Cargando…
Principles of financial engineering /
Three new chapters, numerous additions to existing chapters, and an expanded collection of questions and exercises make this third edition of Principles of Financial Engineering essential reading. Between defining swaps on its first page and presenting a case study on its last, Robert Kosowski and S...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
San Diego, CA :
Academic Press,
2015.
|
| Edición: | Third edition. |
| Colección: | Academic Press Advanced Finance.
|
| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
MARC
| LEADER | 00000cam a2200000Ii 4500 | ||
|---|---|---|---|
| 001 | OR_ocn903609675 | ||
| 003 | OCoLC | ||
| 005 | 20231017213018.0 | ||
| 006 | m o d | ||
| 007 | cr unu|||||||| | ||
| 008 | 150218s2015 caua ob 001 0 eng d | ||
| 040 | |a UMI |b eng |e rda |e pn |c UMI |d OCLCF |d EBLCP |d YDXCP |d DEBSZ |d ISM |d MERUC |d OCLCQ |d AU@ |d OCLCQ |d OCLCO |d OCLCQ | ||
| 019 | |a 897642026 |a 899276073 | ||
| 020 | |a 9780123870070 | ||
| 020 | |a 0123870070 | ||
| 020 | |z 9780123869685 | ||
| 020 | |z 0123869684 | ||
| 029 | 1 | |a DEBBG |b BV043613937 | |
| 029 | 1 | |a DEBSZ |b 442829329 | |
| 029 | 1 | |a DEBSZ |b 449470679 | |
| 035 | |a (OCoLC)903609675 |z (OCoLC)897642026 |z (OCoLC)899276073 | ||
| 037 | |a CL0500000555 |b Safari Books Online | ||
| 050 | 4 | |a HG176.7 | |
| 082 | 0 | 4 | |a 338.12093478 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Kosowski, Robert, |e author. | |
| 245 | 1 | 0 | |a Principles of financial engineering / |c Robert Kosowski, Salih N. Neftci. |
| 250 | |a Third edition. | ||
| 264 | 1 | |a San Diego, CA : |b Academic Press, |c 2015. | |
| 300 | |a 1 online resource (1 volume) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Academic Press Advanced Finance | |
| 588 | 0 | |a Print version record. | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Front Cover; Principles of Financial Engineering; Copyright Page; Dedication; Contents; Preface to the Third Edition; 1 Introduction; 1.1 A Unique Instrument; 1.1.1 Buying a Default-Free Bond; 1.1.2 Buying Stocks; 1.1.3 Buying a Defaultable Bond; 1.1.4 First Conclusions; 1.2 A Money Market Problem; 1.2.1 The Problem; 1.2.2 Solution; 1.2.3 Some Implications; 1.3 A Taxation Example; 1.3.1 The Problem; 1.3.1.1 Another strategy; 1.3.2 Implications; 1.4 Some Caveats for What Is to Follow; 1.5 Trading Volatility; 1.5.1 A Volatility Trade; 1.5.2 Recap; 1.6 Conclusions; Suggested Reading; Exercises. | |
| 505 | 8 | |a 2 Institutional Aspects of Derivative Markets2.1 Introduction; 2.2 Markets; 2.2.1 Euromarkets; 2.2.1.1 Eurocurrency markets; 2.2.1.2 Eurobond markets; 2.2.1.3 Other Euromarkets; 2.2.2 Onshore Markets; 2.2.2.1 Futures and options exchanges; 2.2.2.2 Futures compared with forward contracts; 2.2.3 Changes to the Infrastructure of Derivatives Markets Following the GFC; 2.3 Players; 2.4 The Mechanics of Deals; 2.4.1 Orders; 2.4.2 Confirmation and Settlement; 2.4.2.1 Regulatory update following the GFC; 2.5 Market Conventions; 2.5.1 What to Quote; 2.6 Instruments; 2.7 Positions. | |
