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Modeling Derivatives Applications in Matlab, C++, and Excel 9780131962590

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

ISBN-10: 0131962590
ISBN-13: 9780131962590
AUTHOR:
PUBLISHER: FT Press
Also available at Amazon.com
Note: Not guaranteed to come with supplemental materials (access codes, CDs, DVDs)
Product Description:

Prebuilt Code for Modeling and Pricing Today''s Complex Derivatives

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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.nbsp;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.

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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.

Thenbsp;entire book utilizesnbsp;Matlab, C++, and Excel.nbsp; Users need Matlab installed, Visual C++, and Excel.nbsp;nbsp;In addition, some examples using Matlab toolkits are used: Chapter 1nbsp;makes use of the Fixed-Income Toolkit.nbsp; Appendix A makes use of the Financial Derivatives Toolkit and Matlab Excel Link.nbsp;nbsp;These toolkits do not come with the book, but can be obtained from Mathworks.

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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.

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nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Prefacenbsp; xv

nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Acknowledgmentsnbsp; xix

nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; About the Authornbsp; xxi

Chapter 1nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;Swaps and Fixed Income Instrumentsnbsp; 1nbsp;

Chapternbsp;2nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Copula Functionsnbsp; 67nbsp;

Chapternbsp;3nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Mortgage-Backed Securitiesnbsp; 91nbsp;

Chapternbsp;4nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Collateralized Debt Obligationsnbsp; 163

Chapternbsp;5nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Credit Derivativesnbsp; 223

Chapternbsp;6nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;Weather Derivativesnbsp; 299

Chapternbsp;7nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Energy and Power Derivativesnbsp; 333

Chapternbsp;8nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Pricing Power Derivatives: Theory and Matlab Implementationnbsp; 407nbsp;

Chapternbsp;9nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Commercial Real Estate Asset-Backed Securitiesnbsp; 447

Appendix Anbsp;nbsp;nbsp;nbsp;nbsp;Interest Rate Tree Modeling in Matlabnbsp; 473

Appendix Bnbsp;nbsp;nbsp;nbsp;nbsp;Chapter 7 Codenbsp; 503

nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Referencesnbsp; 543nbsp;

nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Indexnbsp;nbsp; 555nbsp;

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PUBLICATION DATE:
PAGES: 600
CATEGORY: Business & Economics, Computers
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