Principles of financial engineering:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Elsevier [u.a.]
2008
|
| Ausgabe: | 2. ed. |
| Schriftenreihe: | Academic Press advanced finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XV, 679 S. graph. Darst. |
| ISBN: | 9780123735744 |
Internformat
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| 245 | 1 | 0 | |a Principles of financial engineering |c Salih N. Neftci |
| 246 | 1 | 3 | |a Financial engineering |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Amsterdam [u.a.] |b Elsevier [u.a.] |c 2008 | |
| 300 | |a XV, 679 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 0 | |a Academic Press advanced finance series | |
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Datensatz im Suchindex
| _version_ | 1804138582558900224 |
|---|---|
| adam_text | Contents
Preface
xv
CHAPTER
1
Introduction
1
1.
A Unique Instrument
1
2.
A Money Market Problem
8
3.
A Taxation Example
11
4.
Some Caveats for What Is to Follow
14
5.
Trading Volatility
15
6.
Conclusions
і
8
Suggested Reading 1
9
Case Study
20
CHAPTER
2
An Introduction to Some Concepts and Definitions
23
1.
Introduction
23
2.
Markets
23
3.
Players
27
Ą.
The Mechanics of Deals
27
5.
Market Conventions
30
6.
Instruments
37
7.
Positions
37
8.
The Syndication Process
41
9.
Conclusions
42
Suggested Reading
42
Appendix
2-1:
The Hedge Fund Industry
42
Exercises
46
CHAPTER
3
Cash Flow Engineering and Forward Contracts
47
1.
Introduction
47
2.
What Is a Synthetic?
47
3.
Forward Contracts
51
4.
Currency Forwards
54
5.
Synthetics and Pricing
59
6.
A Contractual Equation
59
7.
Applications
60
VIU
Contents
8.
A Better Synthetic
66
9.
Futures
70
10.
Conventions for Forwards
75
11.
Conclusions
76
Suggested Reading
77
Exercises
78
Case Study
80
CHAPTER
4
Engineering Simple Interest Rate Derivatives
83
1.
Introduction
83
2.
Libor
and Other Benchmarks
84
3.
Forward Loans
85
4.
Forward Rate Agreements
92
5.
Futures: Eurocurrency Contracts
96
6.
Real-World Complications
J
00
7.
Forward Rates and Term Structure
102
8.
Conventions
103
9.
A Digression: Strips
104
10.
Conclusions
105
Suggested Reading
105
Exercises
106
CHAPTER
5
Introduction to Swap Engineering
109
1.
The Swap Logic
109
2.
Applications
112
3.
The Instrument: Swaps
117
4.
Types of Swaps
120
5.
Engineering Interest Rate Swaps
129
6.
Uses of Swaps
137
7.
Mechanics of Swapping New Issues
142
8.
Some Conventions
148
9.
Currency Swaps versus FX Swaps
148
10.
Additional Terminology
150
11.
Conclusions
151
Suggested Reading
151
Exercises
152
CHAPTER
6
Repo
Market Strategies in Financial Engineering
157
1.
Introduction
157
2.
WhatlsRepoľ
158
3.
Types of
Repo
160
4.
Equity
Repos
165
5.
Repo
Market Strategies
165
6.
Synthetics Using
Repos
171
7.
Conclusions
173
Suggested Reading
173
Exercises
174
Case Study
175
Contents
їх
CHAPTER
7
Dynamic Replication Methods and Synthetics
177
1.
Introduction
177
2.
An Example
178
3.
A Review of Static Replication
178
4.
Ad Hoc Synthetics
J
83
5.
Principles of Dynamic Replication
J
86
6.
Some Important Conditions
í
97
7.
Real-Life Complications
198
8.
Conclusions
200
Suggested Reading
200
Exercises
201
CHAPTERS Mechanics of Options
203
1.
Introduction
203
2.
What Is an Option?
204
3.
