Financial derivative and energy market valuation : theory and implementation in MATLAB /

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A road map for implementing quantitative financial models Financial Derivative and Energy Market Valuation brings the application of financial models to a higher level by helping readers capture the true behavior of energy markets and related financial derivatives. The book provides readers with a r...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Mastro, Michael A., 1975-
Format: Electronic eBook
Language:Inglés
Published: Hoboken, New Jersey : Wiley, ©2012.
Subjects:
MATLAB.
Derivative securities.
Energy derivatives.
Instruments dérivés (Finances)
Dérivés d'énergie (Finances)
BUSINESS & ECONOMICS > Investments & Securities > General.
Online Access:Texto completo (Requiere registro previo con correo institucional)
Table of Contents:
  • 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.

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