Financial derivative and energy market valuation : theory and implementation in MATLAB /
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...
Call Number: | Libro Electrónico |
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Main Author: | |
Format: | Electronic eBook |
Language: | Inglés |
Published: |
Hoboken, New Jersey :
Wiley,
©2012.
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Subjects: | |
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.