Financial Derivative and Energy Market Valuation Theory and Implementation in MATLAB
, by Mastro, MichaelNote: Supplemental materials are not guaranteed with Rental or Used book purchases.
- ISBN: 9781118487716 | 1118487710
- Cover: Hardcover
- Copyright: 3/4/2013
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. It details the necessary steps for implementation of the models in MATLAB and provides the code; discusses the affine transform formalism; focuses on developing and utilizing the Kalman filter; and exploits the extended, Gauss-Hermite, unscented, Monte Carlo, and particle Kalman filters for nonlinear and non-Gaussian models.