Modeling derivatives applications in Matlab, C++, and Excel:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Upper Saddle River, NJ [u.a.]
FT Press
2007
|
| Ausgabe: | 2. print. |
| Schlagworte: | |
| Online-Zugang: | Table of contents only Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references (p. 543-553) and index |
| Beschreibung: | XXI, 565 S. Ill., graph. Darst. 25 cm |
| ISBN: | 0131962590 |
Internformat
MARC
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| 040 | |a DE-604 |b ger |e aacr | ||
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| 100 | 1 | |a London, Justin |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Modeling derivatives applications in Matlab, C++, and Excel |c Justin London |
| 250 | |a 2. print. | ||
| 264 | 1 | |a Upper Saddle River, NJ [u.a.] |b FT Press |c 2007 | |
| 300 | |a XXI, 565 S. |b Ill., graph. Darst. |c 25 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references (p. 543-553) and index | ||
| 630 | 0 | 4 | |a MATHLAB |
| 630 | 0 | 4 | |a Microsoft Excel (Computer file) |
| 650 | 4 | |a C++ (Langage de programmation) | |
| 650 | 4 | |a Instruments dérivés (Finances) - Prix - Modèles mathématiques | |
| 650 | 4 | |a Instruments dérivés de crédit - Modèles mathématiques | |
| 650 | 4 | |a Kreditrisiko - EXCEL - Modellierung - Derivat <Wertpapier> | |
| 650 | 4 | |a Kreditrisiko - Modellierung - C++ - Derivat <Wertpapier> | |
| 650 | 4 | |a Kreditrisiko - Modellierung - MATLAB - Derivat <Wertpapier> | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Derivative securities |x Prices |x Mathematical models | |
| 650 | 4 | |a Credit derivatives |x Mathematical models | |
| 650 | 4 | |a C++ (Computer program language) | |
| 650 | 0 | 7 | |a Strukturiertes Finanzprodukt |0 (DE-588)4656104-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Ökonometrie |0 (DE-588)4132280-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |D s |
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| 689 | 1 | |5 DE-604 | |
| 856 | 4 | |u http://www.loc.gov/catdir/toc/ecip0618/2006020109.html |3 Table of contents only | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016410906&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016410906 | ||
Datensatz im Suchindex
| _version_ | 1804137514589487104 |
|---|---|
| adam_text | Contents
Preface
xv
Acknowledgments
xix
About the Author
xxi
1
SWAPS AND FIXED INCOME INSTRUMENTS
1
1.1
Eurodollar Futures
2
1.2
Treasury Bills and Bonds
3
Hedging with
Т
-Bill Futures
6
Long Futures Hedge: Hedging Synthetic Futures on
1
82-Day T-Bill
7
1.3
Computing Treasury Bill Prices and Yields in
Matlab
10
1.4
Hedging Debt Positions
11
Hedging a Future
91
-Day
Т
-Bill Investment with
Т
-Bill Call
11
Short Hedge: Managing the Maturity Gap
12
Maturity Gap and the Carrying Cost Model
14
Managing the Maturity Gap with Eurodollar Put
14
Short Hedge: Hedging a Variable-Rate Loan
15
1.5
Bond and Swap Duration, Modified Duration, and DVO
1 18
Hedging Bond Portfolios
20
1.6
Term Structure of Rates
24
1.7
Bootstrap Method
25
1.8
Bootstrapping in
Matlab
28
1.9
Bootstrapping in Excel
30
1.10
General Swap Pricing in
Matlab
33
Description
43
1.11
Swap Pricing in
Matlab
Using Term Structure Analysis
45
1.12
Swap Valuation in
C++ 50
1.13
Bermudán
S
waption Pricing in
Matlab
61
Endnotes 65
vii
Contents
COPULA
FUNCTIONS
67
2.1
Definition and Basic Properties of Copula Functions
67
2.2
Classes of Copula Functions
69
Multivariate Gaussian Copula
69
Multivariate Student s
Τ