| 505 | 8 | |a 2.7.1 Long and Short Positions2.7.1.1 Payoff diagrams; 2.7.1.2 Real-world complications and short selling; 2.7.2 Payoff Diagrams for Forwards and Futures; 2.7.3 Types of Positions; 2.7.3.1 Arbitrage; 2.7.3.2 Comparing performance; 2.8 The Syndication Process; 2.8.1 Selling Securities in the Primary Market; 2.8.1.1 Syndication of a bond versus a syndicated loan; 2.9 Conclusions; Suggested Reading; Exercises; 3 Cash Flow Engineering, Interest Rate Forwards and Futures; 3.1 Introduction; 3.2 What Is a Synthetic?; 3.2.1 Cash Flows; 3.2.1.1 Cash flows in different currencies. | |
| 505 | 8 | |a 3.2.1.2 Cash flows with different market risks3.2.1.3 Cash flows with different credit risks; 3.2.1.4 Cash flows with different volatilities; 3.3 Engineering Simple Interest Rate Derivatives; 3.3.1 A Convergence Trade; 3.3.2 Yield Curve; 3.4 LIBOR and Other Benchmarks; 3.5 Fixed Income Market Conventions; 3.5.1 How to Quote Yields; 3.5.2 Day-Count Conventions; 3.5.2.1 Holiday conventions; 3.5.3 Two Examples; 3.6 A Contractual Equation; 3.6.1 Forward Loan; 3.6.2 Replication of a Forward Loan; 3.6.2.1 Bond market replication; 3.6.2.2 Pricing; 3.6.2.3 Arbitrage; 3.6.2.4 Money market replication. | |
| 505 | 8 | |a 3.6.2.5 Pricing3.6.3 Contractual Equations; 3.6.4 Applications; 3.6.4.1 Application 1: creating a synthetic bond; 3.6.4.2 Application 2: covering a mismatch; 3.7 Forward Rate Agreements; 3.7.1 Eliminating the Credit Risk; 3.7.2 Definition of the FRA; 3.7.2.1 An interpretation; 3.7.3 FRA Contractual Equation; 3.7.3.1 Application: FRA strips; 3.8 Fixed Income Risk Measures: Duration, Convexity and Value-at-Risk; 3.8.1 DV01 and PV01; 3.8.1.1 Dollar duration DV01; 3.8.1.2 PV01; 3.8.2 Duration; 3.8.3 Convexity; 3.8.4 Immunization. | |
| 520 | |a Three new chapters, numerous additions to existing chapters, and an expanded collection of questions and exercises make this third edition of Principles of Financial Engineering essential reading. Between defining swaps on its first page and presenting a case study on its last, Robert Kosowski and Salih Neftci's introduction to financial engineering shows readers how to create financial assets in static and dynamic environments. Poised among intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pric. | ||
| 590 | |a O'Reilly |b O'Reilly Online Learning: Academic/Public Library Edition | ||
| 650 | 0 | |a Financial engineering. | |
| 650 | 0 | |a Finance. | |
| 650 | 6 | |a Ingénierie financière. | |
| 650 | 6 | |a Finances. | |
| 650 | 7 | |a finance. |2 aat | |
| 650 | 7 | |a Finance. |2 fast |0 (OCoLC)fst00924349 | |
| 650 | 7 | |a Financial engineering. |2 fast |0 (OCoLC)fst00924623 | |
| 700 | 1 | |a Neftci, Salih N., |e author. | |
| 776 | 0 | 8 | |i Print version : |a Kosowski, Robert. |t Principles of financial engineering. |d [S.l.] : Elsevier Academic Press, 2014 |z 0123869684 |w (OCoLC)814372753 |
| 830 | 0 | |a Academic Press Advanced Finance. | |
| 856 | 4 | 0 | |u https://learning.oreilly.com/library/view/~/9780123869685/?ar |z Texto completo (Requiere registro previo con correo institucional) |
| 938 | |a EBL - Ebook Library |b EBLB |n EBL1874374 | ||
| 938 | |a YBP Library Services |b YANK |n 12184846 | ||
| 994 | |a 92 |b IZTAP | ||