Financial Engineering:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
München
Oldenbourg
2012
|
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | XLIV, 577 S. Ill., graph. Darst. 240 mm x 170 mm |
| ISBN: | 9783486705515 3486705512 |
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| 245 | 1 | 0 | |a Financial Engineering |c von Michael Bloss ... |
| 264 | 1 | |a München |b Oldenbourg |c 2012 | |
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Datensatz im Suchindex
| _version_ | 1805145759507546112 |
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| adam_text |
Contents
Preface
.
V
About the authors
.
IX
List of abbreviations and symbols
. XXIX
List of figures
. XXXV
List of tables
. XLIII
Module I Fundamentals
1
1
Financial engineering
-
business segment with a future
. 3
1.1
What is the meaning of financial engineering?
. 3
1.2
Setup of a financial engineering unit
. 4
1.3
Product desks of a financial engineering unit
. 4
1.4
Which theories and models are combined in financial
engineering?
. 6
1.5
The financial engineering process
. 6
1.6
How to issue the product
. 8
1.6.1
Public Offering
. 8
1.6.2
Private Placement
. 8
1.7
Flow products
. 9
1.8
Issuers
. 9
1.9
Which product and when?
. 10
1.10
What likely development lies ahead for financial
engineering?
. 12
2
Review of the methodological foundations of financial
engineering
. 17
2.1
Foundations of probability theory
. 17
2.1.1
Laplace probability
. 18
2.1.2
Frequentist probability
. 19
2.1.3
Subjective probability
. 19
2.1.4
Conditional probability
. 19
XIV
_Contents
2.2
Stochastic processes
. 23
2.2.1
Markov process
. 23
2.2.1.1
Wiener process
. 23
2.2.1.2
Generalized Wiener process
. 23
2.2.2
Ito
process
. 25
2.2.3
The normal distribution
. 26
2.2.4
Martingale assumption
. 28
2.2.5
Random walk
. 28
2.3
Correlation analysis
. 30
2.3.1
Correlation
. 30
2.3.2
Variance, covariance and correlation coefficients
33
2.4
Statistical concepts of security analysis
. 35
2.4.1
Calculation of the beta factor
. 35
2.4.2
Log-normal distribution of equity prices
. 37
2.4.3
Valuation using replication
. 39
2.5
Value at Risk
. 40
2.5.1
Graphical derivation
. 42
2.5.2
Analytical models
. 44
2.5.3
Simulation models
. 44
2.6
Foundations and approaches of decision theory
. 45
2.6.1
Classical decision theory
. 45
2.6.2
Game theory
. 46
2.7
Who knows what?
. 47
2.7.1
Complete information
. 47
2.7.2
Perfect information
. 47
2.7.3
Transformation of games with incomplete
information into games with complete, but
imperfect information
. 47
2.7.4
Different strategies
. 47
2.7.4.1
Pure and mixed strategies
. 47
2.7.4.2
Equilibria in dominant strategies
. 48
2.7.4.3
Nash equilibrium
. 48
2.8
Solution strategies for known decision situations
. 48
2.8.1
Financial engineering and game theory
. 49
2.8.2
Portfolio risk management
. 50
2.8.3
Fundamental questions for every investor
. 51
2.8.3.1
The different types of investors
. 53
2.8.3.2
How to approach derivatives as an
inexperienced investor
. 53
2.8.4
Portfolio theory
. 55
2.8.4.1
Portfolio selection model
. 55
Contents
XV
2.8.4.2
Single index
model
. 57
2.8.4.3
Capital
Asset Pricing Model
(САРМ)
. 58
2.8.4.3.1
Assumptions of
САРМ
. 58
2.8.4.3.2
Main conclusions of
САРМ
. 59
2.8.4.3.3
Summary of the
С АРМ.
62
2.8.5
Final assessment of the models
. 62
2.8.6
The process of portfolio management
. 63
2.9
Market psychology and behavioral economics
. 64
2.9.1
Market psychology
. 64
2.9.2
Behavioral economics
. 65
2.9.3
Methods of behavioral finance
. 66
2.9.3.1
Herd behavior
. 67
2.9.3.2
Group thinking
. 68
2.9.4
Closing thoughts
. 68
3
Ethical principles for successful financial engineering
. 73
3.1
Are ethics enforcable in finance?
