Financial Engineering - A brief introduction using Matlab system - Chourdakis.rar
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FINANCIAL ENGINEERING

1 Elements of stochastic calculus . . . . . . . . . . 1

2 The Black-Scholes world . .  35

3 Finite dierence methods 69

4 Transform methods . .  107

5 Historical estimation and ltering . .. 131

6 Volatility . . 153

7 Fixed income securities .. . 203

8 Credit risk . . . 251

A Using Matlab with Microsoft Excel . . . . 253

A.1 Setting up Matlab with the C/C++ compiler . . . . 254

A.2 Writing the Matlab functions . . 255

A.3 Writing the VBA code . . 257

A.4 The Excel add-in . . . . 259

A.5 Invoking and packaging . .. . 259

References . . .. 263