Options: Definition and Notation
205
4.
Options as Volatility Instruments
211
5.
Tools for Options
22
J
6.
The Greeks and Their Uses
228
7.
Real-Life Complications
240
8.
Conclusion: What Is an Option?
241
Suggested Reading
241
Appendix
8-1 242
Appendix
8-2 244
Exercises
246
CHAPTER
9
Engineering Convexity Positions
249
1.
Introduction
249
2.
A Puzzle
250
3.
Bond Convexity Trades
250
4.
Sources of Convexity
262
5.
A Special Instrument:
Quantos
267
6.
Conclusions
272
Suggested Reading
272
Exercises
273
Case Study
275
CHAPTER
10
Options Engineering with Applications
277
1.
Introduction
277
2.
Option Strategies
280
3.
Volatility-Based Strategies
291
4.
Exotics
296
5.
Quoting Conventions
307
6.
Real-World Complications
309
7.
Conclusions
310
Suggested Reading
3
I O
Exercises
311
X
Contents
CHAPTER
11
Pricing Tools in Financial Engineering
315
1.
Introduction
315
2.
Summary of Pricing Approaches
316
3.
The Framework
317
4.
An Application
322
5.
Implications of the Fundamental Theorem
328
6.
Arbitrage-Free Dynamics
334
7.
Which Pricing Method to Choose?
338
8.
Conclusions
339
Suggested Reading
339
Appendix
11-1 340
Exercises
342
CHAPTER
12
Some Applications of the Fundamental Theorem
345
1.
Introduction
345
2.
Application
1:
The Monte Carlo Approach
346
3.
Application
2:
Calibration
354
4.
Application
3:
Quantos
363
5.
Conclusions
370
Suggested Reading
370
Exercises
371
CHAPTER
13
Fixed-Income Engineering
373
1.
Introduction
373
2.
A Framework for Swaps
374
3.
Term Structure Modeling
383
4.
Term Structure Dynamics
385
5.
Measure Change Technology
394
6.
An Application
399
7.
In-Arrears Swaps and Convexity
404
8.
Cross-Currency Swaps
408
9.
Differential
(Quanto)
Swaps
409
10.
Conclusions
409
Suggested Reading
410
Appendix
13-1:
Practical Yield Curve Calculations
411
Exercises 4J4
CHAPTER
14
Tools for Volatility Engineering, Volatility Swaps,
and Volatility Trading
415
1.
Introduction
415
2.
Volatility Positions
416
3.
Invariance
of Volatility Payoffs
417
4·
Pure Volatility Positions
424
5.
Volatility Swaps
427
6.
Some Uses of the Contract
432
7.
Which Volatility?
433
8.
Conclusions
434
Suggested Reading
435
Exercises
436
Contents Xl
CHAPTER
15
Volatility as an Asset Class and the Smile
439
1.
Introduction to Volatility as an Asset Class
439
2.
Volatility as Funding
440
3.
Smile
442
4.
Dirac Delta Functions
442
5.
Application to Option Payoffs
444
6.
Breeden-Litzenberger Simplified
446
7.
A Characterization of Option Prices as Gamma Gains
450
8.
Introduction to the Smile
451
9.
Preliminaries
452
10.
A First Look at the Smile
453
11.
What Is the Volatility Smile?
454
12.
Smile Dynamics
462
13.
How to Explain the Smile
462
14.
The Relevance of the Smile
469
15.
Trading the Smile
470
16.
Pricing with a Smile
470
17.
Exotic Options and the Smile
471
18.
Conclusions
475
Suggested Reading
475
Exercises
476
CHAPTER
16
Credit Markets: CDS Engineering
479
1.
Introduction
479
2.
Terminology and Definitions
480
3.
Credit Default Swaps
482
4.
Real-World Complications
492
5.
CDS Analytics
494
6.
Default Probability Arithmetic
495
7.
Structured Credit Products
500
8.