. 74
3.2
What is important in financial engineering concerning
ethics?
. 75
3.2.1
The financial engineer as competent partner
. . 75
3.2.2
The financial engineer as creator of tangible
solutions
. 76
3.2.3
The financial engineer as judge of the doable
. . 76
3.3
How to check for ethical principles?
. 78
3.4
Fundamental ethical points of reference for the financial
engineer
. 78
Module II Listed options
&
futures
85
4
Derivatives exchanges and derivatives markets
. 87
4.1
Historical development of derivatives exchanges
. 87
4.2
What is a derivatives transaction?
. 91
4.3
Why are derivatives transactions mostly standardized
today?
. 94
4.4
What are the functions of derivatives exchanges?
. 97
4.5
Who are the market participants at derivatives
exchanges?
. 98
4.6
Which other basic concepts are required for an
understanding of derivatives exchanges and derivatives
markets?
. 99
XVI
_Contents
4.7
What is the organizational structure of derivatives
exchanges?
. 103
4.8
The working of a computerized exchange
. 104
4.9
What is the market maker principle?
. 106
4.10
Trading at Eurex
. 107
4.11
Who regulates derivatives markets?
. 109
4.12
Which products can be traded?
. 110
4.13
The clearing process
. 110
4.14
How to specify an order
. 112
4.15
What are the expiration dates at Eurex?
. 117
5
Futures
-
unconditional derivatives contracts
. 123
5.1
What are futures?
. 123
5.2
Futures markets
. 124
5.3
Futures trading
. 125
5.4
Basic futures strategies
. 125
5.5
Leverage in futures transactions
. 127
5.6
Settlement
. 127
5.7
Index futures
. 128
5.8
Interest rate futures
. 131
5.9
Currency futures
. 133
5.10
Commodity futures
. 133
5.11
Single stock futures
. 134
5.12
State of the market in futures trading
. 135
5.13
Determination of futures prices
. 136
5.14
Pricing of interest rate futures
. 139
5.15
What is a CTD bond?
. 141
5.16
What is meant by "final settlement?"
. 142
5.17
What futures expiration dates exist?
. 143
5.18
Which futures strategies exist?
. 144
5.18.1
Long futures position
. 145
5.18.2
Short futures position
. 145
5.19
Purchasing a spread
. 148
5.20
Selling a spread
. 148
5.21
Inter market spread
. 149
5.22
Inter contract spread and
intra
contract spread
. 149
5.23
Cash-and-carry arbitrage
. 150
5.24
Arbitrage strategies for money market futures (Euribor)
. 151
5.25
Hedges
. 152
5.26
Beta-hedging with index futures
. 153
5.27
Why futures are used for hedging
. 155
5.28
Hedging with interest rate futures
. 155
Contents_
хун
6
Options
-
conditional derivatives contracts
. 161
6.1
What is an option?
. 161
6.2
Differences in options
. 163
6.3
Option trading
. 165
6.4
What are weekly options?
. 168
6.5
What is a low exercise price option?
. 168
6.6
The closing of a derivatives transaction
. 169
6.7
What is a rollover?
. 171
6.8
Pricing of options
. 171
6.9
Theories of option pricing
. 172
6.9.1
Intrinsic value
. 172
6.9.2
Time value
. 174
6.10
Early exercise of options
. 177
6.11
Which factors influence the price of an option?
