Securities valuation: applications of financial modeling
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
Oxford University Press
2005
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XII, 324 S. graph. Darst. |
| ISBN: | 0195172744 0195172752 9780195172744 9780195172751 |
Staff View
MARC
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| 245 | 1 | 0 | |a Securities valuation |b applications of financial modeling |c Thomas S.Y. Ho, Sang Bin Lee |
| 264 | 1 | |a New York [u.a.] |b Oxford University Press |c 2005 | |
| 300 | |a XII, 324 S. |b graph. Darst. | ||
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| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Investments |v Mathematical models | |
| 650 | 4 | |a Securities |x Valuation |x Mathematical models | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Investments |v Case studies | |
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| adam_text | Contents
Preface
Introduction
1.1
1.2
1.3
1.4
1.5
Investment Services
Excel Model Exercises
El.l Diversification
Case: Managing the Risk of a Pension Fund
E1.2 CAPM
Case: Quarterly Earnings Report of an Energy
Storage Operator
El.
Case: Valuation of a Real Estate Investment
Trust
Notes
Bibliography
Equity Options
2.1
2.2
2.3
2.4
2.5
2.6
2.7
2.8
Excel Model Exercises
E2.1 Cox-Ross-Rubinstein Option Pricing Model
Case: Private Wealth Management
a Structured Product
vi
E2.2
Case: Proprietary Trading Desk
E2.3 The Black-Scholes Option Pricing Model
Case: Use of Put Options in Hedging
E2.4 The Relationship of Risk-Neutral and Market
Binomial Lattices
Case: Asset Allocation and the Expected Returns
of an Option
Notes
Bibliography
3.
3.1
3.2
3.3
Bellman Optimization
3.4
Excel Model Exercises
E3.1 American Stock Option
Case: Valuing Employee Stock Options
E3.2 Compound Option
Case: Project Financing and the Compound Option
E3.3 Digital Option
Case: IPO Incentive Option and Executive Option
Design 111
E3.4 Greeks (Delta, Gamma, Theta, Vega, Rho, Omega):
A Binomial Lattice Versus a Closed-Form Solution
Case: Valuing an Equity-Structured Product from
a Term Sheet
Bibliography
4.
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
CONTENTS
Excel Model
E4.1
Case: Interest Rate Bet Using Effective Duration
E4.2 Par Yield Curve, Spot Yield Curve, Discount Function,
and Forward Prices
Case: The Law of One Price and Marking a Bond
Position
E4.3 Dollar Duration
Case: Transfer Pricing and Hedging at a Treasury Desk
E4.4 Swap Model
Case: A Hedging Program Designed by an Asset
Liability Committee
Notes
Bibliography
5.
5.1
5.2
5.3
5.4
Excel Model Exercises
E5.1 Cox-Ingersoll-Ross Model
Case: Building a Model by Knowing Your Clients
E5.2 Vasicek Model
Case: Defined Benefits and Asset Management
E5.3 Ho-Lee Model
Case: Using an Arbitrage-Free Model to Determine
Profit Release
E5.4 The Black Model of the Bond Option
Case: Proprietary Trading Desk
E5.5 Swaption Model
Case: Marking to Market an Illiquid Derivative
Position
Notes
Bibliography
6.
6.1
6.2
6.3
6.4
viii CONTENTS
6.5
Excel Model Exercises
E6.1 Callable Bonds
Case: Funding Working Capital with Debt
E6.2 Sinking Fund Bonds
Case: Securitization and the Asset-Backed
Securities
Note
Bibliography
7.
7.1
7.2
Proceedings
7.3
7.4
7.5
of Default Models
7.6
7.7
7.8
Excel Model Exercises
E7.1 Credit Default Swap
Case: Credit Derivatives, Insurance Premiums,
and Callable Bonds
E7.2 Ho-Singer Model
Case: Reorganization and Debt Restructuring
Note
Bibliography
8.
8.1
8.2
8.3
8.4
8.5
8.6
8.7
Excel Model Exercises
E8.1 Convertible Bonds
Case: Hedging a Convertible Bond Issue
CONTENTS
E8.2
IO&PO)
Case: Pricing a Guaranteed Investment Contract
and the Profit Spread
Bibliography
Index
|
| adam_txt |
Contents
Preface
Introduction
1.1
1.2
1.3
1.4
1.5
Investment Services
Excel Model Exercises
El.l Diversification
Case: Managing the Risk of a Pension Fund
E1.2 CAPM
Case: Quarterly Earnings Report of an Energy
Storage Operator
El.
