http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
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.
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.
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.
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.
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.
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.
Includes bibliographical references and index.