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

By: Material type: TextTextPublication details: Hoboken, NJ : John Wiey & Sons, 2013Description: viii, 649 p. : ill. ; 24 cmISBN:
  • 9781118487716 (hbk.)
Subject(s):
Contents:
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
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Open Shelf Open Shelf UMPLIB PEKAN HG6024.A3 M37 2013 (Browse shelf(Opens below)) 1 Available 0000090381

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

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