Practical methods of financial engineering and risk management : tools for modern financial professionals /

Rupak Chatterjee, former director of the multi-asset quantitative research group at Citi, introduces finance professionals and advanced students to the latest concepts, tools, valuation techniques, and analytic measures being deployed by the more discerning and responsive Wall Street practitioners,...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Chatterjee, Rupak (Autor)
Autor Corporativo: Stevens Institute of Technology
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [New York, N.Y.] : Apress, [2014]
©2014
Colección:Quantitative finance series.
Temas:
Financial engineering > Methodology.
Risk management > Methodology.
Ingénierie financière > Méthodologie.
Gestion du risque > Méthodologie.
BUSINESS & ECONOMICS > Industrial Management.
BUSINESS & ECONOMICS > Management.
BUSINESS & ECONOMICS > Management Science.
BUSINESS & ECONOMICS > Organizational Behavior.
Risikomanagement
Financial Engineering
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Contents at a Glance
  • Contents
  • Series Editorsâ€? Foreword
  • About the Author
  • About the Technical Reviewer
  • Acknowledgments
  • Introduction
  • Chapter 1: Financial Instruments
  • Bloomberg Market Data Screens
  • Cash Instruments
  • Fed Funds
  • Eurodollar Deposits
  • US Treasury Bills, Notes, and Bonds
  • Repo and Reverse Repo
  • Equity indexes
  • Dow Jones
  • S & P 500
  • NASDAQ Composite Index
  • Commercial Paper
  • LIBOR
  • Spot Forex
  • Key Rates
  • Prime Rate
  • Federal Funds Target Rate
  • Discount Rate
  • Gold
  • Futures and SwapsCrude Oil
  • Fed Funds Futures
  • 90-Day Eurodollar Futures
  • 10-Year Treasury Note Futures
  • Swaps
  • Swap Valuation
  • Swap Spreads
  • Swap Futures
  • Derivatives and Structured Products
  • Dynamic Hedging and Replication
  • Implied Volatility
  • Caps and Floors
  • Market Implied Volatility Quotes for Caps and Floors
  • ATM Strike strike
  • Swaptions
  • Mortgage-Backed Securities
  • Bloomberg Price Quotes: 30Y MBS
  • Appendix: Daycount Conventions
  • Problems
  • Further Reading
  • Chapter 2: Building a Yield Curve
  • Overview of Yield Curve ConstructionCash LIBOR Rates
  • 90D Eurodollar Futures
  • Swaps
  • Generic Discount Factors
  • Problems
  • Problem 2.1: Build a Simple Yield Curve
  • Further Reading
  • Chapter 3: Statistical Analysis of Financial Data
  • Tools in Probability Theory
  • Moments of a Distribution
  • Creating Random Variables and Distributions
  • The Inverse Transform Method
  • Creating a Density Function: Histograms and Frequencies
  • Excel Histogram-Creating Method: Static Data
  • Excel Histogram-Creating Method: Dynamic Data
  • Normalization of a HistogramMixture of Gaussians: Creating a Distribution with High Kurtosis
  • Random Variable Approach
  • Density Approach
  • Skew Normal Distribution: Creating a Distribution with Skewness
  • Calibrating Distributions through Moment Matching
  • Calibrating a Mixed Gaussian Distribution to Equity Returns
  • Fitting by Hand
  • Chi-Squared Fitting
  • Calibrating a Generalized Studentâ€?s- t Distribution to Equity Returns
  • Calibrating a Beta Distribution to Recovery Rates of Defaulted Bonds
  • Basic Risk Measures
  • Calculating VaR and CVaR from Financial Return DataThe Term Structure of Statistics
  • The Term Structure of the Mean
  • The Term Structure of Skew
  • The Term Structure of Kurtosis
  • The Term Structure of Volatility
  • The Term Structure of “Upâ€? Volatility
  • The Term Structure of “Downâ€? Volatility
  • Autocorrelation
  • Dynamic Portfolio Allocation
  • Modern Portfolio Theory
  • Key Problems with Modern Portfolio Theory
  • Generic Rules to Dynamic Portfolio Allocation with Volatility Targets
  • Appendix. Joint Distributions and Correlation

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