Financial derivative and energy market valuation : theory and implementation in MATLAB / / Michael Mastro.
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| Year of Publication: | 2013 |
| Language: | English |
| Online Access: | |
| Physical Description: | viii, 649 p. :; ill. |
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Table of Contents:
- 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.