Principles of Financial EngineeringAcademic Press, 19. 4. 2004 - Počet stran: 556 Presents a fresh introduction to financial engineering. This book offers links between intuition and underlying mathematics and a mixture of market insights and mathematical materials. It also includes end-of-chapter exercises and case studies. Bestselling author Salih Neftci presents a fresh, original, informative, and up-to-date introduction to financial engineering. The book offers clear links between intuition and underlying mathematics and an outstanding mixture of market insights and mathematical materials. Also included are end-of-chapter exercises and case studies. In a market characterized by the existence of large pools of liquid funds willing to go anywhere, anytime in search of a few points of advantage, there are new risks. Lacking experience with these new risks, firms, governmental entities, and other investors have been surprised by unexpected and often disastrous financial losses. Managers and analysts seeking to employ these new instruments and strategies to make pricing, hedging, trading, and portfolio management decisions require a mature understanding of theoretical finance and sophisticated mathematical and computer modeling skills. Important and useful because it analyzes financial assets and derivatives from the financial engineering perspective, this book offers a different approach than the existing finance literature in financial asset and derivative analysis. Seeking not to introduce financial instruments but instead to describe the methods of synthetically creating assets in static and in dynamic environments and to show how to use them, his book complements all currently available textbooks. It emphasizes developing methods that can be used in order to solve risk management, taxation, regulation, and above all, pricing problems. This perspective forms the basis of practical risk management. It will be useful for anyone learning about practical elements of financial engineering. Exercises and case studies at end of each chapter and on-line Solutions Manual are provided. It explains issues involved in day-to-day life of traders, using language other than mathematics. It offers careful and concise analysis of the LIBOR market model and of volatility engineering problems. |
Obsah
Introduction | 1 |
A Review of Markets Players and Conventions | 13 |
Cash Flow Engineering and Forward Contracts | 35 |
Engineering Simple Interest Rate Derivatives | 73 |
Introduction to Swap Engineering | 103 |
Repo Market Strategies in Financial Engineering | 145 |
Dynamic Replication Methods and Synthetics | 165 |
Mechanics of Options | 193 |
Some Applications of the Fundamental Theorem | 341 |
A Framework for FixedIncome Engineering | 371 |
Tools for Volatility Engineering Volatility Swaps and Volatility Trading | 411 |
Smile Effects in Financial Engineering | 435 |
How Do Credit Derivatives Change Financial Engineering? | 467 |
Engineering of Equity Instruments Pricing and Replication | 493 |
An Important Application Swaptions and Mortgages | 519 |
541 | |
Engineering Convexity Positions | 241 |
Options Engineering with Applications | 271 |
Pricing Tools in Financial Engineering | 311 |
Další vydání - Zobrazit všechny
Běžně se vyskytující výrazy a sousloví
arbitrage arbitrage-free asset price B(to bank Black-Scholes formula bond prices borrowing C(St calculate call option cash flows chapter consider contractual equation convertible convexity cost counterparty coupon bond credit risk currency dealer default swaps default-free delta denoted derivatives discount bond discussed dollars equity Euro example exchange rate expiration exposure F(to financial engineering fixed floating rate forward loan forward rate funds futures contract gamma hedge Hence implied volatility in-the-money instruments interest rate swap investor issue Libor Libor rate liquid market maker market practitioner Martingale maturity money market mortgage obtain out-of-the-money parameters payments payoff pays plain vanilla quotes receive replicating portfolio repo risk reversal risk-neutral securities sell settlement shown in Figure spot strategy strike price Suppose swap rate swaption synthetic t₁ t₂ ti+1 trading vanilla call vanilla options vega volatility position volatility smile yield curve zero