Financial derivative and energy market valuation : theory and implementation in MATLAB / / Michael Mastro
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| Autore: |
Mastro Michael A. <1975->
|
| Titolo: |
Financial derivative and energy market valuation : theory and implementation in MATLAB / / Michael Mastro
|
| 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: | 9781118501788 |
| 1118501780 | |
| 9781118501818 | |
| 1118501810 | |
| 9781299449039 | |
| 1299449034 | |
| 9781118501764 | |
| 1118501764 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910813434603321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |