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基本説明
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.
Full Description
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.
Contents
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
