Principles of financial engineering
Five new chapters, numerous additions to existing chapters, and an expanded collection of questions and exercises make this Second Edition an essential part of everyone's library. Between defining swaps on its first page and presenting a case study on its last, Salih Neftci's introduction...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
London :
Academic
c2008.
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| Edición: | 2nd ed |
| Colección: | Academic Press Advanced Finance
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627897306719 |
Tabla de Contenidos:
- Front Cover; Principles of Financial Engineering; Copyright Page; Contents; Preface; CHAPTER 1. Introduction; 1. A Unique Instrument; 2. A Money Market Problem; 3. A Taxation Example; 4. Some Caveats for What Is to Follow; 5. Trading Volatility; 6. Conclusions; Suggested Reading; Case Study; CHAPTER 2. An Introduction to Some Concepts and Definitions; 1. Introduction; 2. Markets; 3. Players; 4. The Mechanics of Deals; 5. Market Conventions; 6. Instruments; 7. Positions; 8. The Syndication Process; 9. Conclusions; Suggested Reading; Appendix 2-1: The Hedge Fund Industry; Exercises
- CHAPTER 3. Cash Flow Engineering and Forward Contracts1. Introduction; 2. What Is a Synthetic?; 3. Forward Contracts; 4. Currency Forwards; 5. Synthetics and Pricing; 6. A Contractual Equation; 7. Applications; 8. A "Better" Synthetic; 9. Futures; 10. Conventions for Forwards; 11. Conclusions; Suggested Reading; Exercises; Case Study; CHAPTER 4. Engineering Simple Interest Rate Derivatives; 1. Introduction; 2. Libor and Other Benchmarks; 3. Forward Loans; 4. Forward Rate Agreements; 5. Futures: Eurocurrency Contracts; 6. Real-World Complications; 7. Forward Rates and Term Structure
- 8. Conventions9. A Digression: Strips; 10. Conclusions; Suggested Reading; Exercises; CHAPTER 5. Introduction to Swap Engineering; 1. The Swap Logic; 2. Applications; 3. The Instrument: Swaps; 4. Types of Swaps; 5. Engineering Interest Rate Swaps; 6. Uses of Swaps; 7. Mechanics of Swapping New Issues; 8. Some Conventions; 9. Currency Swaps versus FX Swaps; 10. Additional Terminology; 11. Conclusions; Suggested Reading; Exercises; CHAPTER 6. Repo Market Strategies in Financial Engineering; 1. Introduction; 2. What Is Repo?; 3. Types of Repo; 4. Equity Repos; 5. Repo Market Strategies
- 6. Synthetics Using Repos7. Conclusions; Suggested Reading; Exercises; Case Study; CHAPTER 7. Dynamic Replication Methods and Synthetics; 1. Introduction; 2. An Example; 3. A Review of Static Replication; 4. "Ad Hoc" Synthetics; 5. Principles of Dynamic Replication; 6. Some Important Conditions; 7. Real-Life Complications; 8. Conclusions; Suggested Reading; Exercises; CHAPTER 8. Mechanics of Options; 1. Introduction; 2. What Is an Option?; 3. Options: Definition and Notation; 4. Options as Volatility Instruments; 5. Tools for Options; 6. The Greeks and Their Uses; 7. Real-Life Complications
- 8. Conclusion: What Is an Option?Suggested Reading; Appendix 8-1; Appendix 8-2; Exercises; CHAPTER 9. Engineering Convexity Positions; 1. Introduction; 2. A Puzzle; 3. Bond Convexity Trades; 4. Sources of Convexity; 5. A Special Instrument: Quantos; 6. Conclusions; Suggested Reading; Exercises; Case Study; CHAPTER 10. Options Engineering with Applications; 1. Introduction; 2. Option Strategies; 3. Volatility-Based Strategies; 4. Exotics; 5. Quoting Conventions; 6. Real-World Complications; 7. Conclusions; Suggested Reading; Exercises; CHAPTER 11. Pricing Tools in Financial Engineering
- 1. Introduction
