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Modeling Derivatives Applications in Matlab, C++, and Excel
JUSTIN LONDON FT PRESS
Contents:
Preface xv
Acknowledgments xix
About the Author xxi
1 SWAPSAND FIXED INCOME INSTRUMENTS 1
1.1 Eurodollar Futures 2
1.2 Treasury Bills and Bonds 3
Hedging with T-bill Futures 6
Long Futures Hedge: Hedging Synthetic Futures on 182-Day T-Bill 7
1.3 Computing Treasury Bill Prices and Yields inMatlab 10
1.4 Hedging Debt Positions 11
Hedging a Future 91-Day T-Bill Investment with T-Bill Call 11
Short Hedge: Managing the Maturity Gap 12
Maturity Gap and the Carrying Cost Model 14
Managing the Maturity Gap with Eurodollar Put 14
Short Hedge: Hedging a Variable-Rate Loan 15
1.5 Bond and Swap Duration, Modified Duration, and DV01 18
Hedging Bond Portfolios 20
1.6 Term Structure of Rates 24
1.7 BootstrapMethod 25
1.8 Bootstrapping in Matlab 28
1.9 Bootstrapping in Excel 30
1.10 General Swap Pricing in Matlab 33
Description 43
1.11 Swap Pricing in Matlab Using Term Structure Analysis 45
1.12 Swap Valuation in C++ 50
1.13 Bermudan Swaption Pricing in Matlab 62
Endnotes 66
2 MONTE CARLO AND NUMERICAL METHODS 69
2.1 The Monte Carlo Method 70
2.2 Generating Sample Paths and Normal Deviates 72
2.3 Generating Correlated Normal Random Variables 73
2.4 Importance Sampling 81
2.5 Importance Sampling Example in Matlab 84
2.6 Quasi-Random Sequences 88
2.7 Variance Reduction Techniques 98
2.8 Monte Carlo Antithetic Example in Matlab 99
2.9 Monte Carlo Implementation in C++ 101
2.10 Fast Fourier Transform 108
2.11 FFT Implementation inMatlab 111
2.12 Path-Dependent Valuation 114
2.13 Monte Carlo Pricing of Asian Currency Option in Matlab 121
2.14 Finite Difference Methods 122
2.15 Explicit Difference Methods 122
2.16 Explicit Finite Difference Implementation in C++ 126
2.17 Implicit Difference Method 129
2.18 LU DecompositionMethod 132
2.19 LU Decomposition Example in Matlab 134
2.20 Implicit Difference Example in Matlab 136
2.21 Crank-Nicolson Scheme 140
2.22 Asian Option Pricing Using Crank-Nicolson in Matlab 142
Endnotes 144
3 COPULA FUNCTIONS 147
3.1 Definition and Basic Properties of Copula Functions 147
3.2 Classes of Copula Functions 149
Multivariate Gaussian Copula 149
Multivariate Student’s T Copula 151
3.3 Archimedean Copulae 153
3.4 Calibrating Copulae 154
Exact Maximum Likelihood Method (EML) 154
The Inference Functions for Margins Method (IFM) 156
The Canonical Maximum Likelihood Method (CML) 156
3.5 Numerical Results for Calibrating Real-Market Data 157
Bouy`e, Durrelman, Nikeghbali, Riboulet, and Roncalli Method 157
Mashal and Zeevi Method 162
ix
3.6 Using Copulas in Excel 166
Endnotes 167
4 MORTGAGE-BACKED SECURITIES 171
4.1 Prepayment Models 173
4.2 Numerical Example of Prepayment Model 175
4.3 MBS Pricing and Quoting 178
4.4 Prepayment Risk and Average Life of MBS 180
4.5 MBS Pricing Using Monte Carlo in C++ 191
4.6 Matlab Fixed-Income Toolkit for MBS Valuation 207
4.7 Collateralized Mortgage Obligations (CMOs) 212
4.8 CMO Implementation in C++ 219
4.9 Planned Amortization Classes (PACS) 228
4.10 Principal- and Interest-Only Strips 231
4.11 Interest Rate Risk 233
4.12 Dynamic Hedging of MBS 233
The MultivariableDensity EstimationMethod 236
Endnotes 242
特别声明：本书电子版只有前4章！所以5到12章的目录也就不再列出了~