Written for finance professionals, Financial Modelling: Theory, Implementation and Practice with MATLAB Source provides a unique combination of quantitative techniques for use in 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 modeling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. Topics covered include financial markets, data, basics and derivatives, statistical properties of market data and invariants, and stochastic volatility.
MATLAB is used to solve examples in the book. In addition, a supplemental set of MATLAB code files is available for download.