Browse / Business & Economics
Modeling Derivatives Applications in Matlab, C++, and Excel 9780131962590

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

ISBN-10: 0131962590
ISBN-13: 9780131962590
Also available at
Note: Not guaranteed to come with supplemental materials (access codes, CDs, DVDs)
Product Description:

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.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.


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.


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.


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;


Additional Details

PAGES: 600
CATEGORY: Business & Economics, Computers

21 Day Unconditional Guarantee

any book, any reason

Rent This Book Now:

Price guaranteed for 45:00 longer
Due May 15 $50.43
130 days (due Jul 7) $56.08
85 days (due May 23) $51.03
55 days (due Apr 23) $48.79
Select Your Own Date

Buy this book used:


List Price: $190.00
Your Savings:
Total Price:

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

Select a star rating


1. How do textbook rentals work?
It’s simple. Begin by searching for your textbook by ISBN (10 or 13-digit number that can be found on the back cover of each book), title, author or keyword. Next select how long you would like to rent the book then add it to your cart. Repeat for each book you’re looking for. After completing the order we’ll ship them to you and you’ll also receive a prepaid mailer. Return your books in the mailer by your rental due date.
2. Is renting a textbook better than purchasing it?
We offer both! You can buy or rent the book through Campus Book Rentals. It’s up to you to decide which option best meets your educational needs.
3. How do I track my order?
Login to your account here, you’ll see your current rentals listed textbook rentals listed with a yellow box that says “track”. Click the box to view the tracking number. *Not all books will have a tracking number since they may be sent from one of our partners. Tracking numbers will be updated as they become available.
4. How do I return my books?
When you rent textbooks from Campus Book Rentals you’ll receive a prepaid mailer. When it’s nearing your due date you’ll place your books inside the mailer and take it to the nearest USPS drop box or Post Office. If you don’t receive a mailer you can print a return label from your account. Return shipping is prepaid so please use either of the two methods to ensure they arrive at the correct facility.
5. Can I write or highlight in my book?
Of course! Just remember that future students will rent the same book after you, so please be respectful.
6. How much money can renting my books save?
It depends on the book. Generally renting textbooks can save you up to 80% compared to a new textbook.
7. Are Campus Book Rentals’ books the same as my bookstore’s?
Yes! We only ship US edition textbooks, which are the same as your campus bookstore.
8. Do access codes or other supplements come with a textbook rental?
One time use access codes and other supplemental materials are NOT included with rental books and must be purchased separately.
9. What if I don’t return my rental?
If your book rental is not returned by the due date, your credit card will be charged a non-return fee, equal to the replacement value for the book.
10. Can I purchase my book after I rent it?
Certainty! You’re only charged the difference between what you already paid and the value of the book at the time you initially rented. Login to your account and choose to purchase your book and it’ll walk you through the checkout process.

Textbook Rentals

We know that textbook rentals are the best way currently to distribute high quality textbooks, and we want to have you on board! Join over a million students that have saved money by renting! Not only is it better for you, but when you return it that book can go on to help even more students access affordable education. We're confident we offer the best value in rentals, but if you're not a believer you can always return your book for a no questions asked refund within 21 days.

Why Choose Us?

1. Campus Book Rentals pioneered the idea of textbook rentals, making prices significantly cheaper for every student while still maintaining the highest quality. We've been at it since 2007 and the entire industry has had to adapt to keep up.

2. Though keeping prices low has always been the goal, we can boast an excellent support team that has helped thousands of students get the best value for their education. Chat with them at 855-200-0021 or use our chat box.

3. We practice what we preach. We routinely read our own textbooks to further our own education while at work. We know that only with a well-educated team of individuals can we continue to change the industry for the better.

Make A Difference

At Campus Book Rentals our company is guided by a single question, "How are we making education more affordable?" We know that getting a college education is quickly becoming a rite of passage for students and is becoming more important every year. In order to make education more attainable for the 99%, we started renting textbooks so students could avoid high purchase prices and buyback programs. We know it's a better way, and we're going to show everyone how to make a college education affordable again.