. 178
6.11.1
The value of the underlying
. 178
6.11.2
Volatility
. 179
6.11.2.1
Historical volatility
. 179
6.11.2.2
Implied volatility
. 180
6.11.2.3
The Newton procedure
. 181
6.11.2.4
The influence of volatility
. 182
6.11.3
Market interest rates
. 183
6.11.4
Dividend payments
. 183
6.11.5
Term to maturity
. 183
6.11.6
The effect of corporate actions
. 184
6.11.6.1
Mergers and acquisitions
. 185
6.11.6.2
Extraordinary dividends
. 185
6.11.6.3
Cash settlement of corporate actions
. 185
6.12
Greeks
-
sensitivities of option prices
. 186
6.12.1
Delta
. 186
6.12.2
Gamma
. 188
6.12.3
Rho
. 189
6.12.4
Theta
. 190
6.12.5 Vega. 190
6.12.6
Derivation of Greeks from the Black-Scholes
formula
. 193
6.13
What is put-call parity?
. 195
6.13.1
Put-call parity relationship
. 195
6.13.2
Presentation of the put-call relationship using
replication
. 196
6.14
Determination of option prices using the Black-Scholes
model
. 197
XVIII
_Contents
6.14.1
Assumptions of the Black-Scholes model
. 198
6.14.2
The Black-Scholes formula
. 198
6.14.3
The Black-Scholes-Merton model
. 199
6.14.4
The Black-Scholes differential equation
. 200
6.15
Determination of option prices using the binomial model
202
6.15.1
Basic assumptions of the binomial model
. 202
6.15.2
Setup of a tree
. 203
6.15.3
Implementation of the binomial model
. 204
6.16
Model critique
. 208
6.17
Monte-Carlo simulation
. 211
6.18
Tradable option prices
. 212
6.19
Strategies using options
. 212
6.19.1
What is contained in the four basic strategies
in option trading (plain vanilla)?
. 213
6.19.2
The strategy LONG CALL
. 214
6.19.3
The strategy SHORT CALL
. 216
6.19.4
The strategy LONG PUT
. 219
6.19.5
The strategy SHORT PUT
. 220
6.20
How to hedge with options
. 222
6.20.1
Delta hedging
. 222
6.20.2
Protective put
. 223
6.20.3
Portfolio insurance using calls
. 224
6.20.4
Beta hedge
. 224
6.21
Which combinations of options are frequently used?
. . . 225
6.21.1
Straddle
. 225
6.21.1.1
Long straddle
. 225
6.21.1.2
Short straddle
. 226
6.21.1.2.1
Straps
. 227
6.21.1.2.2
Strips
. 227
6.21.2
Strangle
. 228
6.21.2.1
Long strangle
. 228
6.21.2.2
Short strangle
. 228
6.21.3
Spreads
. 229
6.22
An overview of plain vanilla option strategies
. 233
6.22.1
Strategies for a positive market outlook
. 233
6.22.2
Strategies for a neutral market outlook
. 233
6.22.3
Strategies for a negative market outlook
. 234
6.22.4
Strategies for a volatile market outlook
. 234
6.23
Complex option strategies and their implementation
. . . 235
6.23.1
Butterfly
. 235
6.23.2
Condor
. 237
Contents_
XIX
6.23.3 Ratio
spread
. 238
6.23.3.1 Ratio
call spread
. 238
6.23.3.2
Ratio put spread
. 239
6.23.4
Back spread
. 239
6.23.4.1
Back spread call
. 239
6.23.4.2
Back spread put
. 239
6.23.5
Box strategies
. 239
6.23.5.1
Long box
. 240
6.23.5.2
Short box
. 240
6.23.6
Time spread or calendar spread
. 241
6.23.6.1
Bull calendar spread
. 241
6.23.6.2
Bear calendar Spread
. 242
6.23.7
Long risk reversal
. 242
6.23.8
Short risk reversal
. 243
6.24
How to implement a strategy using options
. 243
6.25
Options on futures, synthetic derivatives transactions
&
combinations
. 247
6.25.1
How are options on futures constructed and
structured?
. 248
6.25.2
What is the future-style method?
. 248
6.25.3
How to value options on futures with the
Black-76 model?
. 249
6.25.4
Which strategies are pursued with options on
futures?
. 250
6.26
What is a synthetic derivatives market position?
. 253
6.27
Which combinations and linked strategies are used in
practice?
