UID:
edocfu_9959328607002883
Format:
1 online resource
ISBN:
9781118501818
,
1118501810
,
9781118501764
,
1118501764
,
9781118501795
,
1118501799
,
9781118501788
,
1118501780
,
9781118583586
,
1118583582
,
1118487710
,
9781118487716
Content:
A road map for implementing quantitative financial models Financial Derivative and Energy Market Valuation brings the application of financial models to a higher level by helping readers capture the true behavior of energy markets and related financial derivatives. The book provides readers with a range of statistical and quantitative techniques and demonstrates how to implement the presented concepts and methods in Matlab®. Featuring an unparalleled level of detail, this unique work provides the underlying theory and various advanced topics without requirin.
Note:
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.
Additional Edition:
Print version: Mastro, Michael A., 1975- Financial derivative and energy market valuation. Hoboken, N.J. : Wiey, ©2012 ISBN 9781118487716
Language:
English
Keywords:
Electronic books.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118501788
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