Modeling Derivatives Applications in Matlab, C++, and Excel 在线电子书 图书标签: 金融 金融建模 Quant Matlab Derivatives C++ 金融工程 Modeling
发表于2024-12-23
Modeling Derivatives Applications in Matlab, C++, and Excel 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024
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Justin London,拥有密歇根大学经济学和数学的学士学位、应用经济学的文科硕士学位,以及金融工程、计算机科学和数学的理科硕士学位。他是全球在线交易和金融技术公司的创始人,曾为贸易公司和他自己的定量咨询公司开发固定收益和股权模型。他曾在芝加哥一家大银行使用信用衍生品分析和管理银行企业贷款组合,而且还指导几家银行完成了自己的衍生品交易系统。
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. * Presents broader coverage and more models than any competitive book Covers everything from swaps to interest rate models, mortgage- and asset-backed securities to the HJM model * Includes code for all three leading derivatives development platforms The only book to present models for Matlab, C++, and Excel * Addresses the fastest-growing areas of derivatives development Includes models for weather, power, and energy derivatives, CDOs, and more * Contains extensive real-world examples. 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. 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 Chapter 7 Code 503 References 543 Index 555
比如第1章 inline double calcDV01() { double duration = calcDuration(); double val = getFloatValue(); double DV = 0.0; DV = -(duration * national_) * ((double)1/10000); cout << "float DV01 = " << DV << endl; return -DV; } 很明显...
评分随着新型的金融衍生品(如信用衍生品)的迅猛发展,上百家金融机构正在交易这些复杂的金融工具,并雇用了成千上万的金融、技术专业人员为它们建立有效而准确的模型。本书是一本介绍这些复杂金融工具的优秀读物。 ——海通证券股份有限公司董事长 王开国 本书具有非常高的理...
评分比如第1章 inline double calcDV01() { double duration = calcDuration(); double val = getFloatValue(); double DV = 0.0; DV = -(duration * national_) * ((double)1/10000); cout << "float DV01 = " << DV << endl; return -DV; } 很明显...
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评分随着新型的金融衍生品(如信用衍生品)的迅猛发展,上百家金融机构正在交易这些复杂的金融工具,并雇用了成千上万的金融、技术专业人员为它们建立有效而准确的模型。本书是一本介绍这些复杂金融工具的优秀读物。 ——海通证券股份有限公司董事长 王开国 本书具有非常高的理...
Modeling Derivatives Applications in Matlab, C++, and Excel 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024