Copula
71
2.3
Archimedean Copulae
73
2.4
Calibrating Copulae
74
Exact Maximum Likelihood Method (EML)
74
The Inference Functions for Margins Method (IFM)
76
The Canonical Maximum Likelihood Method (CML)
76
2.5
Numerical Results for Calibrating Real-Market Data
77
Bouyè,
Durrelman, Nikeghbali, Riboulet, and Roncalli Method
77
Mashal and Zeevi Method
82
2.6
Using Copulas in Excel
86
Endnotes 87
MORTGAGE-BACKED SECURITIES
91
3.1
Prepayment Models
93
3.2
Numerical Example of Prepayment Model
95
3.3
MBS Pricing and Quoting
98
3.4
Prepayment Risk and Average Life of MB
S
100
3.5
MBS Pricing Using Monte Carlo in
C++ 111
3.6
Matlab
Fixed-Income Toolkit for MB
S
Valuation
126
3.7
Collateralized Mortgage Obligations (CMOs)
131
3.8
CMO Implementation in
C++ 137
3.9
Planned Amortization Classes (PACS)
146
3.10
Principal- and Interest-Only Strips
149
3.11
Interest Rate Risk
151
3.12
Dynamic Hedging of MBS
151
The
Multivariable
Density Estimation Method
15 3
Endnotes 160
COLLATERALIZED DEBT OBLIGATIONS
163
4.1
Structure of CDOs
164
Cash Flow CDOs
165
Market Value CDOs
166
Balance Sheet Cash Flows CDOs
166
Arbitrage CDOs
166
Arbitrage Market Value CDOs
166
Contents
¡x
Arbitrage
Cash Flow CDOs
167
Credit Enhancement in Cash Flow Transactions
167
Credit Enhancement in Market Value Transactions: Advance Rates
and the Over-Collateralization Test
167
Minimum Net Worth Test
169
Transaction Characteristics
171
4.2
Synthetic CDOs
171
Fully Funded Synthetic CDOs
177
Partially and Unfunded Funded Synthetic CDOs
179
4.3
Balance Sheet Management with CDS
181
4.4
The Distribution of Default Losses on a Portfolio
181
4.5
CDO Equity Tranche
186
CDO Equity Tranche Performance
186
The CDO Embedded Option
187
The Price of Equity
188
Using Moody s Binomial Expansion Technique to Structure
Synthetic CDOs
189
Correlation Risk of CDO Tranches
193
4.6
CDO Tranche Pricing
196
4.7
Pricing Equation
197
4.8
Simulation Algorithm
197
4.9
CDO Pricing in
Matlab
199
4.10
CDO Pricing in
C++ 208
4.11
CDO2 Pricing
216
4.12
Fast Loss Calculation for CDOs and CDO2s
216
Fast Algorithm for Computing CDO Tranche Loss in
Matlab
218
Endnotes 220
5
CREDIT DERIVATIVES
223
5.1
Credit Default Swaps
224
5.2
CDS Day Counting Conventions
226
5.3
General Valuation of Credit Default Swaps
226
5.4
Hazard Rate Function
228
5.5
Poisson
and Cox Processes
229
5.6
Valuation Using a Deterministic Intensity Model
232
5.7
Hazard Rate Function Calibration
235
5.8
Credit Curve Construction and Calibration
248
χ
Contents
5.9
Credit
Basket
Default Swaps Pricing
249
Generation of Correlated Default Stopping Times
250
Sampling from Elliptical Copulae
250
The Distribution of Default Arrival Times
252
Basket CDS Pricing Algorithm
252
5.10
Credit Basket Pricing in
Matlab
255
5.11
Credit Basket Pricing in
C++ 264
5.12
Credit Linked Notes (CLNs)
291
CLNs with Collateralized Loan or Bond Obligations (CLOs or CBOs)
295
Pricing Tranched Credit Linked Notes
296
Regulatory Capital
296
Endnotes 297
6
WEATHER DERIVATIVES
299
300
303
303
306
308
309
310
310
311
312
312
313
316
318
328
330
7
ENERGY AND POWER DERIVATIVES
333
7.1
Electricity Markets
334
7.2
Electricity Pricing Models
336
Modeling the Price Process
336
One-Factor Model
337
Estimating the Deterministic Component
340
Estimation of the Stochastic Process for the One-Factor Models
341
Two-Factor Model
342
6.1
Weather Derivatives Market
6.2
Weather Contracts
СМЕ
Weather Futures
6.3
Modeling Temperature
Noise Process
Mean-Reversion
6.4
Parameter Estimation
6.5
Volatility Estimation
