Financial derivative and energy market valuation theory and implementation in MATLAB /

• Κύριος συγγραφέας: Mastro, Michael A., 1975-
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Hoboken, New Jersey : Wiley, [2012]
• Θέματα: MATLAB.; Derivative securities.; Energy derivatives.; BUSINESS & ECONOMICS > Investments & Securities > General.; Electronic books.

A road map for implementing quantitative financial models Financial Derivative and Energy Market Valuation brings the application of financial models to a higher level by helping readers capture the true behavior of energy markets and related financial derivatives. The book provides readers with a r...

Πίνακας περιεχομένων:

• 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.