9781118487716

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

  • ISBN 13:

    9781118487716

  • ISBN 10:

    1118487710

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

Note: Not guaranteed to come with supplemental materials (access cards, study guides, lab manuals, CDs, etc.)

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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.

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