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.
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.
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
"synopsis" may belong to another edition of this title.
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.
"About this title" may belong to another edition of this title.
Book Description Pearson FT Press. Hardcover. Book Condition: New. 0131962590 New. Looks like an interesting title, learn more! We provide domestic tracking upon request. We provide personalized customer service and want you to have a great experience purchasing from us. 100% satisfaction guaranteed and thank you for your consideration. Bookseller Inventory # S-0131962590
Book Description FT Press, 2006. Hardcover. Book Condition: New. 1. Bookseller Inventory # DADAX0131962590
Book Description FT Press, 2006. Hardcover. Book Condition: New. book. Bookseller Inventory # 131962590