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Principles of financial engineering:

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Vorheriger Titel:	Neftci, Salih N.: Principles of financial engineering
Hauptverfasser:	Kosowski, Robert L. (VerfasserIn), Neftci, Salih N. (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Amsterdam [u.a.] Elsevier 2015
Ausgabe:	3. ed.
Schlagworte:	Financial engineering Börse Financial Engineering Finanzwirtschaft Finanzinnovation
Online-Zugang:	Inhaltsverzeichnis
Beschreibung:	XVIII, 874 S. graph. Darst.
ISBN:	9780123869685

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MARC


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Datensatz im Suchindex

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adam_text	Contents Preface to the Third Edition. Wll CHAPTER 1 Introduction ................................................................................1 1.1 A Unique Instrument ..................................................................................................2 1.2 A Money Market Problem ........................................................................................ \|o 1.3 A Taxation Example ................................................................................................. M 1.4 Some Caveats for What Is to Follow ....................................................................... 1 7 1.5 Trading Volatility ..................................................................................................... is 1.6 Conclusions ...............................................................................................................22 Suggested Reading ...........................................................................................................22 Exercises ........................................................................................................................... J2 CHAPTER 2 Institutional Aspects of Derivative Markets ..................................25 2.1 Introduction ............................................................................................................... 2(> 2.2 Markets ....................................................................................................................> 2.3 Players .................................................................................................................... ^ 2.4 The Mechanics of Deals ...........................................................................................> 2.5 Market Conventions ................................................................................................. Xi) 2.6 Instruments ............................................................................................................... I 2.7 Positions .................................................................................................................... -JI 2.8 The Syndication Process ......................................................................................... S() 2.9 Conclusions ...............................................................................................................■) Suggested Reading ......................................................................................................... ^ Exercises .......................................................................................................................... s CHAPTER 3 Cash Flow Engineering, Interest Rate Forwards and Futures .........53 3.1 Introduction ............................................................................................................... -s** 3.2 What Is a Synthetic? ................................................................................................. ^ 3.3 Engineering Simple Interest Rate Derivatives ......................................................... ^ 3.4 LIBOR and Other Benchmarks ................................................................................ M 3.5 Fixed Income Market Conventions .......................................................................... M 3.6 A Contractual Equation ............................................................................................ {) 3.7 Forward Rate Agreements ........................................................................................ ч 3.8 Fixed Income Risk Measures: Duration, Convexity and Value-at-Risk ................. ^ 3.9 Futures: Eurocurrency Contracts .............................................................................. x * VII viii Contents 3.10 Real-World Complications ..................................................................................... 95 3.11 Forward Rates and Term Structure ........................................................................ 96 3.12 Conventions ............................................................................................................ 98 3.13 A Digression: Strips ...............................................................................................^9 3.14 Conclusions .............................................................................................................99 Suggested Reading ......................................................................................................... 10° Appendix—Calculating the Yield Curve .......................................................................100 Exercises ......................................................................................................................... ЮЗ CHAPTER 4 Introduction to Interest-Rate Swap Engineering ........................107 4.1 The Swap Logic ....................................................................................................108 4.2 Applications ..........................................................................................................111 4.3 The Instrument: Swaps .........................................................................................115 4.4 Types of Swaps .....................................................................................................117 4.5 Engineering Interest-Rate Swaps .........................................................................124 4.6 Uses of Swaps .......................................................................................................133 4.7 Mechanics of Swapping New Issues ....................................................................140 4.8 Some Conventions ................................................................................................144 4.9 Additional Terminology .......................................................................................145 4.10 Conclusions ...........................................................................................................145 Suggested Reading .........................................................................................................145 Exercises .........................................................................................................................146 CHAPTER 5 Repo Market Strategies in Financial Engineering .......................149 5.1 Introduction .............................................................................................................150 5.2 Repo Details ............................................................................................................151 5.3 Types of Repo .........................................................................................................154 5.4 Equity Repos ...........................................................................................................160 5.5 Repo Market Strategies ..........................................................................................161 5.6 Synthetics Using Repos ..........................................................................................168 5.7 Differences Between Repo Markets and the Impact of the GFC ..........................170 5.8 Conclusions .............................................................................................................170 Suggested Reading ........................................................................................................171 Exercises .......................................................................................... 