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Financial Derivative and Energy Market Valuation : Theory and Implementation in MATLAB,9781118487716
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Financial Derivative and Energy Market Valuation : Theory and Implementation in MATLAB

ISBN13:

9781118487716

by
ISBN10:
1118487710
Format:
Hardcover
Pub. Date:
3/4/2013
Publisher(s):
Wiley
List Price: $144.00

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Questions About This Book?

What version or edition is this?

This is the edition with a publication date of 3/4/2013.

What is included with this book?

  • The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any CDs, lab manuals, study guides, etc.

Summary

With an introduction to the needed mathematical financial theory, this book presents statistical and quantitative methods to implement and apply state-of-the-art financial models. It details the necessary steps for implementation of the models in MATLAB and provides the code; discusses the affine transform formalism; focuses on developing and utilizing the Kalman filter; and exploits the extended, Gauss-Hermite, unscented, Monte Carlo, and particle Kalman filters for nonlinear and non-Gaussian models.

Author Biography

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

I. Introduction

1. Financial Models

2. Jump Models

3. Options

4. Binomial Trees

5. Trinomial Trees

6. Finite Difference Methods

7. Kalman Filter

8. Futures and Forwards

9. Non-Linear and Non-Gaussian Kalman Filter

10. Short Term Deviation / Long Term Equilibrium Model

11. Futures and Forwards Options

12. Fourier Transform

13. Fundamentals of Characteristic Functions 

14. Application of Characteristic Functions

15. Levy Processes

16. Fourier Based Option Analysis

17. Fundamentals of Stochastic Finance

18. Affine Jump-Diffusion Processes



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