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Financial derivative and energy market valuation [[electronic resource] ] : theory and implementation in MATLAB / / Michael Mastro
| Financial derivative and energy market valuation [[electronic resource] ] : theory and implementation in MATLAB / / Michael Mastro |
| Autore | Mastro Michael A. <1975-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey, : Wiley, c2012 |
| Descrizione fisica | 1 online resource (659 p.) |
| Disciplina |
332.01519
332.64/57 332.6457 |
| Soggetto topico |
Derivative securities
Energy derivatives |
| 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 | eng |
| 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. |
| Record Nr. | UNINA-9910139029103321 |
Mastro Michael A. <1975->
|
||
| Hoboken, New Jersey, : Wiley, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial derivative and energy market valuation : theory and implementation in MATLAB / / Michael Mastro
| Financial derivative and energy market valuation : theory and implementation in MATLAB / / Michael Mastro |
| Autore | Mastro Michael A. <1975-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey, : Wiley, c2012 |
| Descrizione fisica | 1 online resource (659 p.) |
| Disciplina |
332.01519
332.64/57 332.6457 |
| Soggetto topico |
Derivative securities
Energy derivatives |
| 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 | eng |
| 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. |
| Record Nr. | UNINA-9910813434603321 |
|
Mastro Michael A. <1975->
|
||
| Hoboken, New Jersey, : Wiley, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||