Practical Methods of Financial Engineering and Risk Management Tools for Modern Financial Professionals
Risk control, capital allocation, and realistic derivative pricing and hedging are critical concerns for major financial institutions and individual traders alike. Events from the collapse of Lehman Brothers to the Greek sovereign debt crisis demonstrate the urgent and abiding need for statistical t...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Berkeley, CA :
Apress
2014.
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| Edición: | 1st ed. 2014. |
| Colección: | Quantitative finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009629453906719 |
Tabla de Contenidos:
- ""Contents at a Glance""; ""Contents""; ""Series Editors� 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 Indices""; ""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 Swaps""""Crude 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 Construction""""Cash 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 Histogram""""Mixture 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 Student�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 Data""""The 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 “Up� Volatility""; ""The Term Structure of “Down� 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""
- ""Joint Distribution Function""