6.6
Mean-Reversion Parameter Estimation
6.7
Pricing Weather Derivatives
Model Framework
Pricing a Heating Degree Day Option
6.8
Historical Burn Analysis
6.9
Time-Series Weather Forecasting
6.10
Pricing Weather Options in
C++
Endnotes
Contents
7.3
Swing
Options
344
7.4
The Longstaff-Schwartz
Algorithm for American and
Bermudán
Options
345
The LSM Algorithm
346
7.5
Extension of Longstaff-Schwartz to Swing Options
348
7.6
General Case: Upswings, Downswings, and Penalty Functions
351
7.7
Swing Option Pricing in
Matlab
352
7.8
LSM Simulation Results
352
Upper and Lower Boundaries
354
Exercise Strategies
356
The Threshold of Early Exercise
358
Interplay Between Early Exercise and Option Value
360
7.9
Pricing of Energy Commodity Derivatives
362
Cross-Commodity Spread Options
362
Model
1
364
Model
2
365
Model
3
366
7.10
Jump Diffusion Pricing Models
368
Model
1
a:
Affine
Mean-Reverting Jump-Diffusion Process
368
Model lb
369
Model 2a: Time-Varying Drift Component
370
Model 2b: Time-Varying Version of Model lb
372
7.11
Stochastic Volatility Pricing Models
372
Model 3a: Two-Factor Jump-Diffusion
Affine
Process with Stochastic
Volatility
372
7.12
Model Parameter Estimation
373
ML-CCF Estimators
375
ML-MCCF Estimators
376
Spectral GMM Estimators
379
Simulation
383
7.13
Parameter Estimation in
Matlab
385
7.14
Energy Commodity Models
385
7.15
Natural Gas
387
Natural Gas Markets
387
Natural Gas Spot Prices
389
7.16
Gas Pricing Models
390
One-Factor Model
390
Two-Factor Model
391
Calibration
393
Contents
One-Factor
Model
Calibration
393
Two-Factor Model Calibration
394
7.17
Natural Gas Pricing in
Matlab
398
7.18
Natural Gas and Electricity Swaps
398
Generator
400
End User
401
Endnotes 402
PRICING POWER DERIVATIVES: THEORY AND
MATLAB
IMPLEMENTATION
407
8.1
Introduction
407
8.2
Power Markets
409
8.3
Traditional Valuation Approaches Are Problematic for Power
410
8.4
Fundamentals-Based Models
413
8.5
The PJ Model
—
Overview
415
8.6
Model Calibration
419
8.7
Using the Calibrated Model to Price Options
423
Daily Strike Options
423
Monthly Strike Options
423
Spark Spread Options
424
8.8
Option Valuation Methodology
424
Splitting the (Finite) Difference: Daily Strike and Monthly
Strike Options
424
Matlab
Implementation for a Monthly Strike Option
426
Spark Spread Options
434
Matlab
Implementation of Spark Spread Option Valuation
434
8.9
Results
439
8.10
Summary
443
Endnotes 443
References
445
COMMERCIAL REAL ESTATE ASSET-BACKED SECURITIES
447
9.1
Introduction
447
9.2
Motivations for Asset-Backed Securitization
449
9.3
Concepts of Securitizing Real Estate Cash Flows
450
9.4
Commercial Real Estate-Backed Securitization (CREBS)
—
Singapore s
Experience
452
9.5
Structure of a Typical CREBS
456
A CREBS Case by Visor Limited
457
Contents xiii
9.6
Pricing of CREBS
459
Swaps and Swaptions
459
The Cash Flow Swap Structure for CREBS
459
9.7
Valuation of CREBS Using a Swap Framework
460
Basic Swap Valuation Framework
460
Pricing of Credit Risks for CREBS Using the Proposed Swap Model
461
Modeling Default Risks in the CREBS Swap
461
9.8
Numerical Analysis of Default Risks for a Typical CREBS
463
Monte Carlo Simulation Process
463
Input Parameters
464
Analysis of Results
465
9.9
Matlab
Code for the Numerical Analysis
467
9.10
Summary
470
Endnotes 470
A INTEREST RATE TREE MODELING IN
MATLAB
473
A.I BDT Modeling in
Matlab
473
A.2 Hull-White Trees in
Matlab
478
A.3 Black-Karasinski Trees in
Matlab
486
A.4 HJM Pricing in
Matlab
490
Description
492
Syntax
493
Arguments
