Financial derivative and energy market valuation theory and implementation in MATLAB /
Mastro, Michael A., 1975-
Financial derivative and energy market valuation theory and implementation in MATLAB / [electronic resource] : Michael Mastro. - Hoboken, N.J. : Wiey, 2013. - viii, 649 p. : ill.
Includes bibliographical references and index.
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.
Electronic reproduction. Ann Arbor, MI : ProQuest, 2016. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
9781118583586 (electronic bk.)
MATLAB.
Derivative securities.
Energy derivatives.
Electronic books.
HG6024.A3 / M3774 2013
332.64/57
Financial derivative and energy market valuation theory and implementation in MATLAB / [electronic resource] : Michael Mastro. - Hoboken, N.J. : Wiey, 2013. - viii, 649 p. : ill.
Includes bibliographical references and index.
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.
Electronic reproduction. Ann Arbor, MI : ProQuest, 2016. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
9781118583586 (electronic bk.)
MATLAB.
Derivative securities.
Energy derivatives.
Electronic books.
HG6024.A3 / M3774 2013
332.64/57