Total Return Swaps
504
9.
Conclusions
505
Suggested Reading
505
Exercises
507
Case Study
510
CHAPTER
17
Essentials of Structured Product Engineering
513
1.
Introduction
513
2.
Purposes of Structured Products
513
3.
Structured Fixed-Income Products
526
4.
Some Prototypes
533
5.
Conclusions
543
Suggested Reading
544
Exercises
545
XU Contents
CHAPTER
18
Credit Indices and Their Tranches
547
1.
Introduction
547
2.
Credit Indices
547
3.
Introduction to
ABS
and CDO
548
4.
A Setup for Credit Indices
550
5.
Index Arbitrage
553
6.
Tranches: Standard and Bespoke
555
7.
Tranche Modeling and Pricing
556
8.
The Roll and the Implications
560
9.
Credit versus Default Loss Distributions
562
10.
An Important Generalization
563
11.
New Index Markets
566
12.
Conclusions
568
Suggested Reading
568
Appendix
18-1 569
Exercises
570
CHAPTER
19
Default Correlation Pricing and Trading
571
1.
Introduction
571
2.
Some History
572
3.
Two Simple Examples
572
4.
The Model
575
5.
Default Correlation and Trading
579
6.
Delta Hedging and Correlation Trading
580
7.
Real-World Complications
585
8.
Conclusions
587
Suggested Reading
587
Appendix
194 588
Exercises
590
Case Study
591
CHAPTER
20
Principal Protection Techniques
595
1.
Introduction
595
2.
The Classical Case
596
3.
TheCPPI
597
4.
Modeling the CPPI Dynamics
599
5.
An Application: CPPI and Equity Tranches
601
6.
A Variant: The DPPI
604
7.
Real-World Complications
605
8.
Conclusions
606
Suggested Reading
606
Exercises
607
CHAPTER
21
Caps/Floors and Swaptions with an Application
to Mortgages
611
1.
Introduction
61
1
2.
The Mortgage Market
612
3.
Swaptions
618
Contents Xlii
4.
Pricing
Swaptions 620
5.
Mortgage-Based Securities
625
6.
Caps and Floors
626
7.
Conclusions
631
Suggested Reading
63
1
Exercises
632
Case Study
634
CHAPTER
22
Engineering of Equity Instruments: Pricing
and Replication
637
1.
Introduction
637
2.
What Is Equity?
638
3.
Engineering Equity Products
644
4·
Financial Engineering of Securitization
654
5.
Conclusions
657
Suggested Reading
657
Exercises
658
Case Study
659
References
663
Index
667
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| id | DE-604.BV035287432 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:30:29Z |
| institution | BVB |
| isbn | 9780123735744 |
| language | English |
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| spelling | Neftci, Salih N. Verfasser aut Principles of financial engineering Salih N. Neftci Financial engineering 2. ed. Amsterdam [u.a.] Elsevier [u.a.] 2008 XV, 679 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 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017092552&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Neftci, Salih N. Principles of financial engineering Financial engineering Financial Engineering (DE-588)4208404-0 gnd Finanzinnovation (DE-588)4124975-6 gnd |
| subject_GND | (DE-588)4208404-0 (DE-588)4124975-6 |
| title | Principles of financial engineering |
| title_alt | Financial engineering |
| title_auth | Principles of financial engineering |
| title_exact_search | Principles of financial engineering |
| title_full | Principles of financial engineering Salih N. Neftci |
| title_fullStr | Principles of financial engineering Salih N. Neftci |
| title_full_unstemmed | Principles of financial engineering Salih N. Neftci |
| title_short | Principles of financial engineering |
| title_sort | principles of financial engineering |
| topic | Financial engineering Financial Engineering (DE-588)4208404-0 gnd Finanzinnovation (DE-588)4124975-6 gnd |
| topic_facet | Financial engineering Financial Engineering Finanzinnovation |
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