The first book for professionals with pre-built, fully tested code needed to start modeling and pricing complex derivatives. Provides ready to use derivatives pricing tools that cannot be found in any other book. Includes models for the fastest-growing areas, including weather, energy, and power derivatives, CDOs, and credit derivatives. 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.
Salient Features
The first book for professionals with pre-built, fully tested code needed to start modeling and pricing complex derivatives.
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Provides ready to use derivatives pricing tools that cannot be found in any other book.
-
Includes models for the fastest-growing areas, including weather, energy, and power derivatives, CDOs, and credit derivatives.
-
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.
