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INDEX 1. Swaps and Fixed Income Instruments 1.1 EURODOLLAR FUTURES????????????? 1.2 TREASURY BILLS AND BONDS???????????.. 1.3 COMPUTING TREASURY BILL PRICES AND YIELDS IN MATLAB 1.4 HEDGING DEBT POSITIONS????????????? 1.5 BOND AND SWAP DURATION, MODIFIED DURATION, AND DV01 1.6 TERM STRUCTURE OF RATES????????????? 1.7 BOOTSTRAP METHOD??????????????? 1.8 BOOTSTRAPPING IN MATLAB??????????????? 1.9 BOOTSTRAPPING IN EXCEL??????????????..?.. 1.10 GENERAL SWAP PRICING IN MATLAB??????????? 1.11 SWAP PRICING IN MATLAB USING TERM STRUCTURE ANALYSIS 1.12 SWAP VALUATION IN C++????????????????.. 1.13 BERMUDAN SWAPTION PRICING IN MATLAB??????..? 2. Monte Carlo and Numerical Methods 2.1 THE MONTE CARLO METHOD 2.2 GENERATING SAMPLE PATHS AND NORMAL DEVIATE 2.3 GENERATING CORRELATED NORMAL RANDOM VARIABLES 2.4 IMPORTANCE SAMPLING 2.5 IMPORTANCE SAMPLING EXAMPLE IN MATLAB 2.6 QUASI-RANDOM SEQUENCES 2.7 VARIANCE REDUCTION TECHNIQUES 2.8 MONTE CARLO ANTITHETIC EXAMPLE IN MATLAB 2.9 MONTE CARLO IMPLEMENTATION IN C++ 2.10 FAST FOURIER TRANSFORM 2.11 FFT IMPLEMENTATION IN MATLAB 2.12 PATH DEPENDENT VALUATION 2.13 MONTE CARLO PRICING OF ASIAN CURRENCY OPTION IN MATLAB 2.14 EXPLICIT DIFFERENCE METHODS 2.15 EXPLICIT FINITE DIFFERENCE IMPLEMENTATION IN C++ 2.16 IMPLICIT DIFFERENCE METHOD 2.17 LU DECOMPOSITION METHOD 2.18 LU DECOMPOSITION EXAMPLE IN MATLAB 2.19 IMPLICIT DIFFERENCE EXAMPLE IN MATLAB 2.20 CRANK-NICOLSON SCHEME 2.21 ASIAN OPTION PRICING USING CRANK-NICOLSON IN MATLAB 3 COPULA FUNCTIONS 3.1 DEFINITION AND BASIC PROPERTIES OF COPULA FUNCTIONS 3.2 CLASSES OF COPULA FUNCTIONS 3.3 ARCHIMEDEAN COPULAE 3.4 CALIBRATING COPULAE 3.4.1 Exact Maximum Likelihood Method (EML) 3.4.2 The Inference Functions for Margins Method (IFM) 3.4.3 The Canonical Maximum Likelihood Method (CML) 3.5 NUMERICAL RESULTS FOR CALIBRATING REAL MARKET DATA 3.5.1. Bouye, Durrelman, Nikeghbali, Riboulet, and Roncalli Method 3.5.2 Mashal and Zeevi method 4 MORTGAGE-BACKED SECURITIES 4.1 PREPAYMENT MODELS 4.2 NUMERICAL EXAMPLE OF PREPAYMENT MODEL 4.3 MBS PRICING AND QUOTING 4.4 PREPAYMENT RISK AND AVERAGE LIFE OF MBS 4.5 MBS PRICING USING MONTE CARLO IN C++ 4.6 MATLAB FIXED-INCOME TOOLKIT FOR MBS VALUATION 4.7 COLLATERALIZED MORTGAGE OBLIGATIONS (CMOS) 4.8 CMO IMPLEMENTATION IN C++ 4.9 PLANNED AMORTIZATION CLASSES (PACS) 4.10 PRINCIPAL AND INTEREST ONLY STRIPS 4.11 INTEREST RATE RISK 4.12 DYNAMIC HEDGING OF MBS 5 COLLATERALIZED DEBT OBLIGATIONS 5.1 STRUCTURE OF CDOs 5.2 SYNTHETIC CDOs 5.3 BALANCE SHEET MANAGEMENT WITH CDSs 5.4 THE DISTRIBUTION OF DEFAULT LOSSES ON A PORTFOLIO 5.5 CDO EQUITY TRANCHE 5.6 CDO TRANCHE PRICING 5.7 PRICING EQUATION 5.8 SIMULATION ALGORITHM 5.9 CDO PRICING IN MATLAB 5.10 CDO PRICING IN C++ 5.11 CDO2 PRICING 5.12 FAST LOSS CALCULATION FOR CDOs AND CDO2 s 6 CREDIT DERIVATIVES 6.1 CREDIT DEFAULT SWAPS 6.2 CDS DAY COUNTING CONVENTIONS 6.3 GENERAL VALUATION OF CREDIT DEFAULT SWAPS 6.4 HAZARD RATE FUNCTION 6.5 POISSON AND COX PROCESSES 6.6 VALUATION USING A DETERMINISTIC INTENSITY MODEL 6.7 HAZARD RATE FUNCTION CALIBRATION 6.8 CREDIT CURVE CONSTRUCTION AND CALIBRATION 6.9 CREDIT BASKET DEFAULT SWAPS PRICING 6.9.1 Generation of Correlated Default Stopping Times 6.9.2 Sampling from Elliptical Copulae 6.9.3 The Distribution of Default Arrival Times 6.10 CREDIT BASKET PRICING IN MATLAB 6.11 CREDIT BASKET PRICING IN C++ 6.12 CREDIT LINKED NOTES (CLNs) 7 INTEREST RATE