17 j CHAPTER 6 Cash Flow Engineering in Foreign Exchange Markets .................175 6.1 Introduction .................................................................. 6.2 Currency Forwards .............................................................. 6.3 Synthetics and Pricing ............................................................ 6.4 A Contractual Equation ...................................................... Contents ix 6.5 Applications ............................................................................ 6.6 Conventions for FX Forward and Futures ....................................................... 6.7 Swap Engineering in FX Markets ........................................................................144 6.8 Currency Swaps Versus FX Swaps ...................................................................... 1W 6.9 Mechanics of Swapping New Issues ....................................................................204 6.10 Conclusions ...........................................................................................................206 Suggested Reading .........................................................................................................207 Exercises .........................................................................................................................207 CHAPTER 7 Cash Flow Engineering and Alternative Classes (Commodities and Hedge Funds) ...............................................211 7.1 Introduction ............................................................................................................. 2I2 7.2 Parameters of a Futures Contract ........................................................................... 2I2 7.3 The Term Structure of Commodity Futures Prices ............................................... 215 7.4 Swap Engineering for Commodities ......................................................................221 7.5 The Hedge Fund Industry ....................................................................................... 22X 7.6 Conclusions .............................................................................................................233 Suggested Reading .........................................................................................................234 Exercises .........................................................................................................................234 CHAPTER 8 Dynamic Replication Methods and Synthetics Engineering .........237 8.1 Introduction ............................................................................................................. 23X 8.2 An Example ............................................................................................................ 23X 8.3 A Review of Static Replication ..............................................................................234 8.4 Ad Hoc Synthetics ...............................................................................................245 8.5 Principles of Dynamic Replication ........................................................................ 24H 8.6 Some Important Conditions .................................................................................... 2ft I 8.7 Real-Life Complications ......................................................................................... 2ft2 8.8 Conclusions .............................................................................................................263 Suggested Reading .........................................................................................................264 Exercises ....................................................................................................................... CHAPTER 9 Mechanics of Options .............................................................. 9.1 Introduction ............................................................................................................. 9.2 What Is an Option? ................................................................................................. 9.3 Options: Definition and Notation ...........................................................................271 9.4 Options as Volatility Instruments ...........................................................................277 9.5 Tools for Options .................................................................................................... 2M 9.6 The Greeks and Their Uses .................................................................................... -% Contents 9.7 Real-Life Complications .........................................................................................309 9.8 Conclusion: What Is an Option? ............................................................................311 Suggested Reading .........................................................................................................311 Appendix 9.1.................................................................................................................. 3n Appendix 9.2......................................................:........................................................... 313 Exercises .........................................................................................................................315 CHAPTER 10 Engineering Convexity Positions .............................................319 10.1 Introduction ...........................................................................................................320 10.2 A Puzzle ................................................................................................................320 10.3 Bond Convexity Trades ........................................................................................321 10.4 Sources of Convexity ...........................................................................................334 10.5 A Special Instrument: Quantos ............................................................................340 10.6 Conclusions ...........................................................................................................345 Suggested Reading .........................................................................................................346 Exercises .........................................................................................................................346 CHAPTER 11 Options Engineering with Applications .....................................351 11.1 Introduction ...........................................................................................................352 11.2 Option Strategies ..................................................................................................355 11.3 Volatility-Based Strategies ...................................................................................367 11.4 Exotics ..................................................................................................................373 11.5 Quoting Conventions ............................................................................................384 11.6 Real-World Complications ...................................................................................387 11.7 Conclusions ...........................................................................................................388 Suggested Reading .........................................................................................................388 Exercises .........................................................................................................................389 CHAPTER 12 Pricing Tools in Financial Engineering ....................................393 12.1 Introduction ...........................................................................................................394 12.2 Summary of Pricing Approaches .........................................................................395 12.3 The Framework ....................................................................................................396 12.4 An Application .....................................................................................................401 12.5 Implications of the Fundamental Theorem ..........................................................408 12.6 Arbitrage-Free Dynamics ..................................................................................... 415 12.7 Which Pricing Method to Choose? ......................................................................419 12.8 Conclusions ........................................................................... 42q Suggested Reading .......................................................................................... 420 Appendix 12.1: Simple Economics of the Fundamental Theorem ...............................420 Exercises ................................................................................. 422 Contents xi CHAPTER 13 Some Applications of the Fundamental Theorem ......................427 13.1 Introduction ............................................................................. 41^ 13.2 Application 1: The Monte Carlo Approach ......................................................... 42<) 13.3 Application 2: Calibration .................................................................................... 43S 13.4 Application 3: Quantos ......................................................................................... 44s 13.5 Conclusions ...........................................................................................................455 Suggested Reading .........................................................................................................455 Exercises ..........................................................................................................................455 CHAPTER 14 Fixed Income Engineering .....................................................459 14.1 Introduction ........................................................................................................ Ш) 14.2 A Framework for Swaps .................................................................................... 4ΛΙ 14.3 Term Structure Modeling ...................................................................................47 1 14.4 Term Structure Dynamics ..................................................................................47 î 14.5 Measure Change Technology ............................................................................. 4X* 14.6 An Application ................................................................................................... 4SS 14.7 In-Arrears Swaps and Convexity ....................................................................... 4 M 14.8 Cross-Currency Swaps ....................................................................................... 4чх 14.9 Differential (Quanto) Swaps ..............................................................................500 14.10 Conclusions ........................................................................................................501 Suggested Reading .........................................................................................................50* Exercises ......................................................................................................................... CHAPTER 15 Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading .............................................................507 15.1 Introduction ........................................................................................................... 5OX 15.2 Volatility Positions ............................................................................................... 50V 15.3 Invariance of Volatility Payoffs ........................................................................... sl<) 15.4 Pure Volatility Positions .......................................................................................5 IK 15.5 Variance Swaps .................................................................................................... -^ 15.6 Real-World Example of Variance Contract .........................................................53 1 15.7 Volatility and Variance Swaps Before and After the GFC— The Role of Convexity Adjustments? ..................................................................531 15.8 Which Volatility? ................................................................................................. 5}ч 15.9 Conclusions ........................................................................................................... S41 Suggested Reading ......................................................................................................... S4- Exercises .......................................................................................................................... ~ xii Contents CHAPTER 16 Correlation as an Asset Class and the Smile ..........................545 16.1 Introduction to Correlation as an Asset Class ...................................................546 16.2 Volatility as Funding .......................................................................................... 551 16.3 Smile ................................................................................................................... 551 16.4 Dirac Delta Functions ........................................................................................ 16.5 Application to Option Payoffs ...........................................................................554 16.6 Breeden-Litzenberger Simplified .....................................................................558 16.7 A Characterization of Option Prices as Gamma Gains .....................................561 16.8 Introduction to the Smile ...................................................................................562 16.9 Preliminaries ....................................................................................................... 