Case: Valuation of a Real Estate Investment
Trust
Notes
Bibliography
Equity Options
2.1
2.2
2.3
2.4
2.5
2.6
2.7
2.8
Excel Model Exercises
E2.1 Cox-Ross-Rubinstein Option Pricing Model
Case: Private Wealth Management
a Structured Product
vi
E2.2
Case: Proprietary Trading Desk
E2.3 The Black-Scholes Option Pricing Model
Case: Use of Put Options in Hedging
E2.4 The Relationship of Risk-Neutral and Market
Binomial Lattices
Case: Asset Allocation and the Expected Returns
of an Option
Notes
Bibliography
3.
3.1
3.2
3.3
Bellman Optimization
3.4
Excel Model Exercises
E3.1 American Stock Option
Case: Valuing Employee Stock Options
E3.2 Compound Option
Case: Project Financing and the Compound Option
E3.3 Digital Option
Case: IPO Incentive Option and Executive Option
Design 111
E3.4 Greeks (Delta, Gamma, Theta, Vega, Rho, Omega):
A Binomial Lattice Versus a Closed-Form Solution
Case: Valuing an Equity-Structured Product from
a Term Sheet
Bibliography
4.
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
CONTENTS
Excel Model
E4.1
Case: Interest Rate Bet Using Effective Duration
E4.2 Par Yield Curve, Spot Yield Curve, Discount Function,
and Forward Prices
Case: The Law of One Price and Marking a Bond
Position
E4.3 Dollar Duration
Case: Transfer Pricing and Hedging at a Treasury Desk
E4.4 Swap Model
Case: A Hedging Program Designed by an Asset
Liability Committee
Notes
Bibliography
5.
5.1
5.2
5.3
5.4
Excel Model Exercises
E5.1 Cox-Ingersoll-Ross Model
Case: Building a Model by Knowing Your Clients
E5.2 Vasicek Model
Case: Defined Benefits and Asset Management
E5.3 Ho-Lee Model
Case: Using an Arbitrage-Free Model to Determine
Profit Release
E5.4 The Black Model of the Bond Option
Case: Proprietary Trading Desk
E5.5 Swaption Model
Case: Marking to Market an Illiquid Derivative
Position
Notes
Bibliography
6.
6.1
6.2
6.3
6.4
viii CONTENTS
6.5
Excel Model Exercises
E6.1 Callable Bonds
Case: Funding Working Capital with Debt
E6.2 Sinking Fund Bonds
Case: Securitization and the Asset-Backed
Securities
Note
Bibliography
7.
7.1
7.2
Proceedings
7.3
7.4
7.5
of Default Models
7.6
7.7
7.8
Excel Model Exercises
E7.1 Credit Default Swap
Case: Credit Derivatives, Insurance Premiums,
and Callable Bonds
E7.2 Ho-Singer Model
Case: Reorganization and Debt Restructuring
Note
Bibliography
8.
8.1
8.2
8.3
8.4
8.5
8.6
8.7
Excel Model Exercises
E8.1 Convertible Bonds
Case: Hedging a Convertible Bond Issue
CONTENTS
E8.2
IO&PO)
Case: Pricing a Guaranteed Investment Contract
and the Profit Spread
Bibliography
Index |
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| spelling | Ho, Thomas S. Y. Verfasser (DE-588)131552643 aut Securities valuation applications of financial modeling Thomas S.Y. Ho, Sang Bin Lee New York [u.a.] Oxford University Press 2005 XII, 324 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Mathematisches Modell Investments Mathematical models Securities Valuation Mathematical models Finance Mathematical models Investments Case studies Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4522595-3 Fallstudiensammlung gnd-content Finanzmathematik (DE-588)4017195-4 s b DE-604 Yi, Sang-bin Sonstige oth Digitalisierung UBRegensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014166510&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ho, Thomas S. Y. Securities valuation applications of financial modeling Mathematisches Modell Investments Mathematical models Securities Valuation Mathematical models Finance Mathematical models Investments Case studies Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4522595-3 |
| title | Securities valuation applications of financial modeling |
| title_auth | Securities valuation applications of financial modeling |
| title_exact_search | Securities valuation applications of financial modeling |
| title_exact_search_txtP | Securities valuation applications of financial modeling |
| title_full | Securities valuation applications of financial modeling Thomas S.Y. Ho, Sang Bin Lee |
| title_fullStr | Securities valuation applications of financial modeling Thomas S.Y. Ho, Sang Bin Lee |
| title_full_unstemmed | Securities valuation applications of financial modeling Thomas S.Y. Ho, Sang Bin Lee |
| title_short | Securities valuation |
| title_sort | securities valuation applications of financial modeling |
| title_sub | applications of financial modeling |
| topic | Mathematisches Modell Investments Mathematical models Securities Valuation Mathematical models Finance Mathematical models Investments Case studies Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Mathematisches Modell Investments Mathematical models Securities Valuation Mathematical models Finance Mathematical models Investments Case studies Finanzmathematik Fallstudiensammlung |
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