Financial derivative and energy market valuation : theory and implementation in Matlab
Michael Mastro
| Year of publication: |
c 2013
|
|---|---|
| Authors: | Mastro, Michael A. |
| Publisher: |
Hoboken, NJ : Wiley |
| Subject: | Derivat | Derivative | Energiequelle | Energy source | Energiemarkt | Energy market | Optionspreistheorie | Option pricing theory | Numerisches Verfahren | Numerical analysis | Theorie | Theory | Energiehandel | Derivat <Wertpapier> | Finanzmathematik | MATLAB |
| Description of contents: | Table of Contents [gbv.de] ; Description [zbmath.org] |
| Extent: | VIII, 649 S. graph. Darst. 25 cm |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Handbuch ; Handbook |
| Language: | English |
| Notes: | 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. |
| ISBN: | 978-1-118-48771-6 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009732367