Principles of financial engineering:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Elsevier, Acad. Press
2005
|
| Ausgabe: | [Nachdr.] |
| Schriftenreihe: | Academic Press advanced finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIII, 556 S. graph. Darst. |
| ISBN: | 0125153945 |
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| adam_text | Titel: Principles of financial engineering
Autor: Neftci, Salih N
Jahr: 2005
Contents
Preface xiii
CHAPTER 1 Introduction 1
1. A money market problem 1
2. A taxation example 4
3. Some Caveats for What Is to Follow 8
4. Conclusions 8
References 9
Case Study i 0
CHAPTER 2 A Review of Markets, Players, and Conventions 13
1. Introduction 13
2. Markets 13
3. Players 17
4. The Mechanics of Deals 17
5. Market Conventions 20
6. Instruments 27
7. Positions 27
8. The Syndication Process 31
9. Conclusions 32
References 32
Exercises 33
CHAPTER 3 Cash Flow Engineering and Forward Contracts 35
1. Introduction 35
2. What Is a Synthetic? 35
3. Forward Contracts 40
4. Currency Forwards 44
5. Synthetics and Pricing 49
6. A Contractual Equation 50
7. Applications 51
8. A Better Synthetic 57
9. Futures 61
10. Conventions for Forwards 66
11. Conclusions 68
VÜl Contents
References 68
Exercises 69
Case Study 71
CHAPTER 4 Engineering Simple Interest Rate Derivatives 73
1. Introduction 73
2. LIBOR and Other Benchmarks 74
3. Forward Loans 75
4- Forward Rate Agreements 84
5. Futures: Eurocurrency Contracts 88
6. Real-World Complications 93
7. Forward Rates and Term Structure 94
8. Conventions 96
9. A Digression: Strips 97
10. Conclusions 97
References 98
Exercises 99
CHAPTER 5 Introduction to Swap Engineering 103
1. Introduction 103
2. The Instrument: Swaps 105
3. Types of Swaps 107
4- Engineering Interest Rate Swaps 117
5. Uses of Swaps: Introduction J25
6. Mechanics of Swapping New Issues i 30
7. Some Conventions 135
8. Currency Swaps Versus FX Swaps 136
9. Additional Terminology 138
10. Conclusions 139
References 139
Exercises 140
CHAPTER 6 Repo Market Strategies in Financial Engineering 145
1. Introduction 145
2. What Is Repo? 146
3. Types of Repo J48
4. Equity Repos 153
5. Repo Market Strategies 153
6. Synthetics Using Repos 159
7. Conclusions 161
References 161
Exercises 162
Case Study 163
CHAPTER 7 Dynamic Replication Methods and Synthetics 165
1. Introduction J65
2. An Example 166
3. A Review of Static Replication 167
Contents IX
4- Ad-hoc Synthetics i 72
5. Principles of Dynamic Replication 175
6. Some Important Conditions 187
7. Real-Life Complications 188
8. Conclusions 189
References J 90
Exercises 191
CHAPTER 8 Mechanicsof Options 193
1. Introduction 193
2. What Is an Option? 194
3. Options: Definition and Notation 196
4. Options as Volatility Instruments 201
5. Tools for Options 2 i 2
6. The Greeks and Their Uses 219
7. Real-Life Complications 232
8. Conclusion: What Is an Option? 233
References 233
Appendix 8-1 234
Appendix 8-2 235
Exercises 238
CHAPTER 9 Engineering Convexity Positions 241
1. Introduction 241
2. A Puzzle 242
3. Bond Convexity Trades 243
4- Sources of Convexity 254
5. A Special Instrument: Quantos 261
6. Conclusions 266
References 266
Exercises 267
Case Study 269
CHAPTER 10 Options Engineering with Applications 271
1. Introduction 27J
2. Option Strategies 274
3. Volatility-Based Strategies 285
4. Exotics 290
5. Quoting Conventions 302
6. Real-World Complications 305
7. Conclusions 306
References 306
Exercises 307
CHAPTER 11 Pricing Tools in Financial Engineering 311
1. Introduction 311
2. Summary of Pricing Approaches 312
3. The Framework 3 / 3
X Contents
4. An Application 318
5. Implications of the Fundamental Theorem 324
6. Arbitrage-Free Dynamics 331
7. Which Pricing Method to Choose? 335
8. Conclusions 336
References 336
Appendix 11-1 337
Exercises 339
CHAPTER 12 Some Applications of the Fundamental Theorem 341
1. Introduction 341
2. Application 1: The Monte Carlo Approach 342
3. Application 2: Calibration 351
4. Application 3: Quantos 360
5. Conclusions 367
References 367
Exercises 368
CHAPTER 13 A Framework for Fixed-Income Engineering 371
1. Introduction 37J
2. A Framework for Swaps 372
3. Term Structure Modeling 382
4. Term Structure Dynamics 384
5. Measure Change Technology 394