493
Examples
493
Creating an HJM Volatility and Pricing Model
494
A.5
Matlab
Excel Link Example
497
A.6 Two-Factor HJM Model Implementation in
Matlab
500
Endnotes 501
В
CHAPTER
7
CODE
503
REFERENCES
543
INDEX
555
|
| adam_txt |
Contents
Preface
xv
Acknowledgments
xix
About the Author
xxi
1
SWAPS AND FIXED INCOME INSTRUMENTS
1
1.1
Eurodollar Futures
2
1.2
Treasury Bills and Bonds
3
Hedging with
Т
-Bill Futures
6
Long Futures Hedge: Hedging Synthetic Futures on
1
82-Day T-Bill
7
1.3
Computing Treasury Bill Prices and Yields in
Matlab
10
1.4
Hedging Debt Positions
11
Hedging a Future
91
-Day
Т
-Bill Investment with
Т
-Bill Call
11
Short Hedge: Managing the Maturity Gap
12
Maturity Gap and the Carrying Cost Model
14
Managing the Maturity Gap with Eurodollar Put
14
Short Hedge: Hedging a Variable-Rate Loan
15
1.5
Bond and Swap Duration, Modified Duration, and DVO
1 18
Hedging Bond Portfolios
20
1.6
Term Structure of Rates
24
1.7
Bootstrap Method
25
1.8
Bootstrapping in
Matlab
28
1.9
Bootstrapping in Excel
30
1.10
General Swap Pricing in
Matlab
33
Description
43
1.11
Swap Pricing in
Matlab
Using Term Structure Analysis
45
1.12
Swap Valuation in
C++ 50
1.13
Bermudán
S
waption Pricing in
Matlab
61
Endnotes 65
vii
Contents
COPULA
FUNCTIONS
67
2.1
Definition and Basic Properties of Copula Functions
67
2.2
Classes of Copula Functions
69
Multivariate Gaussian Copula
69
Multivariate Student's
Τ
Copula
71
2.3
Archimedean Copulae
73
2.4
Calibrating Copulae
74
Exact Maximum Likelihood Method (EML)
74
The Inference Functions for Margins Method (IFM)
76
The Canonical Maximum Likelihood Method (CML)
76
2.5
Numerical Results for Calibrating Real-Market Data
77
Bouyè,
Durrelman, Nikeghbali, Riboulet, and Roncalli Method
77
Mashal and Zeevi Method
82
2.6
Using Copulas in Excel
86
Endnotes 87
MORTGAGE-BACKED SECURITIES
91
3.1
Prepayment Models
93
3.2
Numerical Example of Prepayment Model
95
3.3
MBS Pricing and Quoting
98
3.4
Prepayment Risk and Average Life of MB
S
100
3.5
MBS Pricing Using Monte Carlo in
C++ 111
3.6
Matlab
Fixed-Income Toolkit for MB
S
Valuation
126
3.7
Collateralized Mortgage Obligations (CMOs)
131
3.8
CMO Implementation in
C++ 137
3.9
Planned Amortization Classes (PACS)
146
3.10
Principal- and Interest-Only Strips
149
3.11
Interest Rate Risk
151
3.12
Dynamic Hedging of MBS
151
The
Multivariable
Density Estimation Method
15 3
Endnotes 160
COLLATERALIZED DEBT OBLIGATIONS
163
4.1
Structure of CDOs
164
Cash Flow CDOs
165
Market Value CDOs
166
Balance Sheet Cash Flows CDOs
166
Arbitrage CDOs
166
Arbitrage Market Value CDOs
166
Contents
¡x
Arbitrage
Cash Flow CDOs
167
Credit Enhancement in Cash Flow Transactions
167
Credit Enhancement in Market Value Transactions: Advance Rates
and the Over-Collateralization Test
167
Minimum Net Worth Test
169
Transaction Characteristics
171
4.2
Synthetic CDOs
171
Fully Funded Synthetic CDOs
177
Partially and Unfunded Funded Synthetic CDOs
179
4.3
Balance Sheet Management with CDS
181
4.4
The Distribution of Default Losses on a Portfolio
181
4.5
CDO Equity Tranche
186
CDO Equity Tranche Performance
186
The CDO Embedded Option
187
The Price of Equity
188
Using Moody's Binomial Expansion Technique to Structure
Synthetic CDOs
189
Correlation Risk of CDO Tranches
193
4.6
CDO Tranche Pricing
196
4.7
Pricing Equation
197
4.8
Simulation Algorithm
197
4.9
CDO Pricing in
Matlab
199
4.10
CDO Pricing in
C++ 208
4.11
CDO2 Pricing
216
4.12
Fast Loss Calculation for CDOs and CDO2s
216
Fast Algorithm for Computing CDO Tranche Loss in
