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Modeling Derivatives Applications In Matlab, C++, And Excel,Used
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Prebuilt Code For Modeling And Pricing Todays Complex Derivativesjustin 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, Mortgagebacked Securities, Assetbacked Securities, Fixedincome Securities, And Todays 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 Books Purchasers From A Secured Web Site.Modeling Derivatives Applications In Matlab, C++, And Excelwill Be Indispensable To Sellside Professionals Who Model Derivatives; Buyside 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 Assetbacked 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 Fastestgrowing Areas Of Derivatives Development Includes Models For Weather, Power, And Energy Derivatives, Cdos, And More Contains Extensive Realworld 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 Fixedincome 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 Xvacknowledgments Xixabout The Author Xxichapter 1 Swaps And Fixed Income Instruments 1Chapter 2 Copula Functions 67Chapter 3 Mortgagebacked Securities 91Chapter 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 407Chapter 9 Commercial Real Estate Assetbacked Securities 447Appendix A Interest Rate Tree Modeling In Matlab 473Appendix B Chapter 7 Code 503References 543Index 555
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