financial derivative and energy market valuation theory and implementation in matlab

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Financial Derivative And Energy Market Valuation

Author : Michael A. Mastro
ISBN : OCLC:961608170
Genre : Derivative securities
File Size : 26. 92 MB
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Financial Derivative And Energy Market Valuation

Author : Michael Mastro, PhD
ISBN : 9781118501818
Genre : Mathematics
File Size : 21. 27 MB
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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.

Elementary Financial Derivatives

Author : Jana Sacks
ISBN : 9781119076759
Genre : Business & Economics
File Size : 53. 78 MB
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This book features an introductory approach to teaching and learning complex valuation techniques and emphasizes practical applications to ensure student engagement. Successfully classroom tested, readers benefit from the hands-on application of theoretical concepts as well as the step-by-step introduction to financial derivatives in an accessible and an appealing way. The author offers explanations of complex concepts in the simplest possible way in conjunction with practical applications including theoretical concepts with highlighted equations, homework problems, solved case studies, and Excel-based modules for valuation. While financial derivatives are often regarded as complex financial instruments, this book aims to educate future investors about these asset classes without delving too deeply into mathematical and/or physics methodology and theories. In addition to the essential topics of the derivatives market, this book includes sections on options, swaps, and financial engineering concepts applied primarily, but not exclusively, to the futures market. Chapter coverage includes: An Introduction to Derivative Instruments; Futures Fundamentals; Forward Rate Agreement; Currency Forward; Swaps Basics; Equity and Currency Swaps; Basic Swaps and Credit Default Swaps; Options Basics and Trading; Greeks; Volatility; and Exotics.

Modeling Derivatives Applications In Matlab C And Excel

Author : Justin London
ISBN : 0131962590
Genre : Computers
File Size : 55. 88 MB
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Hundreds of financial institutions now market complex derivatives; thousands of financial and technical professionals need to model them accurately and effectively. This volume brings together proven, tested real-time models for each of todays leading modeling platforms to help professionals save months of development time, while improving the accuracy and reliability of the models they create.

Probability Theory In Finance

Author : Seán Dineen
ISBN : 9780821894903
Genre : Mathematics
File Size : 28. 12 MB
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The use of the Black-Scholes model and formula is pervasive in financial markets. There are very few undergraduate textbooks available on the subject and, until now, almost none written by mathematicians. Based on a course given by the author, the goal of

Numerical Methods In Finance And Economics

Author : Paolo Brandimarte
ISBN : 9781118625576
Genre : Mathematics
File Size : 39. 26 MB
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A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications. The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions. Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms. Newly featured in the Second Edition: * In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies * New appendix on AMPL in order to better illustrate the optimization models in Chapters 11 and 12 * New chapter on binomial and trinomial lattices * Additional treatment of partial differential equations with two space dimensions * Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance * New coverage of advanced optimization methods and applications later in the text Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.

An Introduction To Financial Option Valuation

Author : Desmond Higham
ISBN : 9781139457897
Genre : Mathematics
File Size : 57. 63 MB
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This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Black–Scholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data.

Uncertainties In Energy Markets And Their Consideration In Energy Storage Evaluation

Author : Keles, Dogan
ISBN : 9783731500469
Genre :
File Size : 85. 6 MB
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Implementing Models In Quantitative Finance Methods And Cases

Author : Gianluca Fusai
ISBN : 3540499598
Genre : Business & Economics
File Size : 87. 26 MB
Format : PDF
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This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.

Commodity Price Dynamics

Author : Craig Pirrong
ISBN : 9781139501972
Genre : Business & Economics
File Size : 54. 21 MB
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Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.

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