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Record Nr. |
UNINA9910813434603321 |
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Autore |
Mastro Michael A. <1975-> |
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Titolo |
Financial derivative and energy market valuation : theory and implementation in MATLAB / / Michael Mastro |
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Pubbl/distr/stampa |
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Hoboken, New Jersey, : Wiley, c2012 |
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ISBN |
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1-118-50178-0 |
1-118-50181-0 |
1-299-44903-4 |
1-118-50176-4 |
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Edizione |
[1st edition] |
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Descrizione fisica |
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1 online resource (659 p.) |
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Disciplina |
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332.01519 |
332.64/57 |
332.6457 |
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Soggetti |
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Derivative securities |
Energy derivatives |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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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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Sommario/riassunto |
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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 range of statistical and quantitative techniques and demonstrates how to implement the presented concepts and methods in Matlab®. Featuring an unparalleled level of detail, this unique work provides the underlying theory and various advanced topics without requiring |
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