Financial derivative and energy market valuation [electronic resource] : theory and implementation in MATLAB / Michael Mastro.

By: Mastro, Michael A, 1975-Contributor(s): ProQuest (Firm)Material type: TextTextPublication details: Hoboken, N.J. : Wiey, 2013Description: viii, 649 p. : illISBN: 9781118583586 (electronic bk.)Subject(s): MATLAB | Derivative securities | Energy derivativesGenre/Form: Electronic books.DDC classification: 332.64/57 LOC classification: HG6024.A3 | M3774 2013Online resources: Click to View
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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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.

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