Modeling Derivatives Applications in Matlab, C++, and Excel
(Sprache: Englisch)
Hundreds of financial institutions now market complex derivatives; thousands of financial and technical professionals need to model them accurately and effectively. This volume brings together proven, tested real-time models for each of todays leading...
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Produktinformationen zu „Modeling Derivatives Applications in Matlab, C++, and Excel “
Hundreds of financial institutions now market complex derivatives; thousands of financial and technical professionals need to model them accurately and effectively. This volume brings together proven, tested real-time models for each of todays leading modeling platforms to help professionals save months of development time, while improving the accuracy and reliability of the models they create.
Inhaltsverzeichnis zu „Modeling Derivatives Applications in 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 Code 503 References 543 Index 555
Autoren-Porträt von Justin London
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.
Bibliographische Angaben
- Autor: Justin London
- 2006, Maße: 18,7 x 3,4 cm, Kartoniert (TB), Englisch
- Verlag: Pearson Financial Times
- ISBN-10: 0131962590
- ISBN-13: 9780131962590
Sprache:
Englisch
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