6. An Application: CMS Swaps 399
7. Conclusions 405
References 405
Appendix 13-1 406
Exercises 409
CHAPTER 14 Tools for Volatility Engineering, Volatility Swaps, and
Volatility Trading 411
1. Introduction 411
2. Volatility Positions 412
3. Invariance of Volatility Payoffs 413
4- Pure Volatility Positions 420
5. Volatility Swaps 424
6. Some Uses of the Contract 429
7. Which Volatility? 430
8. Conclusions 432
References 432
Exercises 433
CHAPTER 15 Smile Effects in Financial Engineering 435
1. Introduction 435
2. Preliminaries 435
3. A First Look at the Smile 437
4. What Is The Volatility Smile ? 438
Contents XI
5. Smile Dynamics 446
6. How to Explain the Smile 446
7. The Relevance of the Smile 454
8. Trading the Smile 454
9. Pricing with a Smile 455
10. Exotic Options and the Smile 460
11. Conclusions 464
References 464
Exercises 465
CHAPTER 16 How Do Credit Derivatives Change Financial
Engineering? 467
1. Introduction 467
2. Terminology and Definitions 468
3. Credit Default Swaps 470
4- Total Return Swaps 479
5. Uses of Credit Derivatives 482
6. Balance Sheets and Credit Derivatives 486
7. Conclusions 487
References 487
Exercises 488
Case Study 490
CHAPTER 17 Engineering of Equity Instruments: Pricing and
Replication 493
1. Introduction 493
2. What Is Equity? 494
3. Engineering Equity Products 500
4. Financial Engineering of Securitization 510
5. Conclusions 514
References 514
Exercises 515
Case Study 516
CHAPTER 18 An Important Application: Swaptions and Mortgages 519
1. Introduction 519
2. The Mortgage Market 520
3. Swaptions 526
4. Pricing Swaptions 528
5. Mortgage Based Securities 534
6. Conclusions 535
References 535
Exercises 536
Case Study 538
References 541
Index 545
|
| adam_txt |
Titel: Principles of financial engineering
Autor: Neftci, Salih N
Jahr: 2005
Contents
Preface xiii
CHAPTER 1 Introduction 1
1. A money market problem 1
2. A taxation example 4
3. Some Caveats for What Is to Follow 8
4. Conclusions 8
References 9
Case Study i 0
CHAPTER 2 A Review of Markets, Players, and Conventions 13
1. Introduction 13
2. Markets 13
3. Players 17
4. The Mechanics of Deals 17
5. Market Conventions 20
6. Instruments 27
7. Positions 27
8. The Syndication Process 31
9. Conclusions 32
References 32
Exercises 33
CHAPTER 3 Cash Flow Engineering and Forward Contracts 35
1. Introduction 35
2. What Is a Synthetic? 35
3. Forward Contracts 40
4. Currency Forwards 44
5. Synthetics and Pricing 49
6. A Contractual Equation 50
7. Applications 51
8. A "Better" Synthetic 57
9. Futures 61
10. Conventions for Forwards 66
11. Conclusions 68
VÜl Contents
References 68
Exercises 69
Case Study 71
CHAPTER 4 Engineering Simple Interest Rate Derivatives 73
1. Introduction 73
2. LIBOR and Other Benchmarks 74
3. Forward Loans 75
4- Forward Rate Agreements 84
5. Futures: Eurocurrency Contracts 88
6. Real-World Complications 93
7. Forward Rates and Term Structure 94
8. Conventions 96
9. A Digression: Strips 97
10. Conclusions 97
References 98
Exercises 99
CHAPTER 5 Introduction to Swap Engineering 103
1. Introduction 103
2. The Instrument: Swaps 105
3. Types of Swaps 107
4- Engineering Interest Rate Swaps 117
5. Uses of Swaps: Introduction J25
6. Mechanics of Swapping New Issues i 30
7. Some Conventions 135
8. Currency Swaps Versus FX Swaps 136
9. Additional Terminology 138
10. Conclusions 139
References 139
Exercises 140
CHAPTER 6 Repo Market Strategies in Financial Engineering 145
1. Introduction 145
2. What Is Repo? 146
3. Types of Repo J48
4. Equity Repos 153
5. Repo Market Strategies 153
6. Synthetics Using Repos 159
7. Conclusions 161
References 161
Exercises 162
Case Study 163
CHAPTER 7 Dynamic Replication Methods and Synthetics 165
1. Introduction J65
2. An Example 166
3. A Review of Static Replication 167
Contents IX
4- "Ad-hoc" Synthetics i 72
5. Principles of Dynamic Replication 175
6. Some Important Conditions 187
7. Real-Life Complications 188
8. Conclusions 189
References J 90
Exercises 191
CHAPTER 8 Mechanicsof Options 193
1. Introduction 193
2. What Is an Option? 194
3. Options: Definition and Notation 196
4. Options as Volatility Instruments 201
5. Tools for Options 2 i 2
6. The Greeks and Their Uses 219
7. Real-Life Complications 232
8. Conclusion: What Is an Option? 233
References 233
Appendix 8-1 234
Appendix 8-2 235
Exercises 238
CHAPTER 9 Engineering Convexity Positions 241
1. Introduction 241
2. A Puzzle 242
3. Bond Convexity Trades 243
4- Sources of Convexity 254
5. A Special Instrument: Quantos 261
6. Conclusions 266
References 266
Exercises 267
Case Study 269
CHAPTER 10 Options Engineering with Applications 271
1. Introduction 27J
2. Option Strategies 274
3. Volatility-Based Strategies 285
4. Exotics 290
5. Quoting Conventions 302
6. Real-World Complications 305
7. Conclusions 306
References 306
Exercises 307
CHAPTER 11 Pricing Tools in Financial Engineering 311
1. Introduction 311
2. Summary of Pricing Approaches 312
3. The Framework 3 / 3
X Contents
4. An Application 318
5. Implications of the Fundamental Theorem 324
6. Arbitrage-Free Dynamics 331
7. Which Pricing Method to Choose? 335
8. Conclusions 336
References 336
Appendix 11-1 337
Exercises 339
CHAPTER 12 Some Applications of the Fundamental Theorem 341
1. Introduction 341
2. Application 1: The Monte Carlo Approach 342
3. Application 2: Calibration 351
4. Application 3: Quantos 360
5. Conclusions 367
References 367
Exercises 368
CHAPTER 13 A Framework for Fixed-Income Engineering 371
1. Introduction 37J
2. A Framework for Swaps 372
3. Term Structure Modeling 382
4. Term Structure Dynamics 384
5. Measure Change Technology 394
6. An Application: CMS Swaps 399
7. Conclusions 405
References 405
Appendix 13-1 406
Exercises 409
CHAPTER 14 Tools for Volatility Engineering, Volatility Swaps, and
Volatility Trading 411
1. Introduction 411
2. Volatility Positions 412
3. Invariance of Volatility Payoffs 413
4- Pure Volatility Positions 420
5. Volatility Swaps 424
6. Some Uses of the Contract 429
7. Which Volatility? 430
8. Conclusions 432
References 432
Exercises 433
CHAPTER 15 Smile Effects in Financial Engineering 435
1. Introduction 435
2. Preliminaries 435
3. A First Look at the Smile 437
4. What Is The Volatility Smile ? 438
Contents XI
5. Smile Dynamics 446
6. How to Explain the Smile 446
7. The Relevance of the Smile 454
8. Trading the Smile 454
9. Pricing with a Smile 455
10. Exotic Options and the Smile 460
11. Conclusions 464
References 464
Exercises 465
CHAPTER 16 How Do Credit Derivatives Change Financial
Engineering? 467
1. Introduction 467
2. Terminology and Definitions 468
3. Credit Default Swaps 470
4- Total Return Swaps 479
5. Uses of Credit Derivatives 482
6. Balance Sheets and Credit Derivatives 486
7. Conclusions 487
References 487
Exercises 488
Case Study 490
CHAPTER 17 Engineering of Equity Instruments: Pricing and
Replication 493
1. Introduction 493
2. What Is Equity? 494
3. Engineering Equity Products 500
4. Financial Engineering of Securitization 510
5. Conclusions 514
References 514
Exercises 515
Case Study 516
CHAPTER 18 An Important Application: Swaptions and Mortgages 519
1. Introduction 519
2. The Mortgage Market 520
3. Swaptions 526
4. Pricing Swaptions 528
5. Mortgage Based Securities 534
6. Conclusions 535
References 535
Exercises 536
Case Study 538
References 541
Index 545 |
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| spelling | Neftci, Salih N. Verfasser aut Principles of financial engineering Salih N. Neftci Financial engineering [Nachdr.] Amsterdam [u.a.] Elsevier, Acad. Press 2005 XIII, 556 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Academic Press advanced finance series Financial Engineering (DE-588)4208404-0 gnd rswk-swf Finanzinnovation (DE-588)4124975-6 gnd rswk-swf Financial Engineering (DE-588)4208404-0 s Finanzinnovation (DE-588)4124975-6 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016442521&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | Principles of financial engineering |
| title_alt | Financial engineering |
| title_auth | Principles of financial engineering |
| title_exact_search | Principles of financial engineering |
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| title_full | Principles of financial engineering Salih N. Neftci |
| title_fullStr | Principles of financial engineering Salih N. Neftci |
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| title_short | Principles of financial engineering |
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