. 254
7
Derivatives on currencies and commodities
. 261
7.1
Development of currency trading
. 261
7.2
The fundamentals of currency trading
. 262
7.3
Economic determinants of exchange rate formation
. . . 264
7.4
Currency spot transactions
. 264
7.5
Currency derivatives transactions
. 264
7.6
Currency derivatives transactions of banks
. 265
7.7
Calculation of the forward rate
. 266
7.8
Currency derivatives transactions at exchanges
. 267
7.9
Cross rates
. 267
7.10
Tobin
tax
. 268
7.11
What are currency options?
. 269
XX
_Contents
7.12
Pricing of a currency option according to
Garman-Kohlhagen
. 269
7.13
What are currency futures?
. 270
7.13.1
Pricing of currency futures
. 271
7.13.2
Uses of currency futures
. 272
7.13.3
Basic intentions of the investor
. 272
7.13.3.1
Hedging
. 272
7.13.3.2
Speculation
. 273
7.13.3.3
Speculating on spreads or currency pairs
. . 273
7.14
Commodity derivatives transactions versus commodity
spot transactions
. 274
7.15
Commodity futures
. 275
7.15.1
Opening, closing and settlement
. 275
7.15.2
Application of the different settlement
possibilities
. 276
7.15.3
Which commodities serve as underlying for
derivatives transactions?
. 277
7.16
Trading in commodity derivatives
. 279
7.17
When should investors consider commodity derivatives
contracts?
. 279
7.18
Developments and outlook
. 280
7.19
Price determination of commodity derivatives futures
. . 281
7.20
Prices of commodity futures
. 281
7.21
What is problematic about contango?
. 284
7.22
Futures trading
. 285
7.23
Storage
. 285
7.24
Which factors can influence pricing?
. 286
7.25
Strategies in the area of commodity derivatives
transactions
. 288
7.25.1
Hedging with commodity derivatives
. 288
7.25.2
Speculating with commodity derivatives
. 289
7.25.3
Arbitrage with commodity derivatives
. 289
7.25.4
Spreads with commodity derivatives
. 289
7.26
What are combinations between currency and
commodity derivatives?
. 290
7.27
What strategies for currency derivatives exist?
. 291
7.27.1
Hedging strategies
. 291
7.27.2
Speculative strategies
. 291
Contents_
XXI
Module
III Structured derivatives
297
8
Exotic and non-listed derivatives
. 299
8.1
Derivatives that are not exchange traded
. 299
8.1.1
OTC derivatives as "flexible options/futures" at
Eurex
. 300
8.1.2
Caps, floors and collars
. 301
8.1.2.1
Caps
. 301
8.1.2.2
Caplets
. 301
8.1.2.3
Floor
. 303
8.1.2.4
Floorlets
. 303
8.1.2.5
Valuation of caplets and floorlets
. 304
8.1.2.6
Collar
. 304
8.1.3
What is a forward?
. 305
8.1.4
What is a swap?
. 306
8.1.4.1
What are the terms of a swap?
. 307
8.1.4.2
Types of swaps and their setup
. 307
8.1.4.2.1
Interest rate swap
. 308
8.1.4.2.2
Constant Maturity Swap (CMS)
. 309
8.1.4.2.3
Currency swap
. 310
8.1.4.2.4
Equity index swap
. 310
8.1.4.2.5
Forward swap
. 310
8.1.4.2.6
Commodity swap
. 311
8.1.4.3
Swap trading
. 312
8.1.4.4
Valuation of swaps
. 313
8.1.4.5
Swaps with variable interest rates
. 313
8.1.4.6
Uses of swaps
. 314
8.1.4.7
Examples of swaps
. 314
8.1.4.7.1
Inflation swaps
. 314
8.1.4.7.1.1
Inflation payer swap
. 314
8.1.4.7.1.1.1
How does the inflation payer
swap work?
. 315
8.1.4.7.1.1.2
Payment streams of the inflation
payer swap
. 316
8.1.4.7.1.2
Inflation receiver swap
. 316
8.1.4.7.1.2.1
How does the inflation receiver
swap work?
