Financial Modelling – Theory, Implementation and Practice with MATLAB Source 
epub | 23.8 MB | English | Isbn:9781118413296 |
Author: Joerg Kienitz, Daniel Wetterau | PAge: 734 | Year: 2012
Theory, Implementation and Practice with Matlab Source
Jörg Kienitz and Daniel Wetterau
Financial Modelling – Theory, Implementation and Practice with MATLAB Source is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options.
The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows…