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Mastering financial calculations : a step-by-step guide to the mathematics of financial market instruments /

Success in today's sophisticated financial markets depends on a firm understanding of key financial concepts and mathematical techniques. Mastering Financial Calculations explains them in a clear, comprehensive way - so even if your mathematical background is limited, you'll thoroughly gra...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Steiner, Bob
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Harlow : Pearson, 2012.
Edición:3rd ed.
Colección:Mastering Series.
Temas:
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Cover
  • Mastering Financial Calculations
  • Disclaimer
  • The author
  • Contents
  • Foreword
  • Introduction
  • Part 1: The Basics
  • Financial arithmetic basics
  • Some opening remarks on formulas
  • Use of an HP calculator
  • Simple and compound interest
  • Nominal and effective rates
  • Future value / present value
  • time value of money
  • Discount factors
  • Cashflow analysis, NPV, IRR and time-weighted rate of return
  • Annuities
  • Using an HP calculator for cashflow analysis
  • Interpolation and extrapolation
  • Exercises
  • Statistics basics
  • Averages
  • arithmetic & geometric means, weighted averages, median and mode
  • Variance, standard deviation and volatility
  • Correlation and covariance
  • Histograms, probability density and the normal probability function
  • Confidence levels and the normal probability table
  • Exercises
  • Part 2: Interest Rate Instruments
  • The money market
  • Overview
  • Day/year conventions
  • Money market instruments
  • Money market calculations
  • Discount instruments
  • CDs paying more than one coupon
  • Value dates
  • Exercises
  • Forward-forward interest rates and forward rate agreements (fras)
  • Forward-forwards, fras and futures
  • Applications of fras
  • Exercises
  • Interest rate futures
  • Overview
  • Exchange structure and margins
  • Futures compared with fras
  • Pricing and hedging fras with futures
  • Trading with interest rate futures
  • Exercises
  • Bond market calculations
  • Overview of capital market instruments
  • Features and variations
  • Introduction to bond pricing
  • Different yield measures and price calculations
  • A summary of the various approaches to price/ yield
  • Duration, modified duration and convexity
  • Bond futures
  • Cash-and-carry arbitrage
  • Exercises
  • Repos, buy / sell-backs and securities lending
  • Introduction
  • Classic repo
  • Margin calls
  • General collateral (GC) and specials
  • Other features
  • Buy/sell-back
  • Close-out and repricing
  • Securities lending
  • Comparison between the different transactions
  • Uses of repo and securities lending
  • Exercises
  • Zero-coupon rates and yield curves
  • Zero-coupon yields, par yields and bootstrapping
  • Forward-forward yields
  • Summary
  • Longer-dated fras
  • Exercises
  • Part 3: Foreogn Exchange
  • Foreign exchange
  • Introduction
  • Spot exchange rates
  • Forward exchange rates
  • Cross-rate forwards
  • Short dates
  • Calculation summary
  • Value dates
  • Forward-forwards
  • Non-deliverable forwards (NDFs)
  • Time options
  • Long-dated forwards
  • Arbitraging and creating FRAs
  • Discounting future foreign exchange risk
  • Exercises
  • Part 4: Swaps and Options
  • Interest rate and currency swaps
  • Basic concepts and applications
  • Overnight index swap (OIS)
  • Pricing
  • Valuing swaps
  • Hedging an interest rate swap
  • Amortising and forward-start swaps
  • Currency swaps
  • Exercises
  • Options
  • Overview
  • The ideas behind option pricing
  • Pricing models