. 316
8.1.4.7.1.2.2
Payment streams of the inflation
receiver swap
. 317
8.1.4.7.2
Express swap EUR/TRY
. 318
8.1.4.7.3
Second chance swap
. 322
XXII
_Contents
8.1.4.7.4
Callable range accrual swap
. 325
8.1.4.7.5
FX linked knockout swap
. 326
8.1.4.7.6
Step down swap
. 328
8.1.4.8
Swap confirmation
. 331
8.1.5
What are swaptions and interest rate guarantees?
332
8.1.5.1
Swaptions
. 332
8.1.5.2
Receiver or payer swaption
. 333
8.1.5.3
Valuation of swaptions
. 334
8.1.5.4
Settlement of a swaption
. 335
8.1.6
What are exotic options?
. 336
8.1.6.1
What kinds of exotic options do exist?
. . . 337
8.1.6.2
Types of exotic options
. 337
8.1.6.2.1
Barrier options
. 338
8.1.6.2.2
Digital options
. 340
8.1.6.2.3
Range options
. 341
8.1.6.2.4
Bermuda options
. 342
8.1.6.2.5
Chooser options
. 342
8.1.6.2.6
Compound options
. 342
8.1.6.2.7
Window options
. 342
8.1.6.2.8
Quanto
options
. 343
8.1.6.2.9
Rainbow options
. 344
8.1.6.2.10
Basket options
. 345
8.1.6.2.11
Lookback
options
. 346
8.1.6.2.12
Cliquet
options and ladder options
. . . 346
8.1.6.2.13
Spread options and outperformance
options
. 346
8.1.6.2.14
Shout options
. 347
8.1.6.2.15
Options with delayed premium
payment
-
Boston options
. 348
8.1.6.2.16
Multifactor options
. 348
8.1.6.2.17
Exchange options
. 348
8.1.6.2.18
Asian options (average options)
. 348
9
Credit derivatives
. 357
9.1
Fundamentals of credit derivatives
. 357
9.2
What is credit?
. 357
9.3
Which capital structures exist?
. 358
9.4
Which types of credit derivatives exist?
. 361
9.4.1
Classical credit derivatives
. 361
9.4.2
Modern credit derivatives
. 362
9.5
Valuation of credit derivatives (CDS)
. 364
Contents_
XXIII
9.6
What are iTraxx® futures at Eurex?
. 365
9.7
What are securitized credit derivatives?
. 366
9.8
Problems in the securitization market following the
financial market crisis in
2007. 368
9.9
Complexity of the instruments
. 369
9.10
Which problems arose during the financial crisis with
respect to credit derivatives?
. 370
10
Weather derivatives
. 375
10.1
Fundamentals of weather derivatives
. 375
10.2
Information on the underlying in weather derivatives
. . 376
10.2.1
Degree day indexes
. 378
10.2.2
Heating Degree Days (HDD)
&
Cooling
Degree Days
(CDD)
. 379
10.2.3
Gradtageszahlenindex (GTZ)
. 380
10.3
Structuring of weather derivatives
. 381
10.4
Conditional weather derivatives
. 382
10.4.1
Hedging with call options
. 383
10.4.2
Hedging with put options
. 386
10.5
Unconditional weather derivatives: swaps and futures
. . 390
10.5.1
Example of a swap between an ice cream
parlor and a travel agency
. 390
10.5.2
Futures on the HDD for a railroad company
. . 393
10.6
Valuation of weather derivatives
. 395
10.7
Reasons for the failure of the Black-Scholes model in
pricing weather derivatives
. 395
10.8
Burn analysis or burning cost method
. 396
10.9
Index Value Simulation Method (IVSM)
. 398
10.10
Daily Simulation Method
(DSM)
. 398
10.11
Trading in weather derivatives
. 399
10.11.1
The first weather derivatives transactions
. 399
10.11.2
The markets for weather derivatives
. 399
10.11.2.1
Chicago Mercantile Exchange
(СМЕ)
. 400
10.11.2.2
London International Financial Futures and
Options Exchange (LIFFE)
. 400
10.11.2.3
Deutsche
Börse
AG.
