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MICHAEL MASTRO, PhD, is a civilian Staff Scientist at the U.S. Naval Research Lab. Dr. Mastro has authored more than 150 papers and patents and has organized several conference symposia.
Table of Contents
1. Financial Models
2. Jump Models
4. Binomial Trees
5. Trinomial Trees
6. Finite Difference Methods
7. Kalman Filter
8. Futures and Forwards
9. Non-Linear and Non-Gaussian Kalman Filter
10. Short Term Deviation / Long Term Equilibrium Model
11. Futures and Forwards Options
12. Fourier Transform
13. Fundamentals of Characteristic Functions
14. Application of Characteristic Functions
15. Levy Processes
16. Fourier Based Option Analysis
17. Fundamentals of Stochastic Finance
18. Affine Jump-Diffusion Processes