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| Title |
Financial derivative and energy market valuation [electronic resource] : theory and implementation in MATLAB / Michael Mastro. |
|
| Imprint |
Hoboken, N.J. : Wiey, 2013. |
|
| Axe ProQuest E-Book
|
Electronic Book |
--- |
Available |
| Description |
viii, 649 p. : ill. |
| Bibliography |
Includes bibliographical references and index. |
| 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. |
| Reproduction |
Electronic reproduction. Ann Arbor, MI : ProQuest, 2016. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries. |
| Subject |
MATLAB.
|
|
Derivative securities.
|
|
Energy derivatives.
|
| Genre/Form |
Electronic books.
|
| Added Author |
ProQuest (Firm)
|
| ISBN |
9781118487716 (cloth) |
|
9781118355114 |
|
9781118583586 (electronic bk.) |
|
