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Financial Modelling - Theory, Implementation and Practice with MATLAB Source

Language EnglishEnglish
Book Hardback
Book Financial Modelling - Theory, Implementation and Practice with MATLAB Source Joerg Kienitz
Libristo code: 01234503
Publishers John Wiley & Sons Inc, September 2012
This book will enable the reader to model, design and implement a range of financial models for deri... Full description
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This book will enable the reader to model, design and implement a range of financial models for derivatives pricing and asset allocation. The book will provide practitioners with the complete financial modeling workflow, from model choice, deriving (semi-) analytic approximate prices and Greeks even for exotic options. Such methods can be used for calibration to market data. Furthermore, Monte Carlo simulation techniques are covered which can be applied to multi-dimensional and path dependent options or some asset allocation problems.§Equity/Equity-Interest Rate Hybrid models, Interest Rate models and Asset Allocation are used as examples showing specific models with analysis of their features. The authors then go on to show how to price simple options and how to calibrate the models to real life market data and finally they discuss the pricing of exotic options. At the end of these sections the reader will be able to use the techniques discussed for equity derivatives and interest rate models in other areas of finance such as foreign exchange and inflation.

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About the book

Full name Financial Modelling - Theory, Implementation and Practice with MATLAB Source
Author Joerg Kienitz
Language English
Binding Book - Hardback
Date of issue 2012
Number of pages 734
EAN 9780470744895
ISBN 9780470744895
Libristo code 01234503
Weight 1386
Dimensions 176 x 249 x 45
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