Modeling Derivatives Applications in Matlab, .pdf

Modeling Derivatives Applications in Matlab, .pdf

ID:34407562

大?。?.63 MB

頁數(shù):268頁

時間:2019-03-05

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1、LONDONThisisthefirstbookforprofessionalswithprebuilt,fullytestedcodeyoucanusetostartmodelingandpricingcomplexderivatives.Allthecodeinthebookmaybedownloadedbythebook’spurchasersfromasecureWebsite,andisdesignedforbotheaseofuseandeaseofadaptation.MUNIQUEFEATURES:ODELINGDERIVATIVESAPPLICATIONS■Providesr

2、eady-to-usederivativespricingtoolsthatcannotbefoundinanyotherbook■Includesmodelsforthefastest-growingareas,includingweather,energy,andpowerderivatives,CDOs,andcreditderivatives■MonteCarlosimulation,copulamethodologies,andfinitedifferencesarecoveredindetailThederivativesindustryisgrowingatbreaknecksp

3、eed:hundredsoffinancialinstitutionsnowmarketcomplexderivatives;thousandsoffinancialandtechnicalprofessionalsneedtomodelthemaccuratelyandeffectively.Now,forthefirsttime,onebookbringstogetherproven,testedreal-timemodelscreatedforeachoftoday’sleadingmodelingplatforms:C++,MATLAB,andMicrosoftExcel.Usingt

4、hisbook’smodels,professionalscansavemonthsofdevelopmenttime,whileimprovingtheaccuracyandreliabilityofthemodelsMODELINGtheycreate.Thebookshowshowtoimplementpricingalgorithmsforawidevarietyofcomplexderivatives,includingrapidlyemerginginstrumentscoveredinnootherbook.UtilizingactualBloombergdata,thebook

5、coverscreditderivatives,CDOs,mortgage-backedsecurities,asset-backedsecurities,fixed-incomesecurities,andtoday’sincreasinglyimportantweather,power,andenergyderivatives.Alongtheway,thebookpresentsunderlyingtheoryandmath10DERIVATIVESinthecontextofpracticalimplementation,coveringeverythingfromMonteCarlo

6、simulationtocopulamethodsandfinitedifferences.JUSTINLONDONhasdevelopedfixed-incomeandequitymodelsfortradingcompaniesandhisownquantitativeconsultingfirm.HehasanalyzedandmanagedbankcorporateloanAPPLICATIONSportfoliosusingcreditderivativesintheAssetPortfolioGroupofalargebankinChicago,Illinois,aswellasa

7、dvisedseveralbanksintheirimplementationofderivativetradingsystems.Londonisthefounderofaglobalonlinetradingandfinancialtechnologycompany.AgraduateINMATLAB,C++,ANDEXCELoftheUniversityofMichigan,Londonho

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