Book 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.
