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

Financial derivative and energy market valuation theory and implementation in MATLAB

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...

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Detalles Bibliográficos
Autor principal: Mastro, Michael A., 1975- (-)
Formato: Libro electrónico
Idioma:Inglés
Publicado: Hoboken, New Jersey : Wiley c2012.
Edición:1st edition
Materias:
MATLAB.
Derivative securities.
Energy derivatives.
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627960206719
Tabla de Contenidos:
  • 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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