic Finance | p. 585 |
18 Affine Jump-Diffusion Processes | p. 605 |
Index | p. 645 |