Cargando…
Principles of financial engineering /
An introduction to financial engineering, this title offers clear links between intuition and underlying mathematics and a mixture of market insights and mathematical materials. It forms the basis of practical risk management useful for learning about practical elements of financial engineering.
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Amsterdam :
Academic Press,
2015.
|
| Edición: | Third edition. |
| Colección: | Academic Press advanced finance series
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
| LEADER | 00000cam a2200000Ii 4500 | ||
|---|---|---|---|
| 001 | SCIDIR_ocn897376624 | ||
| 003 | OCoLC | ||
| 005 | 20231120111918.0 | ||
| 006 | m o d | ||
| 007 | cr cnu|||unuuu | ||
| 008 | 141203s2015 ne a ob 001 0 eng d | ||
| 040 | |a N$T |b eng |e rda |e pn |c N$T |d N$T |d UKMGB |d UIU |d DKU |d OCLCF |d LIP |d SAV |d U3W |d AU@ |d OL$ |d OCLCQ |d OPELS |d OCLCO |d OCLCQ | ||
| 015 | |a GBB4D4658 |2 bnb | ||
| 015 | |a GBB4D2787 |2 bnb | ||
| 016 | 7 | |a 016955834 |2 Uk | |
| 016 | 7 | |a 016953960 |2 Uk | |
| 019 | |a 897442570 | ||
| 020 | |a 9780123870070 |q (electronic bk.) | ||
| 020 | |a 0123870070 |q (electronic bk.) | ||
| 020 | |z 9780123869685 | ||
| 035 | |a (OCoLC)897376624 |z (OCoLC)897442570 | ||
| 050 | 4 | |a HG176.7 | |
| 072 | 7 | |a BUS |x 027000 |2 bisacsh | |
| 082 | 0 | 4 | |a 332.60151 |2 23 |
| 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 Amsterdam : |b Academic Press, |c 2015. | |
| 300 | |a 1 online resource : |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 | 0 | |a Academic Press advanced finance series | |
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Online resource; title from PDF title page (EBSCO, viewed December 19, 2014). | |
| 520 | 8 | |a An introduction to financial engineering, this title offers clear links between intuition and underlying mathematics and a mixture of market insights and mathematical materials. It forms the basis of practical risk management useful for learning about practical elements of financial engineering. | |
| 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. | |
| 650 | 0 | |a Financial engineering. | |
| 650 | 6 | |a Ing�enierie financi�ere. |0 (CaQQLa)201-0226913 | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Financial engineering. |2 fast |0 (OCoLC)fst00924623 | |
| 700 | 1 | |a Neftci, Salih N., |e author. | |
| 776 | 0 | 8 | |i Print version: |z 9780123869685 |
| 856 | 4 | 0 | |u https://sciencedirect.uam.elogim.com/science/book/9780123869685 |z Texto completo |