Financial derivative and energy market valuation theory and implementation in MATLAB /

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Bibliografski detalji
Glavni autor: Mastro, Michael A., 1975-
Autor kompanije: ebrary, Inc
Format: Elektronički e-knjiga
Jezik:engleski
Izdano: Hoboken, N.J. : Wiey, 2013.
Teme:
Online pristup:An electronic book accessible through the World Wide Web; click to view
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Sadržaj:
  • 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.