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

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Mastro, Michael A., 1975-
Format: Electronic eBook
Language:Inglés
Published: Hoboken, N.J. : Wiey, 2013.
Subjects:
MATLAB.
Derivative securities.
Energy derivatives.
Electronic books.
Online Access:Texto completo
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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