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

By Michael A. Mastro

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.

• Format: Hardcover
• Language: English
• ISBN: 1118487710
• ISBN13: 9781118487716
• Release Date: March 2013
• Publisher: Wiley
• Length: 664 Pages
• Weight: 2.25 lbs.
• Dimensions: 1.5" x 6.5" x 9.2"