563 16.10 A First Look at the Smile .................................................................................. 564 16.11 What Is the Volatility Smile? ............................................................................565 16.12 Smile Dynamics .................................................................................................574 16.13 How to Explain the Smile ..................................................................................574 16.14 The Relevance of the Smile ...............................................................................582 16.15 Trading the Smile ...............................................................................................583 16.16 Pricing with a Smile ...........................................................................................583 16.17 Exotic Options and the Smile ............................................................................584 16.18 Conclusions ........................................................................................................588 Suggested Reading .........................................................................................................588 Exercises .........................................................................................................................588 CHAPTER 17 Caps/Floors and Swaptions with an Application to Mortgages... 591 17.1 Introduction ...........................................................................................................591 17.2 The Mortgage Market ...........................................................................................592 17.3 Swaptions ..............................................................................................................599 17.4 Pricing Swaptions .................................................................................................601 17.5 Mortgage-Based Securities ...................................................................................607 17.6 Caps and Floors ....................................................................................................608 17.7 Conclusions ............................................................................. 613 Suggested Reading .........................................................................................................613 Exercises .............................................................................. CHAPTER 18 Credit Markets: CDS Engineering ............................................619 18.1 Introduction .................................................................... 620 18.2 Terminology and Definitions ................................................. 621 18.3 Credit Default Swaps ................................................. 623 18.4 Real-World Complications ................................ 636 18.5 CDS Analytics .................................... ZZZZZZZZ ........................640 Contents xiii 18.6 Default Probability Arithmetic .......................................................................... Ml 18.7 Pricing Single-Name CDS ................................................................................. мь 18.8 Comparing CDS to TRS and EDS .....................................................................WS 18.9 Sovereign CDS ...................................................................................................(,50 18.10 Conclusions ..................................................................................................... Suggested Reading ...................................................................................................... Exercises ......................................................................................................................... f,55 CHAPTER 19 Engineering of Equity Instruments and Structural Models of Default ..................................................................659 19.1 Introduction ........................................................................................................... MO 19.2 What Is Equity? .................................................................................................... w»2 19.3 Equity as the Discounted Value of Future Cash Flows ...................................... Ш 19.4 Equity as an Option on the Assets of the Firm ................................................... ŕiM 19.5 Capital Structure Arbitrage .................................................................................. Ы} 19.6 Engineering Equity Products ................................................................................ Ш) 19.7 Conclusions ........................................................................................................... u{)2 Suggested Reading ......................................................................................................... M2 Exercises ...................................................................................................................... CHAPTER 20 Essentials of Structured Product Engineering ...........................695 20.1 Introduction ........................................................................................................... ft% 20.2 Purposes of Structured Products .......................................................................... Wl 20.3 Structured Fixed-Income Products .......................................................................7 ] s 20.4 Some Prototypes ...................................................................................................724 20.5 Conclusions ...........................................................................................................734 Suggested Reading .........................................................................................................7 U Exercises .........................................................................................................................7-М CHAPTER 21 Securitization, ABSs, CDOs, and Credit Structured Products ......739 21.1 Introduction ...........................................................................................................740 21.2 Financial Engineering of Securitization ...............................................................740 21.3 ABSs Versus CDOs ..............................................................................................745 21.4 A Setup for Credit Indices ...................................................................................750 21.5 Index Arbitrage ..................................................................................................... 7<i4 21.6 Tranches: Standard and Bespoke .........................................................................756 21.7 Tranche Modeling and Pricing ............................................................................. 7S7 21.8 The Roll and the Implications .............................................................................. lb2 21.9 Regulation, Credit Risk Management, and Tranche Pricing ............................... 