| Financial Derivatives Toolbox | |
About This Book
This book describes the Financial Derivatives Toolbox for MATLAB®, a collection of tools for analyzing individual financial derivative instruments and portfolios of instruments.
Organization of the Document
| Chapter |
Description |
| Overview |
Describes interest rate models, bushy and recombinent trees, instrument types, and instrument portfolio construction. |
| Using Financial Derivatives |
Describes techniques for computing prices and sensitivities based upon the interest rate term structure, the Heath-Jarrow-Morton (HJM) model of forward rates, and the Black-Derman-Toy (BDT) interest rate model. |
| Hedging Portfolios |
Describes functions that minimize the cost of hedging a portfolio given a set of target sensitivities, or minimize portfolio sensitivities for a given set of maximum target costs. |
| Function Reference |
Describes the functions used for interest rate environment computations, instrument portfolio construction and manipulation, and for Heath-Jarrow-Morton and Black-Derman-Toy modeling. |
| Typographical Conventions | |