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

Author: Justin London
Edition: 1
Publisher: FT Press
Binding: Hardcover
ISBN: 0131962590
Price:
You Save: 25%

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

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.Modeling Derivatives Applications in Matlab, C++, and Excel review. 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 examplesRead full reviews of Modeling Derivatives Applications In Matlab, C++, And Excel [with Cdrom].
  
  

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  Modeling Derivatives Applications in Matlab C++ and Excel
  

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  FT Press 9780131962590 Modeling Derivatives Applications in Matlab, C++, and Excel [With CDROM] Description Hundreds of financial institutions now market complex derivatives; thousands of financial and technical professionals need to model them accurately and effectively. This volume brings together proven, tested real-time models for each of todays leading modeling platforms to help professionals save months of development time, while improving the accuracy and reliability of the models they c
  

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  Modeling Derivatives Applications in Matlab, C++, and Excel [With CDROM]
  

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  author justin london format mixed media product language english publication year 18 12 2006 subject management business economics industry subject 2 finance accounting title modeling derivatives applications in matlab c and excel author london justin publisher ft pr publication date dec 20 2006 pages 565 binding mixed media product edition 1 st dimensions 7 00 wx 9 50 hx 1 25 d isbn 0131962590 subject computers programming languages c description with financial institutions increasingly marke
  

  http://rover.ebay.com/rover/1/711-67261-24966-0/2?ipn=psmain&icep_vectorid=263602&mtid=691&kwid=1&crlp=1_263602&icep_item_id=140943000497&itemid=140943000497&icep_meta_categ_id=267&icep_etrs=N&icep_epid=90821334&icep_ctlg=610&icep_cond=New&icep_cbt=y&icep_msku_flag=n

  
  
  
  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 wi
  

  http://www.superbookdeals.com/seo/?seoid=5&m=4222350

  
  
  
  
  

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

  
  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