Modeling Derivatives Applications in Matlab, C++, and Excel
Published on 29. December 2006
Book
Mixed media product
600 pages
978-0-13-196259-0 (ISBN)
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. 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
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
More details
Language
English
Place of publication
NJ
United States
Publishing group
Pearson Education (US)
Target group
Professional and scholarly
Dimensions
Height: 241 mm
Width: 187 mm
Thickness: 29 mm
Weight
1008 gr
ISBN-13
978-0-13-196259-0 (9780131962590)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Person
Justin London has developed fixed-income and equity models for trading companies and his own quantitative consulting firm. He has analyzed and managed bank corporate loan portfolios using credit derivatives in the Asset Portfolio Group of a large bank in Chicago, Illinois, as well as advised several banks in their implementation of derivative trading systems. London is the founder of a global online trading and financial technology company. A graduate of the University of Michigan, London holds a B.A. in economics and mathematics, an M.A. in applied economics, and an M.S. in financial engineering, computer science, and mathematics, respectively.
Content
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 Code 503
References 543
Index 555
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 Code 503
References 543
Index 555