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

By: Contributor(s): Material type: BookBookPublication details: Hoboken, N.J. : Wiey, 2013.Description: viii, 649 p. : illSubject(s): Genre/Form: DDC classification:
  • 332.64/57 23
LOC classification:
  • HG6024.A3 M3774 2013eb
Online resources:
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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Item type Current library Call number Status Date due Barcode
E-Books E-Books Main Library 332.64/57 (Browse shelf(Opens below)) Available

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. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.

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