Modeling Derivatives Applications in MATLAB, C++, and Excel
  • Modeling Derivatives Applications in MATLAB, C++, and Excel
zoom

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

(author)
£119.35
Mixed media product 600 Pages / Published: 18/12/2006
  • Not available

This product is currently unavailable.

  • This item has been added to your basket
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 163 Chapter 5 Credit Derivatives 223 Chapter 6 Weather Derivatives 299 Chapter 7 Energy and Power Derivatives 333 Chapter 8 Pricing Power Derivatives: Theory and Matlab Implementation 407 Chapter 9 Commercial Real Estate Asset-Backed Securities 447 Appendix A Interest Rate Tree Modeling in Matlab 473 Appendix B Chapter 7 Code 503 References 543 Index 555

Publisher: Pearson Education (US)
ISBN: 9780131962590
Number of pages: 600
Weight: 1048 g
Dimensions: 241 x 187 x 29 mm

You may also be interested in...

One Up On Wall Street
Added to basket
Investing in Shares For Dummies
Added to basket
The Financial Times Guide to Investing
Added to basket
Investment Banking For Dummies
Added to basket
How to Grow Your Own Money
Added to basket
Property Investing All-In-One For Dummies
Added to basket
Kathleen Brooks on Forex
Added to basket
More Money Than God
Added to basket
The Snowball
Added to basket
£16.99
Paperback
The Greatest Trade Ever
Added to basket
Mr. China
Added to basket
£8.99
Paperback
Moneyball
Added to basket
£11.99
Paperback
Shares Made Simple
Added to basket
£13.99
Paperback
Market Wizards
Added to basket
£21.99
Paperback

Reviews

Please sign in to write a review

Your review has been submitted successfully.