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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 st... MORE
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.
1. Financial Models
2. Jump Models
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 B... MORE
17. Fundamentals of Stochastic Finance
18. Affine Jump-Diffusion Processes
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.