Financial derivative and energy market valuation : theory and implementation in Matlab /
Mastro, Michael A.,1975-
Hoboken, N.J. : Wiey,
c2013.
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.
MATLAB.
Derivative securities.
Energy derivatives.