Jumat, 19 September 2014

PDF Ebook Modeling Derivatives Applications in Matlab, C++, and Excel (paperback)By Justin London

PDF Ebook Modeling Derivatives Applications in Matlab, C++, and Excel (paperback)By Justin London

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Modeling Derivatives Applications in Matlab, C++, and Excel (paperback)By Justin London

Modeling Derivatives Applications in Matlab, C++, and Excel (paperback)By Justin London


Modeling Derivatives Applications in Matlab, C++, and Excel (paperback)By Justin London


PDF Ebook Modeling Derivatives Applications in Matlab, C++, and Excel (paperback)By Justin London

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Modeling Derivatives Applications in Matlab, C++, and Excel (paperback)By Justin London

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.

Theentire book utilizesMatlab, C++, and Excel. Users need Matlab installed, Visual C++, and Excel.In addition, some examples using Matlab toolkits are used: Chapter 1makes 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 1Swaps and Fixed Income Instruments 1

Chapter2 Copula Functions 67

Chapter3 Mortgage-Backed Securities 91

Chapter4 Collateralized Debt Obligations 163

Chapter5 Credit Derivatives 223

Chapter6Weather Derivatives 299

Chapter7 Energy and Power Derivatives 333

Chapter8 Pricing Power Derivatives: Theory and Matlab Implementation 407

Chapter9 Commercial Real Estate Asset-Backed Securities 447

Appendix AInterest Rate Tree Modeling in Matlab 473

Appendix BChapter 7 Code 503

References 543

Index 555

  • Sales Rank: #6765283 in Books
  • Published on: 2006-12-28
  • Original language: English
  • Dimensions: 9.10" h x 1.30" w x 7.00" l, 2.25 pounds
  • Binding: Paperback
  • 600 pages

From the Back Cover
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 "

About the Author

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.

Excerpt. Reprinted by permission. All rights reserved.
Preface PREFACE

Given the explosive growth in new financial derivatives such as credit derivatives, hundreds of financial institutions now market these complex instruments and employ thousands of financial and technical professionals needed to model them accurately and effectively. Moreover, the implementation of these models in C++ and Matlab (two widely used languages for implementing and building derivatives models) has made programming skills in these languages important for practitioners to have. In addition, the use of Excel is also important as many trading desks use Excel as a front-end trading application.

Modeling Derivatives Applications in Matlab, C++, and Excel is the first book to cover in detail important derivatives pricing models for credit derivatives (for example, credit default swaps and credit-linked notes), collateralized-debt obligations (CDOs), mortgage-backed securities (MBSs), asset-backed securities (ABSs), swaps, fixed-income securities, and increasingly important weather, power, and energy derivatives using Matlab, C++, and Excel. Readers will benefit from both the mathematical derivations of the models, the theory underlying the models, as well as the code implementations.

Throughout this book, numerous examples are given using Matlab, C++, and Excel. Examples using actual real-time Bloomberg data show how these models work in practice. The purpose of the book is to teach readers how to properly develop and implement derivatives applications so that they can adapt the code for their own use as they develop their own applications. The best way to learn is to follow the examples and run the code. The chapters cover the following topics:

  • Chapter 1: Swaps and fixed income securities
  • Chapter 2: Copulas and copula methodologies
  • Chapter 3: Mortgage-backed securities
  • Chapter 4: Collateralized-debt obligations
  • Chapter 5: Credit derivatives
  • Chapter 6: Weather derivatives
  • Chapter 7: Energy and power derivatives
  • Chapter 8: Also covers model implementations for energy derivatives using Matlab, but is written and based on the proprietary work of its author, Craig Pirrong, professor of finance and director of the Global Energy Management Institute at the University of Houston.
  • Chapter 9: Commercial real-estate backed securities (a type of asset-backed security), which is written and is based on the proprietary work of its author, Tien-Foo Sing, professor in the Department of Real Estate Finance at the National University of Singapore.

In order to provide different perspectives to readers and provide as much useful information as possible, the work and models developed and written by various leading practitioners and experts for certain topics are provided and incorporated throughout the book. Thus, not only does this book cover complex derivatives models and provide all of the code (which can be downloaded using a secure ID code from the companion Web site at http://www.ftpress.com/title/0131962590), but it also incorporates important work contributions from leading practitioners in the industry. For instance, the work of Galiani (2003) is discussed in the chapter on copulas and credit derivatives. The work of Picone (2004) is discussed in the chapter on collateralized-debt obligations. The work of Johnson (2004) is discussed in the chapters on fixed-income instruments and mortgage-backed securities. The valuable work for energy derivatives of Doerr (2002), Xiang (2004), and Xu (2004) is given. In Chapter 8, Craig Pirrong discusses the Pirrong-Jermayakan model, a two-dimensional alternating implicit difference (ADI) finite difference scheme for pricing energy derivatives. In Chapter 9, Tien-Foo Sing discusses using Monte Carlo to price asset-based securities. Moreover, numerous individuals named in the acknowledgments contributed useful code throughout the book.

