Financial derivative and energy market valuation : theory and implementation in MATLAB /
Mastro, Michael
Financial derivative and energy market valuation : theory and implementation in MATLAB / Michael Mastro - Hoboken, NJ : John Wiey & Sons, 2013 - viii, 649 p. : ill. ; 24 cm.
Includes bibliographical references and index
Financial models -- Jump models -- Options -- Binomial trees -- Trinomial trees -- Finite difference methods -- Kalman filter -- Futures and forwards -- Nonlinear 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
9781118487716 (hbk.)
MATLAB
Derivative securities
Energy derivatives
Financial derivative and energy market valuation : theory and implementation in MATLAB / Michael Mastro - Hoboken, NJ : John Wiey & Sons, 2013 - viii, 649 p. : ill. ; 24 cm.
Includes bibliographical references and index
Financial models -- Jump models -- Options -- Binomial trees -- Trinomial trees -- Finite difference methods -- Kalman filter -- Futures and forwards -- Nonlinear 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
9781118487716 (hbk.)
MATLAB
Derivative securities
Energy derivatives