Read Anywhere and on Any Device!

Subscribe to Read | $0.00

Join today and start reading your favorite books for Free!

Create Free Account

Quick and Easy Sign Up!

It takes less then 1 minute to sign up, then you can enjoy Unlimited eBooks.

Sign Up Browse

Popular Genres

Read Anywhere and on Any Device!

  • Download on iOS
  • Download on Android
  • Download on iOS

Modeling Derivatives Applications in Matlab, C++, and Excel

Modeling Derivatives Applications in Matlab, C++, and Excel

Justin London
0/5 ( ratings)
Read Download
Prebuilt Code for Modeling and Pricing Today's Complex Derivatives Justin London shows how to implement pricing algorithms for a wide variety of complex derivatives, including rapidly emerging instruments covered in no other book. Utilizing actual Bloomberg data, London covers credit derivatives, CDOs, mortgage-backed securities, asset-backed securities, fixed-income securities, and today's increasingly important weather, power, and energy derivatives. His robust models are designed for both ease of use and ease of adaptation, and may be downloaded by the book's purchasers from a secured Web site. "Modeling Derivatives Applications in Matlab, C++, and Excel "will be indispensable to sell-side professionals who model derivatives; buy-side professionals who must understand the derivatives offered to them; experienced quants; developers at Wall Street firms; and any financial engineering practitioner or student entering the derivatives field for the first time.
Presents broader coverage and more models than any competitive book Covers everything from swaps to interest rate models, mortgage- and asset-backed securities to the HJM model
Includes code for all three leading derivatives development platforms The only book to present models for Matlab, C++, and Excel
Addresses the fastest-growing areas of derivatives development Includes models for weather, power, and energy derivatives, CDOs, and more
Contains extensive real-world examples.
The entire book utilizes Matlab, C++, and Excel. Users need Matlab installed, Visual C++, and Excel. In addition, some examples using Matlab toolkits are used: Chapter 1 makes use of the Fixed-Income Toolkit. Appendix A makes use of the Financial Derivatives Toolkit and Matlab Excel Link. These toolkits do not come with the book, but can be obtained from Mathworks. Downloadable models available ONLY to purchasers of this book.Purchasers receive a unique access code enabling secure access to downloadable, prebuilt code and templates for Matlab, C++, and Excel. " Preface xv"" Acknowledgments xix"" About the Author xxi"Chapter 1 Swaps and Fixed Income Instruments 1 Chapter 2 Copula Functions 67 Chapter 3 Mortgage-Backed Securities 91 Chapter 4 Collateralized Debt Obligations 163Chapter 5 Credit Derivatives 223Chapter 6 Weather Derivatives 299Chapter 7 Energy and Power Derivatives 333Chapter 8 Pricing Power Derivatives: Theory and Matlab Implementation 407 Chapter 9 Commercial Real Estate Asset-Backed Securities 447Appendix A Interest Rate Tree Modeling in Matlab 473Appendix B Chapter 7 Code 503 References 543 " Index 555 "
Language
English
Pages
600
Format
Hardcover
Release
December 28, 2006
ISBN 13
9780131962590

Modeling Derivatives Applications in Matlab, C++, and Excel

Justin London
0/5 ( ratings)
Read Download
Prebuilt Code for Modeling and Pricing Today's Complex Derivatives Justin London shows how to implement pricing algorithms for a wide variety of complex derivatives, including rapidly emerging instruments covered in no other book. Utilizing actual Bloomberg data, London covers credit derivatives, CDOs, mortgage-backed securities, asset-backed securities, fixed-income securities, and today's increasingly important weather, power, and energy derivatives. His robust models are designed for both ease of use and ease of adaptation, and may be downloaded by the book's purchasers from a secured Web site. "Modeling Derivatives Applications in Matlab, C++, and Excel "will be indispensable to sell-side professionals who model derivatives; buy-side professionals who must understand the derivatives offered to them; experienced quants; developers at Wall Street firms; and any financial engineering practitioner or student entering the derivatives field for the first time.
Presents broader coverage and more models than any competitive book Covers everything from swaps to interest rate models, mortgage- and asset-backed securities to the HJM model
Includes code for all three leading derivatives development platforms The only book to present models for Matlab, C++, and Excel
Addresses the fastest-growing areas of derivatives development Includes models for weather, power, and energy derivatives, CDOs, and more
Contains extensive real-world examples.
The entire book utilizes Matlab, C++, and Excel. Users need Matlab installed, Visual C++, and Excel. In addition, some examples using Matlab toolkits are used: Chapter 1 makes use of the Fixed-Income Toolkit. Appendix A makes use of the Financial Derivatives Toolkit and Matlab Excel Link. These toolkits do not come with the book, but can be obtained from Mathworks. Downloadable models available ONLY to purchasers of this book.Purchasers receive a unique access code enabling secure access to downloadable, prebuilt code and templates for Matlab, C++, and Excel. " Preface xv"" Acknowledgments xix"" About the Author xxi"Chapter 1 Swaps and Fixed Income Instruments 1 Chapter 2 Copula Functions 67 Chapter 3 Mortgage-Backed Securities 91 Chapter 4 Collateralized Debt Obligations 163Chapter 5 Credit Derivatives 223Chapter 6 Weather Derivatives 299Chapter 7 Energy and Power Derivatives 333Chapter 8 Pricing Power Derivatives: Theory and Matlab Implementation 407 Chapter 9 Commercial Real Estate Asset-Backed Securities 447Appendix A Interest Rate Tree Modeling in Matlab 473Appendix B Chapter 7 Code 503 References 543 " Index 555 "
Language
English
Pages
600
Format
Hardcover
Release
December 28, 2006
ISBN 13
9780131962590

More books from Justin London

Modeling Derivatives in C++ (Wiley Finance)

0/5 ( ratings)

Rate this book!

Write a review?

loader