Financial derivative and energy market valuation. Theory and implementation in MATLAB

DOI10.1002/9781118501788MaRDI QIDQ4921685zbMATH OpenOpenAlexFDO

Authors Michael Mastro

Publication date 13 May 2013

Full work available at URL https://doi.org/10.1002/9781118501788

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(5)

• Forecasting energy market contracts by ambit processes: empirical study and numerical results
• Implementing models in quantitative finance: methods and cases
• Quantitative finance. An object-oriented approach in C++
• scientific article; zbMATH DE number 2031584 (Why is no real title available?)
• Static Markowitz mean-variance portfolio selection model with long-term bonds

Describes a project that uses

Uses Software

• Matlab

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