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

• Autore: Mastro Michael A. <1975->
• Pubblicazione: Hoboken, New Jersey, : Wiley, c2012
• Edizione: 1st edition
• Descrizione fisica: 1 online resource (659 p.)
• Disciplina: 332.01519; 332.64/57; 332.6457
• Soggetto topico: Derivative securities; Energy derivatives
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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.
• Sommario/riassunto: 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
• Titolo autorizzato: Financial derivative and energy market valuation
• ISBN: 1-118-50178-0; 1-118-50181-0; 1-299-44903-4; 1-118-50176-4
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910139029103321
• Lo trovi qui: Univ. Federico II