Financial derivative and energy market valuation [electronic resource] : theory and implementation in MATLAB / Michael Mastro.
Material type:
TextPublisher: Hoboken, N.J. : Wiey, 2013Description: viii, 649 p. : illSubject(s): MATLAB | Derivative securities | Energy derivativesGenre/Form: Electronic books.DDC classification: 332.6457 LOC classification: HG6024.A3 | M3774 2013ebOnline resources: Click here for full text. | Item type | Current location | Home library | Collection | Call number | Status | Date due | Barcode | Item holds |
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US-Pakistan Center for Advanced Studies in Energy (USPCAS-E) | US-Pakistan Center for Advanced Studies in Energy (USPCAS-E) | NFIC | 332.6457 MAS-F 2013 (Browse shelf) | Available | CAS-E0001329 |
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Includes bibliographical references and index.
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.
Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.
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