Matlab
218
Endnotes 220
5
CREDIT DERIVATIVES
223
5.1
Credit Default Swaps
224
5.2
CDS Day Counting Conventions
226
5.3
General Valuation of Credit Default Swaps
226
5.4
Hazard Rate Function
228
5.5
Poisson
and Cox Processes
229
5.6
Valuation Using a Deterministic Intensity Model
232
5.7
Hazard Rate Function Calibration
235
5.8
Credit Curve Construction and Calibration
248
χ
Contents
5.9
Credit
Basket
Default Swaps Pricing
249
Generation of Correlated Default Stopping Times
250
Sampling from Elliptical Copulae
250
The Distribution of Default Arrival Times
252
Basket CDS Pricing Algorithm
252
5.10
Credit Basket Pricing in
Matlab
255
5.11
Credit Basket Pricing in
C++ 264
5.12
Credit Linked Notes (CLNs)
291
CLNs with Collateralized Loan or Bond Obligations (CLOs or CBOs)
295
Pricing Tranched Credit Linked Notes
296
Regulatory Capital
296
Endnotes 297
6
WEATHER DERIVATIVES
299
300
303
303
306
308
309
310
310
311
312
312
313
316
318
328
330
7
ENERGY AND POWER DERIVATIVES
333
7.1
Electricity Markets
334
7.2
Electricity Pricing Models
336
Modeling the Price Process
336
One-Factor Model
337
Estimating the Deterministic Component
340
Estimation of the Stochastic Process for the One-Factor Models
341
Two-Factor Model
342
6.1
Weather Derivatives Market
6.2
Weather Contracts
СМЕ
Weather Futures
6.3
Modeling Temperature
Noise Process
Mean-Reversion
6.4
Parameter Estimation
6.5
Volatility Estimation
6.6
Mean-Reversion Parameter Estimation
6.7
Pricing Weather Derivatives
Model Framework
Pricing a Heating Degree Day Option
6.8
Historical Burn Analysis
6.9
Time-Series Weather Forecasting
6.10
Pricing Weather Options in
C++
Endnotes
Contents
7.3
Swing
Options
344
7.4
The Longstaff-Schwartz
Algorithm for American and
Bermudán
Options
345
The LSM Algorithm
346
7.5
Extension of Longstaff-Schwartz to Swing Options
348
7.6
General Case: Upswings, Downswings, and Penalty Functions
351
7.7
Swing Option Pricing in
Matlab
352
7.8
LSM Simulation Results
352
Upper and Lower Boundaries
354
Exercise Strategies
356
The Threshold of Early Exercise
358
Interplay Between Early Exercise and Option Value
360
7.9
Pricing of Energy Commodity Derivatives
362
Cross-Commodity Spread Options
362
Model
1
364
Model
2
365
Model
3
366
7.10
Jump Diffusion Pricing Models
368
Model
1
a:
Affine
Mean-Reverting Jump-Diffusion Process
368
Model lb
369
Model 2a: Time-Varying Drift Component
370
Model 2b: Time-Varying Version of Model lb
372
7.11
Stochastic Volatility Pricing Models
372
Model 3a: Two-Factor Jump-Diffusion
Affine
Process with Stochastic
Volatility
372
7.12
Model Parameter Estimation
373
ML-CCF Estimators
375
ML-MCCF Estimators
376
Spectral GMM Estimators
379
Simulation
383
7.13
Parameter Estimation in
Matlab
385
7.14
Energy Commodity Models
385
7.15
Natural Gas
387
Natural Gas Markets
387
Natural Gas Spot Prices
389
7.16
Gas Pricing Models
390
One-Factor Model
390
Two-Factor Model
391
Calibration
393
Contents
One-Factor
Model
Calibration
393
Two-Factor Model Calibration
394
7.17
Natural Gas Pricing in
Matlab
398
7.18
Natural Gas and Electricity Swaps
398
Generator
400
End User
401
Endnotes 402
PRICING POWER DERIVATIVES: THEORY AND
MATLAB
IMPLEMENTATION
407
8.1
Introduction
407
8.2
Power Markets
409
8.3
Traditional Valuation Approaches Are Problematic for Power
410
8.4
Fundamentals-Based Models
413
8.5
The PJ Model
—
Overview
415
8.6
Model Calibration
419
8.7
Using the Calibrated Model to Price Options
423
Daily Strike Options
423
Monthly Strike Options
423
