Modeling Derivatives Applications in Matlab, C++, and Excel
Description | The first book for professionals with pre-built, fully tested code needed to start modeling and pricing complex derivatives. Provides ready to use derivatives pricing tools that cannot be found in any other book. Includes models for the fastest-growing areas, including weather, energy, and power derivatives, CDOs, and credit derivatives.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.  |
| Features | The first book for professionals with pre-built, fully tested code needed to start modeling and pricing complex derivatives.
- Provides ready to use derivatives pricing tools that cannot be found in any other book.
- Includes models for the fastest-growing areas, including weather, energy, and power derivatives, CDOs, and credit derivatives.
- 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.
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| | Table of Contents | Prefacexv
Acknowledgmentsxix
About the Authorxxi
Chapter 1 Swaps and Fixed Income Instruments1
Chapter 2 Copula Functions67
Chapter 3 Mortgage-Backed Securities91
Chapter 4 Collateralized Debt Obligations163
Chapter 5 Credit Derivatives223
Chapter 6 Weather Derivatives299
Chapter 7 Energy and Power Derivatives333
Chapter 8 Pricing Power Derivatives: Theory and Matlab Implementation407
Chapter 9 Commercial Real Estate Asset-Backed Securities447
Appendix A Interest Rate Tree Modeling in Matlab473
Appendix B Code503
References543
Index 555
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