Financial Derivatives Toolbox
Preface
About This Book
Organization of the Document
Typographical Conventions
Related Products
Background Reading
Black-Derman-Toy (BDT) Modeling
Heath-Jarrow-Morton (HJM) Modeling
Financial Derivatives
Overview
Introduction
Interest Rate Models
Trees
Financial Instruments
Hedging
Creating and Managing Instrument Portfolios
Portfolio Creation
Portfolio Management
Using Financial Derivatives
Interest Rate Environment
Interest Rates vs. Discount Factors
Interest Rate Term Conversions
Interest Rate Term Structure
Pricing and Sensitivity from
Interest Rate Term Structure
Pricing
Sensitivity
Heath-Jarrow-Morton (HJM) Model
Building an HJM Forward Rate Tree
Using HJM Trees in MATLAB
Pricing and Sensitivity from HJM
Pricing and the Price Tree
Using treeviewer to View Instrument Prices Through Time
HJM Pricing Options Structure
Calculating Prices and Sensitivities
Black-Derman-Toy Model (BDT)
Building a BDT Interest Rate Tree
Using BDT Trees in MATLAB
Pricing and Sensitivity from BDT
Pricing and the Price Tree
BDT Pricing Options Structure
Calculating Prices and Sensitivities
Hedging Portfolios
Hedging
Hedging Functions
Hedging with hedgeopt
Self-Financing Hedges (hedgeslf)
Specifying Constraints with ConSet
Setting Constraints
Portfolio Rebalancing
Hedging with Constrained Portfolios
Example: Fully Hedged Portfolio
Example: Minimize Portfolio Sensitivities
Example: Under-Determined System
Portfolio Constraints with hedgeslf
Function Reference
Functions - By Category
Portfolio Hedge Allocation
Fixed Income Pricing from Interest Term Structure
Fixed Income Pricing and Sensitivity from
Heath-Jarrow-Morton Tree
Fixed Income Pricing and Sensitivity from
Black-Derman-Toy Tree
Heath-Jarrow-Morton Utilities
Black-Derman-Toy Utilities
Heath-Jarrow-Morton Bushy Tree Manipulation
Black-Derman-Toy Recombining Tree Manipulation
Derivatives Pricing Options
Instrument Portfolio Handling
Financial Object Structures
Interest Term Structure
Date Functions
Graphical Display Functions
Functions - Alphabetical List
Glossary
Preface
