Financial derivative and energy market valuation: theory and implementation in MATLAB / Michael Mastro.
Mastro, Michael A., 1975-
2013
HG6024.A3 M3774 2013
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Title Financial derivative and energy market valuation: theory and implementation in MATLAB / Michael Mastro.
Author Mastro, Michael A., 1975-
ISBN 9781118487716 (cloth)
9781118355114
9781118583586 (electronic bk.)
Publication Details Hoboken, N.J. : Wiey, 2013.
Language English
Description viii, 649 p. : ill.
Call Number HG6024.A3 M3774 2013
Dewey Decimal Classification 332.64/57
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
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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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