The book emphasizes how to implement and code complex models for pricing, trading, and hedging using C++, Matlab, and Excel. The book does not focus on design patterns or best coding practices (these issues may be discussed in subsequent editions of the book.) Efficiency and modularity are important design goals in building robust object-oriented code. In some cases in this book, the C++ code provided could perhaps be more modular as with some of the routines in building interest rate trees. The emphasis throughout the book has been to provide working implementations for the reader to adapt. However, the book does provide some discussions and helpful tips for building efficient models. For instance, memory allocation for data structures is always an issue when developing a model that requires use and storage of multi-dimensional data. Use of a predefined two-dimensional array, for instance, is not the most efficient way to allocate memory since it is fixed in size. A lot of memory may be unutilized and wasted if you do not know how large the structure needs to be to store the actual data. On the other hand, the predefined array sizes may turn out not to be large enough.

Although two-dimensional arrays are easy to define, use of array template classes (that can handle multiple dimensions) and vectors (of vectors) in the Standard Template Library in C++ are more efficient because they are dynamic and only use as much memory as is needed. Such structures are used in the book, although some two-dimensional arrays are used as well. Matlab, a matrix manipulation language, provides automatic memory allocation of memory as data is used if no array sizes are predefined. All data in Matlab are treated as matrix objects; e.g., a single number is treated as a 1 x 1 array. Data can be added or removed from an object and the object will dynamically expand or reduce the amount of memory space as needed.

While every effort has been made to catch all typos and errors in the book, inevitably in a book of this length and complexity, there may still be a few. Any corrections will be posted on the Web site.

Hopefully, this book will give you the foundation to develop, build, and test your own models while saving you a great deal of development time through use of pre-tested robust code.

Supplemental Files on the Web Site

To download the code in this book, you must first register online. You will need a valid email address and the access code that is printed inside the envelope located at the back of the book.

To register online, go to http://www.ftpress.com/title/0131962590 and follow the on-screen instructions.

If you have any questions about online registration or downloading the code, please send us an inquiry via the Contact Us page at http://www.ftpress.com/about/contact us/.

NOTE: The code files are Copyrighted 2006 by Justin London and the contributors thereof. Unauthorized reproduction or distribution is prohibited. All rights reserved.


Copyright Pearson Education. All rights reserved.

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Selasa, 16 September 2014

Download PDF African Mathematics: History, Textbook and Classroom LessonsBy Mr Robin Walker

Download PDF African Mathematics: History, Textbook and Classroom LessonsBy Mr Robin Walker

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African Mathematics: History, Textbook and Classroom LessonsBy Mr Robin Walker

African Mathematics: History, Textbook and Classroom LessonsBy Mr Robin Walker


African Mathematics: History, Textbook and Classroom LessonsBy Mr Robin Walker


Download PDF African Mathematics: History, Textbook and Classroom LessonsBy Mr Robin Walker

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African Mathematics: History, Textbook and Classroom LessonsBy Mr Robin Walker

African Mathematics: History, Textbook and Study Guide aims to meet several objectives. Firstly, the book gives a historical overview of Africa and its contribution to Mathematics. Secondly, the book provides the teacher and the learner with study materials that can be used in the classroom. Thirdly, the book introduces some of the numerical patterns and puzzles that has fascinated one of the authors John Matthews. Fourthly, the book introduces the lectures, classes and workshops that the two authors teach on these subjects. Mathematics has an interesting history in Africa. This history forms the first part of the book. The earliest known mathematical artefact in human history is the Lebombo Bone. Thought to be 37,000 years old, it was discovered by archaeologists in South Africa. Scholars believe that the number system carved into the bone represents a lunar calendar. Later mathematical evidence comes from the Ishango region of Central Africa, Ancient Egypt, Medieval North Africa, Ethiopia, Medieval West Africa and Medieval Central Africa. Mathematics teachers have asked for material that can be used in the classroom where these African mathematical ideas can be used, tested or even challenged. To this aim, the second part of the book presents classroom material that can engage children. Each lesson demonstrates a mathematical principle followed by classroom exercises that the pupils can attempt. We have provided perhaps 22 hours worth of teaching and learning material. The third part of this book was written wholly by John Matthews, a secondary school mathematics teacher. It contains a sample of his tips and short cuts that any pupil of mathematics can profitably use to improve their engagement with number. Mr Matthews also believes that students of mathematics should enjoy detecting patterns in number sequences. In the fourth part of the book he presents a sample of his own discoveries in this area. He also presents classroom exercises that the pupils can attempt.

  • Sales Rank: #585881 in Books
  • Published on: 2014-07-28
  • Original language: English
  • Dimensions: 9.00" h x .41" w x 6.00" l,
  • Binding: Paperback
  • 182 pages

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Minggu, 07 September 2014

Download Ebook Casualties of Care: Immigration and the Politics of Humanitarianism in France 1st (first) Edition

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Casualties of Care: Immigration and the Politics of Humanitarianism in France 1st (first) Edition

  • Sales Rank: #5236933 in Books
  • Binding: Paperback

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