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
statistical and quantitative techniques and demonstrates how to
implement the presented concepts and methods in Matlab®.
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.
Table des matières
Preface vii
1 Financial Models 1
2 Jump Models 35
3 Options 65
4 Binomial Trees 105
5 Trinomial Trees 131
6 Finite Difference Methods 167
7 Kalman Filter 231
8 Futures and Forwards 245
9 Nonlinear and Non-Gaussian Kalman Filter 295
10 Short-Term Deviation/Long-Term Equilibrium Model 349
11 Futures and Forwards Options 359
12 Fourier Transform 397
13 Fundamentals of Characteristic Functions 459
14 Application of Characteristic Functions 467
15 Levy Processes 505
16 Fourier-Based Option Analysis 547
17 Fundamentals of Stochastic Finance 585
18 Affine Jump-Diffusion Processes 605
Index 645
A propos de l’auteur
MICHAEL MASTRO, Ph D, 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.
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