| Document Type
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BL
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| Record Number
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661605
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| Doc. No
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dltt
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| Main Entry
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Mastro, Michael A.,1975-
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| Title & Author
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Financial derivative and energy market valuation : theory and implementation in MATLAB® /\ Michael Mastro
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| Publication Statement
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Hoboken, N.J. :: Wiley,, c2013
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| Page. NO
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1 online resource (viii, 649 p.) :: ill
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| ISBN
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9781118501788
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: 1118501780
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: 9781118501764
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: 1118501764
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: 9781118501818
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: 1118501810
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: 9781118501795
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: 1118501799
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9781118487716
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: 9781118583586
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: 1118583582
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9781118355114
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: 1118487710
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: 9781118487716
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| Bibliographies/Indexes
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Includes bibliographical references and index
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| Contents
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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
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| Abstract
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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
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| Subject
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Derivative securities
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| Subject
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Energy derivatives
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| Subject
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MATLAB
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| LC Classification
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HG6024.A3
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| Added Entry
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Ohio Library and Information Network
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Wiley Online Library (Online service)
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