Spark Spread Options
424
8.8
Option Valuation Methodology
424
Splitting the (Finite) Difference: Daily Strike and Monthly
Strike Options
424
Matlab
Implementation for a Monthly Strike Option
426
Spark Spread Options
434
Matlab
Implementation of Spark Spread Option Valuation
434
8.9
Results
439
8.10
Summary
443
Endnotes 443
References
445
COMMERCIAL REAL ESTATE ASSET-BACKED SECURITIES
447
9.1
Introduction
447
9.2
Motivations for Asset-Backed Securitization
449
9.3
Concepts of Securitizing Real Estate Cash Flows
450
9.4
Commercial Real Estate-Backed Securitization (CREBS)
—
Singapore's
Experience
452
9.5
Structure of a Typical CREBS
456
A CREBS Case by Visor Limited
457
Contents xiii
9.6
Pricing of CREBS
459
Swaps and Swaptions
459
The Cash Flow Swap Structure for CREBS
459
9.7
Valuation of CREBS Using a Swap Framework
460
Basic Swap Valuation Framework
460
Pricing of Credit Risks for CREBS Using the Proposed Swap Model
461
Modeling Default Risks in the CREBS Swap
461
9.8
Numerical Analysis of Default Risks for a Typical CREBS
463
Monte Carlo Simulation Process
463
Input Parameters
464
Analysis of Results
465
9.9
Matlab
Code for the Numerical Analysis
467
9.10
Summary
470
Endnotes 470
A INTEREST RATE TREE MODELING IN
MATLAB
473
A.I BDT Modeling in
Matlab
473
A.2 Hull-White Trees in
Matlab
478
A.3 Black-Karasinski Trees in
Matlab
486
A.4 HJM Pricing in
Matlab
490
Description
492
Syntax
493
Arguments
493
Examples
493
Creating an HJM Volatility and Pricing Model
494
A.5
Matlab
Excel Link Example
497
A.6 Two-Factor HJM Model Implementation in
Matlab
500
Endnotes 501
В
CHAPTER
7
CODE
503
REFERENCES
543
INDEX
555 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | London, Justin |
| author_facet | London, Justin |
| author_role | aut |
| author_sort | London, Justin |
| author_variant | j l jl |
| building | Verbundindex |
| bvnumber | BV023225067 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 |
| callnumber-search | HG6024.A3 |
| callnumber-sort | HG 46024 A3 |
| callnumber-subject | HG - Finance |
| classification_rvk | QH 330 QK 660 |
| classification_tum | WIR 170f DAT 358f WIR 017f DAT 302f |
| ctrlnum | (OCoLC)70877716 (DE-599)BVBBV023225067 |
| dewey-full | 332.64/570113 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/570113 |
| dewey-search | 332.64/570113 |
| dewey-sort | 3332.64 6570113 |
| dewey-tens | 330 - Economics |
| discipline | Informatik Wirtschaftswissenschaften |
| discipline_str_mv | Informatik Wirtschaftswissenschaften |
| edition | 2. print. |
| format | Book |
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| illustrated | Illustrated |
| index_date | 2024-07-02T20:17:37Z |
| indexdate | 2024-07-09T21:13:30Z |
| institution | BVB |
| isbn | 0131962590 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016410906 |
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| physical | XXI, 565 S. Ill., graph. Darst. 25 cm |
| publishDate | 2007 |
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| publisher | FT Press |
