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

ISBN: 9781118487716 | 1118487710
Edition: 1st
Format: Hardcover
Publisher: Wiley
Pub. Date: 3/4/2013

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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.


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