401
10.11.2.4
Eurex
. 401
10.12
The participants in the market for weather derivatives
. . 402
10.12.1
End user
. 402
10.12.2
Trader
. 402
10.12.3
Market maker
. 403
XXIV
_Contents
10.12.4 Broker. 403
10.12.5 Investor. 404
11 Insurance derivatives. 409
11.1
What are insurance
derivatives?. 409
11.2
Why are they traded and who does the trading?
. 409
12
Real options
. 415
12.1
What are real options?
. 416
12.2
How to classify real options
. 417
12.3
Real options and financial options
. 419
12.4
Valuation of real options
. 419
12.5
Valuation of real options in practice
. 419
12.6
Can real options be used in practice?
. 428
Module IV Application of derivatives
437
13
Structuring complex portfolios with the help of derivatives
. . . 439
13.1
Averaging and pyramiding
. 439
13.2
Why should positions be extended?
. 441
13.2.1
Extending gains
. 441
13.2.2
Position management if investments develop
unfavorably
. 442
13.3
What is a rollover?
. 444
13.3.1
Rollover in case of an adverse market
development
. 444
13.3.2
Preventing an early exercise
. 445
13.3.3
Extension of positions that are favorable to the
investor
. 445
13.3.4
Cross rollover
. 446
13.4
Combinations
. 447
13.5
Position management of swaps and other OTC derivatives
447
13.6
The key to success is liquidity!
. 448
13.7
Portfolio structure
. 449
14
Use of derivatives in financial engineering and fund
management
. 457
14.1
Considerations when designing new products
. 458
14.2
Basic component zero bond
. 459
14.3
Financial engineering products and their construction
. . 460
14.3.1
Discount certificates
. 460
14.3.2
Reverse Convertibles
. 462
14.3.3
Bonus certificates
. 463
Contents XXV
14.3.4
Leveraged products
. 465
14.3.5
Warrants
. 466
14.3.6
Structured financial products with interest rate
options
. 466
14.3.6.1
Single putable bonds
. 467
14.3.6.2
Single callable bonds
. 468
14.3.6.3
Bonds with several termination rights
. . . 468
14.3.6.3.1
Multi
callable bonds
. 469
14.3.6.3.2
Multi
putable bonds
. 469
14.3.6.4
Reverse floater
. 469
14.3.6.5
Leveraged floater
. 470
14.3.7
Highly structured financial products
. 471
14.3.7.1
Inflation bond
. 471
14.3.7.2
Simulation based certificates
. 472
14.4
Use of derivatives in fund management
. 473
14.4.1
Strategies for the use of derivatives in the
portfolio management of a fund
. 473
14.4.1.1
Call volatility trade
. 473
14.4.1.2
Put volatility trade
. 474
14.4.1.3
Combo versus long underlying
. 474
14.4.1.4
Put spread versus underlying
. 476
14.4.1.5
Conversion versus underlying
. 476
14.4.2
Why are these strategies used in fund portfolio
management?
. 477
15
What is a hedge fund?
. 483
15.1
What is the aim of a hedge fund?
. 484
15.2
Use of leverage
. 484
15.3
Legal transparency
. 484
15.4
Offshore companies
. 485
15.5
Risk attributes of hedge funds
. 485
15.5.1
Market risks
. 485
15.5.2
Address non-payment risk
. 486
15.5.2.1
Issuer risk
. 486
15.5.2.2
Counterparty risk
. 486
15.5.2.3
Credit risk
. 486
15.5.2.4
Country risk
. 486
15.5.3
Liquidity risk
. 487
15.5.4
Manager risk
. 487
15.5.5
Operational risk
. 487
15.5.6
Strategic risk
. 488
XXVI
_Contents
15.6
Organizational setup of a hedge fund
. 488
15.6.1
Hedge fund company
. 489
15.6.2
Hedge fund management company
. 489
15.6.3
External service providers
. 489
15.6.3.1
Prime broker
. 489
15.6.3.2
Custodian bank
. 490
15.6.3.3
Fund administration
. 490
15.7
Strategies
. 491
15.7.1
Convertible bond arbitrage
. 491
15.7.2
Short equity
. 492
15.7.3
Emerging markets
. 493
15.7.4
Market neutral equity
. 493
15.7.5
Event driven
. 493
15.7.6
Fixed income arbitrage
. 494
15.7.7
Global macro
. 494
15.7.8
Long/short equity
. 495
15.8
Managed futures
. 495
15.9
Single hedge fund versus fund of hedge funds
. 495
15.10
Hedge funds as golden calf?
