Financial derivative and energy market valuation : theory and implementation in MATLAB / Michael Mastro.
2013
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Items
Details
Author
Uniform Title
Ebrary electronic monographs.
Title
Financial derivative and energy market valuation : theory and implementation in MATLAB / Michael Mastro.
Added Corporate Author
Imprint
Hoboken, N.J. : Wiey, 2013.
Description
viii, 649 pages : illustrations
Formatted Contents Note
Financial models
Jump models
Options
Binomial trees
Trinomial trees
Finite difference methods
Kalman filter
Futures and forwards
Non-linear and non-Gaussian Kalman filter
Short term deviation/long term equilibrium model
Futures and forwards options
Fourier transform
Fundamentals of characteristic functions
Application of characteristic functions
Levy processes
Fourier based option analysis
Fundamentals of stochastic finance
Affine jump-diffusion processes.
Jump models
Options
Binomial trees
Trinomial trees
Finite difference methods
Kalman filter
Futures and forwards
Non-linear and non-Gaussian Kalman filter
Short term deviation/long term equilibrium model
Futures and forwards options
Fourier transform
Fundamentals of characteristic functions
Application of characteristic functions
Levy processes
Fourier based option analysis
Fundamentals of stochastic finance
Affine jump-diffusion processes.
Bibliography, etc. Note
Includes bibliographical references and index.
Linked Resources
Language
English
Reproduction
Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.
ISBN
9781118487716 cloth
9781118355114
9781118583586 e-book
9781118355114
9781118583586 e-book
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