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Financial Derivative and Energy Market Valuation

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  • Author(s)Michael Mastro PhD
  • SubtitleTheory and Implementation in MATLAB
  • Edition1
  • Published20th February 2013
  • PublisherJohn Wiley & Sons Inc (US)
  • ISBN9781118487716

Theory and Implementation in MATLAB

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.

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