【图书名称】：Modeling Derivatives Applications in Matlab, C++, and Excel
【图书作者】：Justin London
【 出版社 】：FT press
【全文链接】：http://www.amazon.com/Modeling-Derivatives-Applications-Matlab-
Excel/dp/0131962590/ref=sr_1_1?ie=UTF8&s=books&qid=1217813695&sr=8-1
【出版时间】：2006
【所需格式】：pdf或者复印
Book 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 |