. 497
16
Risk controlling and margining
. 501
16.1
Basics of risk controlling
. 501
16.1.1
MaRisk as the basis for risk controlling
. 503
16.1.2
Risk controlling of wealth management clients
. 506
16.1.3
Risk controlling of financial engineering units
. 506
16.2
Unforeseeable market events
. 507
16.3
What is margin?
. 508
16.4
What is risk based margining?
. 510
16.5
Why is the deposit of margin required and how is it
calculated?
. 510
16.6
Which types of margin exist?
. 511
16.6.1
Premium margin
. 511
16.6.2
Additional margin
. 511
16.6.3
Variation margin
. 513
16.6.4
Futures spread margin
. 513
16.7
Option margins
. 514
16.7.1
Long positions
. 514
16.7.2
Short positions
. 514
16.8
Margin during the time of delivery
. 516
16.9
Margin for futures
. 516
16.10
Margin for future style options
. 518
Contents_
XXVII
16.11
How is the margin calculated for
option positions?
. 519
16.12
Calculating the costs of closing a position
. 519
16.13
How to provide margin
. 520
16.14
Settlement price
. 520
16.15
What is a margin call?
. 521
16.16
Forced liquidation from the perspective of the bank or
the broker
. 522
In closing
. 527
17
Appendix
. 531
Typical exam questions and problems
. 531
Glossary
. 546
Table of standard normal distribution
. 555
Rating scales
. 556
Bond return and rating in context
. 557
Internet addresses
. 559
Derivatives exchanges globally and their internet
addresses
. 560
References
. 565
Disclaimer
. 569
Index
. 573 |
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| dewey-sort | 3332 |
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| genre_facet | Lehrbuch |
| id | DE-604.BV039769478 |
| illustrated | Illustrated |
| indexdate | 2024-07-21T00:19:07Z |
| institution | BVB |
| isbn | 9783486705515 3486705512 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024630501 |
| oclc_num | 773361671 |
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| owner_facet | DE-19 DE-BY-UBM DE-355 DE-BY-UBR DE-12 DE-739 DE-473 DE-BY-UBG DE-M347 |
| physical | XLIV, 577 S. Ill., graph. Darst. 240 mm x 170 mm |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Oldenbourg |
| record_format | marc |
| spelling | Financial Engineering von Michael Bloss ... München Oldenbourg 2012 XLIV, 577 S. Ill., graph. Darst. 240 mm x 170 mm txt rdacontent n rdamedia nc rdacarrier Financial Engineering (DE-588)4208404-0 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Financial Engineering (DE-588)4208404-0 s b DE-604 Bloss, Michael Sonstige (DE-588)130179310 oth X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3857781&prov=M&dok_var=1&dok_ext=htm Inhaltstext Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024630501&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Financial Engineering Financial Engineering (DE-588)4208404-0 gnd |
| subject_GND | (DE-588)4208404-0 (DE-588)4123623-3 |
| title | Financial Engineering |
| title_auth | Financial Engineering |
| title_exact_search | Financial Engineering |
| title_full | Financial Engineering von Michael Bloss ... |
| title_fullStr | Financial Engineering von Michael Bloss ... |
| title_full_unstemmed | Financial Engineering von Michael Bloss ... |
| title_short | Financial Engineering |
| title_sort | financial engineering |
| topic | Financial Engineering (DE-588)4208404-0 gnd |
| topic_facet | Financial Engineering Lehrbuch |
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