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| spelling | London, Justin Verfasser aut Modeling derivatives applications in Matlab, C++, and Excel Justin London 2. print. Upper Saddle River, NJ [u.a.] FT Press 2007 XXI, 565 S. Ill., graph. Darst. 25 cm txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references (p. 543-553) and index MATHLAB Microsoft Excel (Computer file) C++ (Langage de programmation) Instruments dérivés (Finances) - Prix - Modèles mathématiques Instruments dérivés de crédit - Modèles mathématiques Kreditrisiko - EXCEL - Modellierung - Derivat <Wertpapier> Kreditrisiko - Modellierung - C++ - Derivat <Wertpapier> Kreditrisiko - Modellierung - MATLAB - Derivat <Wertpapier> Mathematisches Modell Derivative securities Prices Mathematical models Credit derivatives Mathematical models C++ (Computer program language) Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Ökonometrie (DE-588)4132280-0 s DE-604 Strukturiertes Finanzprodukt (DE-588)4656104-3 s http://www.loc.gov/catdir/toc/ecip0618/2006020109.html Table of contents only Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016410906&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | London, Justin Modeling derivatives applications in Matlab, C++, and Excel MATHLAB Microsoft Excel (Computer file) C++ (Langage de programmation) Instruments dérivés (Finances) - Prix - Modèles mathématiques Instruments dérivés de crédit - Modèles mathématiques Kreditrisiko - EXCEL - Modellierung - Derivat <Wertpapier> Kreditrisiko - Modellierung - C++ - Derivat <Wertpapier> Kreditrisiko - Modellierung - MATLAB - Derivat <Wertpapier> Mathematisches Modell Derivative securities Prices Mathematical models Credit derivatives Mathematical models C++ (Computer program language) Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd Ökonometrie (DE-588)4132280-0 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4656104-3 (DE-588)4132280-0 (DE-588)4381572-8 |
| title | Modeling derivatives applications in Matlab, C++, and Excel |
| title_auth | Modeling derivatives applications in Matlab, C++, and Excel |
| title_exact_search | Modeling derivatives applications in Matlab, C++, and Excel |
| title_exact_search_txtP | Modeling derivatives applications in Matlab, C++, and Excel |
| title_full | Modeling derivatives applications in Matlab, C++, and Excel Justin London |
| title_fullStr | Modeling derivatives applications in Matlab, C++, and Excel Justin London |
| title_full_unstemmed | Modeling derivatives applications in Matlab, C++, and Excel Justin London |
| title_short | Modeling derivatives applications in Matlab, C++, and Excel |
| title_sort | modeling derivatives applications in matlab c and excel |
| topic | MATHLAB Microsoft Excel (Computer file) C++ (Langage de programmation) Instruments dérivés (Finances) - Prix - Modèles mathématiques Instruments dérivés de crédit - Modèles mathématiques Kreditrisiko - EXCEL - Modellierung - Derivat <Wertpapier> Kreditrisiko - Modellierung - C++ - Derivat <Wertpapier> Kreditrisiko - Modellierung - MATLAB - Derivat <Wertpapier> Mathematisches Modell Derivative securities Prices Mathematical models Credit derivatives Mathematical models C++ (Computer program language) Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd Ökonometrie (DE-588)4132280-0 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | MATHLAB Microsoft Excel (Computer file) C++ (Langage de programmation) Instruments dérivés (Finances) - Prix - Modèles mathématiques Instruments dérivés de crédit - Modèles mathématiques Kreditrisiko - EXCEL - Modellierung - Derivat <Wertpapier> Kreditrisiko - Modellierung - C++ - Derivat <Wertpapier> Kreditrisiko - Modellierung - MATLAB - Derivat <Wertpapier> Mathematisches Modell Derivative securities Prices Mathematical models Credit derivatives Mathematical models C++ (Computer program language) Strukturiertes Finanzprodukt Ökonometrie Derivat Wertpapier |
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