Financial derivative and energy market valuation theory and implementation in MATLAB - Mastro, Michael A., 1975- (Hoboken, N.J. : Wiey, 2013)
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.
Includes bibliographical references and index.
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Electronic reproduction. Santa Fe, Arg.: elibro, 2021. Available via World Wide Web. Access may be limited to eLibro affiliated libraries.
Keywords: MATLAB; Derivative securities; Energy derivatives; Electronic books