7M xiv Contents 21.10 New Index Markets ............................................................................................767 21.11 Structured Credit Products.................................................................................769 21.12 Conclusions ........................................................................................................776 Suggested Reading .........................................................................................................776 Exercises .........................................................................................................................777 CHAPTER 22 Default Correlation Pricing and Trading ...................................781 22.1 Introduction ........................................................................................................... 7g2 22.2 Two Simple Examples .........................................................................................782 22.3 Standard Tranche Valuation Model .....................................................................789 22.4 Default Correlation and Trading ..........................................................................795 22.5 Delta Hedging and Correlation Trading ..............................................................796 22.6 Real-World Complications ........................................................................ 799 22.7 Default Correlation Case Study: May 2005........................................................801 22.8 Conclusions ................................................................... Suggested Reading .................................................................... Appendix 22.1: Some Basic Statistical Concepts .................................... 8О5 Exercises .......................... on¿ ........................................................................................... бОо CHAPTER 23 Principal Protection Techniques 23.1 Introduction ................................ ......................................... 23.2 The Classical Case .......... ..... ............................................. ¡ l 23.3 TheCPPI ............................................····■■·■■■■-.■.................................................. ХШ 23.4 Modeling the CPPI Dynamics ................... ZZľ.ľ ......................................... Î!J 23.5 An Application: CPPI and Equity Tranches. Z l .............. ........ »к 23.6 Differences Between CPDO and CPPI ..................................... 23.7 A Variant: The DPPI ............................ ....................................................... 23.8 Application of CPPI in the Insurance Sector: iCPPl ...... ....................... 23.9 Real-World Complications.. ........................................... 23.10 Conclusions ......................... ................................................................. 824 Suggested Reading ................... ................................................................. ^ Exercises ........................ .......................................................................826 ..........................................................................................826 Й, aľ:.ľÍPíe CUrVe$ CVA DVA- « ^VA ...........827 24.2 Counterparty Risk ............. ....................................................................827 24.3 Credit Valuation Adjustment .......... ............................................................... 829 24.4 Debit Valuation Adjustment .................................................................... 831 24.5 Bilateral Сошіефалу Risk... ............................................................. 842 ...........................................................................843 Contents xv 24.6 Hedging Counterparty Risk ................................................................................ X4* 24.7 Funding Valuation Adjustment .......................................................................... X45 24.8 CVADesk ........................................................................................................... К4ћ 24.9 Choice of the Discount Rate and Multiple Curves ............................................ S47 24.10 Conclusions ........................................................................................................ Н4Ч Suggested Reading ......................................................................................................... S4l) Exercises ......................................................................................................................... References ..........................................................................................................................................HS Index ..................................................................................................................................................
any_adam_object	1
author	Kosowski, Robert L. Neftci, Salih N.
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isbn	9780123869685
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-027688701
oclc_num	899544030
open_access_boolean
owner	DE-473 DE-BY-UBG DE-521 DE-1050 DE-739 DE-526 DE-11 DE-523
owner_facet	DE-473 DE-BY-UBG DE-521 DE-1050 DE-739 DE-526 DE-11 DE-523
physical	XVIII, 874 S. graph. Darst.
publishDate	2015
publishDateSearch	2015
publishDateSort	2015
publisher	Elsevier
record_format	marc
spelling	Kosowski, Robert L. Verfasser (DE-588)1064273645 aut Principles of financial engineering Robert L. Kosowski ; Salih N. Neftci 3. ed. Amsterdam [u.a.] Elsevier 2015 XVIII, 874 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Financial engineering Börse (DE-588)4007502-3 gnd rswk-swf Financial Engineering (DE-588)4208404-0 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 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 Börse (DE-588)4007502-3 s Finanzwirtschaft (DE-588)4017214-4 s Neftci, Salih N. Verfasser aut Bis 2. Aufl. u.d.T. Neftci, Salih N.: Principles of financial engineering Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027688701&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Kosowski, Robert L. Neftci, Salih N. Principles of financial engineering Financial engineering Börse (DE-588)4007502-3 gnd Financial Engineering (DE-588)4208404-0 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Finanzinnovation (DE-588)4124975-6 gnd
subject_GND	(DE-588)4007502-3 (DE-588)4208404-0 (DE-588)4017214-4 (DE-588)4124975-6
title	Principles of financial engineering
title_auth	Principles of financial engineering
title_exact_search	Principles of financial engineering
title_full	Principles of financial engineering Robert L. Kosowski ; Salih N. Neftci
title_fullStr	Principles of financial engineering Robert L. Kosowski ; Salih N. Neftci
title_full_unstemmed	Principles of financial engineering Robert L. Kosowski ; Salih N. Neftci
title_old	Neftci, Salih N.: Principles of financial engineering
title_short	Principles of financial engineering
title_sort	principles of financial engineering
topic	Financial engineering Börse (DE-588)4007502-3 gnd Financial Engineering (DE-588)4208404-0 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Finanzinnovation (DE-588)4124975-6 gnd
topic_facet	Financial engineering Börse Financial Engineering Finanzwirtschaft Finanzinnovation
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027688701&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT kosowskirobertl principlesoffinancialengineering AT neftcisalihn principlesoffinancialengineering

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