Matlab Financial Derivatives Toolbox Users Guide

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Chapter Description
“Getting Started” Describes interest rate models, bushy and
recombinent trees, instrument types, and
instrument portfolio construction.
“Using Financial
Derivatives”
Describes techniques for computing prices and
sensitivities based upon the interest rate term
structure, the Heath-Jarrow-Morton (HJM) model
of forward rates, and the Black-Derman-Toy (BDT)
interest rate model.
“Hedging Portfolios” Describes functions that minimize the cost of
hedging a portfolio given a set of target
sensitivities, or minimize portfolio sensitivities for
a given set of maximum target costs.
“Function
Reference”
Describes the functions used for interest rate
environment computations, instrument portfolio
construction and manipulation, and for
Heath-Jarrow-Morton and Black-Derman-Toy
modeling.

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2008-3-18 14:02:00 上传

Matlab Financial Derivatives Toolbox Users Guide

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关键词：derivatives Derivative financial Financia inancial toolbox MATLAB financial derivatives Guide

Chapter               Description
“Getting Started”   Describes interest rate models, bushy and
                      recombinent trees, instrument types, and
                      instrument portfolio construction.

“Using Financial
Derivatives”
                       Describes techniques for computing prices and
                       sensitivities based upon the interest rate term
                       structure, the Heath-Jarrow-Morton (HJM) model
                       of forward rates, and the Black-Derman-Toy (BDT)
                       interest rate model.

“Hedging Portfolios”  Describes functions that minimize the cost of
                        hedging a portfolio given a set of target
                        sensitivities, or minimize portfolio sensitivities for
                        a given set of maximum target costs.
“Function
Reference”
                        Describes the functions used for interest rate
                        environment computations, instrument portfolio
                        construction and manipulation, and for
                        Heath-Jarrow-Morton and Black-Derman-Toy
                        modeling.

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