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

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  • Format: Hardcover
  • Copyright: 2013-03-04
  • Publisher: Wiley

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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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