TREE MODELING 7.1 BUILDING BINOMIAL BDT SHORT TREES 7.2 BUILDING THE BDT TREE CALIBRATED TO THE YIELD CURVE 7.3 BUILDING THE BDT TREE CALIBRATED TO THE YIELD AND VOLATILITY CURVE 7.4 BDT MODELING IN MATLAB 7.5 BUILDING A BDT TREE IN C++ 7.6 BUILDING A HULL-WHITE TREE CALIBRATED TO THE YIELD CURVE 7.7 HULL-WHITE TREES IN MATLAB 7.8 BUILDING A LOGNORMAL HULL-WHITE (BLACK-KARASINKSI) TREE 7.9 BUILDING HULL-WHITE TREES FITTED TO YIELD AND VOLATILITY CURVES 7.10 PRICING FIXED INCOME DERIVATIVES WITH THE MODELS IN C++ 8 THE HJM MODEL AND BUSHY TREES 8.1 THE HEATH-JARROW-MORTON (HJM) MODEL 8.2 PRICING DISCOUNT BOND OPTIONS WITH GAUSSIAN HJM 8.3 PRICING DISCOUNT BOND OPTIONS IN GENERAL HJM 8.4 SINGLE-FACTOR HJM DISCRETE-STATE MODEL 8.5 HJM PRICING IN MATLAB 8.6 ARBITRAGE FREE RESTRICTIONS IN A SINGLE FACTOR MODEL 8.7 COMPUTATION OF ARBITRAGE-FREE TERM STRUCURE EVOLUTIONS 8.8 SINGLE FACTOR HJM IMPLEMENTATION IN C++ 8.9 MATLAB EXCEL LINK EXAMPLE 8.10 TWO ?FACTOR HJM MODEL 8.11 TWO?FACTOR HJM MODEL IMPLEMENTATION IN C++ 8.12 THE RITCHKEN AND SANKARASUBRAMANIAN (RS) MODEL 8.13 THE RS SPOT RATE PROCESS 8.14 THE LI, RITCHKEN AND SANKARASUBRAMANIAN (LRS) MODEL 8.15 IMPLEMENTING AN LRS TRINOMIAL TREE 9 WEATHER DERIVATIVES 9.1 WEATHER DERIVATIVES MARKET 9.2 WEATHER CONTRACTS 9.3 MODELING TEMPERATURE 9.4 PARAMETER ESTIMATION 9.5 VOLATILY ESTIMATION 9.6 MEAN-REVERSION PARAMATER ESTIMATION 9.7 PRICING WEATHER DERIVATIVES 9.8 HISTORICAL BURN ANALYSIS 9.9 TIME-SERIES WEATHER FORECASTING 10 ENERGY AND POWER DERIVATIVES 10.1 ELECTRICITY MARKETS 10.2 ELECTRICITY PRICING MODELS 10.3 SWING OPTIONS 10.4 THE LONGSTAFF-SCHWARTZ ALGORITHM FOR AMERICAN AND BERMUDAN OPTIONS 10.5 EXTENSION OF LONGSTAFF-SCWARTZ TO SWING OPTIONS 10.6 GENERAL CASE: UPSWINGS, DOWNSWINGS, AND PENALTY FUNCTIONS 10.7 SWING OPTION PRICING IN MATLAB 10.8 LSM SIMULATION RESULTS 10.9 PRICING OF ENERGY COMMODITY DERIVATIVES 10.10 JUMP DIFFUSION PRICING MODELS 10.11 STOCHASTIC VOLATILITY PRICING MODELS 10.12 MODEL PARAMETER ESTIMATION 10.13 PARAMETER ESTIMATION IN MATLAB 10.14 ENERGY COMMODITY MODELS 10.15 NATURAL GAS 10.16 GAS PRICING MODELS 10.17 NATURAL GAS PRICING IN MATLAB 10.18 NATURAL GAS AND ELECTRICITY SWAPS 11 ASSET-BACKED SECURITIES 11.1 SECURITIZATION 11.2 ASSET RATING 11.3 WEIGHTED AVERAGE LIFE 11.4 ISSUANCE AND PRICING 11.5 CREDIT ENHANCEMENTS 11.6 AMORTIZING ASSETS 11.7 REVOLVING ASSETS 11.8 REVOLVING ASSET CASH FLOWS 12 COMMERCIAL REAL ESTATE ASSET BACKED SECURITIES 12.1 INTRODUCTION 12.2 MOTIVATIONS FOR ASSET BACKED SECURITIZATION 12.3 CONCEPTS OF SECURITIZING REAL ESTATE CASH FLOWS 12.4 COMMERCIAL REAL ESTATE BACKED SECURITIZATION (CREBS) ? SINGAPORE?S EXPERIENCE 12.5 STRUCTURE OF A TYPICAL CREBS 12.5.1 A CREBS case by Visor Limited 12.6 PRICING OF CREBS 12.6.1 Swaps and Swaptions 12.6.2 The cash flow swap structure for CREBS 12.7 VALUATION OF CREBS USING A SWAP FRAMEWORK 12.7.1 Basic Swap Valuation Framework 12.7.2 Pricing of credit risks for CREBS using the proposed swap model 12.7.3 Modeling default risks in the CREBS swap 12.8 NUMERICAL ANALYSIS OF DEFAULT RISKS FOR A TYPICAL CREBS 12.8.1 Monte-Carlo Simulation Process 12.8.2 Input parameters 12.9 MATLAB CODE FOR THE NUMERICAL ANALYSIS 12.10 SUMMARY
Library of Congress Subject Headings for this publication:
Derivative securities -- Prices -- Mathematical models.
Credit derivatives -- Mathematical models.
C++ (Computer program language).
MATHLAB.
Microsoft Excel (Computer file).