Opis: The Financial Times Handbook of Financial Engineering - Lawrence Galitz

The Financial Times Handbook of Financial Engineering clearly explains the tools of financial engineering, showing you the formulas behind the tools, illustrating how they are applied, priced and hedged. All applications in this book are illustrated with fully-worked practical examples, and recommended tactics and techniques are tested using recent data.PART ONE - TOOLS Chapter One Introduction 1.1 Forty years of evolution 1.2 What is financial engineering? 1.3 The nature of risk 1.4 Financial engineering and risk 1.5 Layout of this book Chapter Two The Cash Markets 2.1 Overview of financial markets 2.2 The foreign exchange market 2.3 The money markets 2.4 The bond markets 2.5 The equities markets 2.6 The commodities markets 2.7 Cash instruments vs. derivatives 2.8 Capital adequacy requirements Chapter Three Forward Rates 3.1 Forward exchange rates 3.2 Forward interest rates 3.3 Do forward rates predict future spot rates? 3.4 Spot and forward rates in practice Chapter Four FRAs 4.1 What is an FRA? 4.2 Definitions 4.3 Terminology 4.4 The settlement process 4.5 Hedging with FRAs 4.6 Pricing FRAs 4.7 Behaviour of FRA prices Chapter Five Financial Futures 5.1 A brief history of futures markets 5.2 What is a financial future? 5.3 Futures trading - from pits to screens 5.4 Buying and selling 5.5 The clearing mechanism 5.6 Futures margins 5.7 Physical delivery versus cash settlement 5.8 Futures and cash markets compared 5.9 The advantages of futures Chapter Six Short-Term Interest Rate Futures 6.1 Definitions 6.2 STIR contracts pricing 6.3 Basis 6.4 Convergence 6.5 Behaviour of futures prices 6.6 Basic hedging example 6.7 Short-term futures contracts compared 6.8 Comparison of futures and FRAs 6.9 Spread positions Chapter Seven Bond and Stock Index Futures 7.1 Definition of bond futures contracts 7.2 The cheapest to deliver bond 7.3 Cash and carry pricing for bond futures 7.4 The implied repo rate 7.5 The delivery mechanism 7.6 Basic hedging with bond futures 7.7 Stock indices and stock index futures 7.8 Definition of stock index futures contracts 7.9 Advantages of using stock index futures 7.10 Cash and carry pricing for stock index futures 7.11 Stock index futures prices in practice 7.12 Turning cash into share portfolios and share portfolios into cash Chapter Eight Swaps 8.1 Definition of interest rate and cross-currency swaps 8.2 Development of the swap market 8.3 Interest rate swaps 8.4 Non-standard interest rate swaps 8.5 Overnight indexed swaps 8.6 Cross-currency swaps 8.7 Basic applications for swaps 8.8 Asset swaps 8.9 CMS and CMT swaps 8.10 Inflation swaps 8.11 Equity swaps 8.12 Commodity swaps 8.13 Volatility and variance swaps 8.14 Exotic swaps 8.15 ISDA documentation 8.16 Changes in market infrastructure after the credit crisis Chapter Nine Pricing and Valuing Swaps 9.1Principles of swap valuation and pricing 9.2 Discount factors and the discount function 9.3Calculating discount factors from swap and forward rates 9.4 Generating the discount function 9.5 Relationship between zero, swap, and forward rates 9.6 Valuation and pricing of interest rate swaps 9.7 Valuation and pricing of currency swaps 9.8 Cancelling a swap 9.9 Hedging swaps with futures 9.10 The convexity correction 9.11 Credit risk of swaps 9.12 Collateralised vs. Non-collateralised swaps 9.13 LIBOR-OIS discounting Chapter Ten Options - Basics and Pricing 10.1 Why options are different 10.2 Definitions 10.3 Options terminology 10.4 Value and profit profiles at maturity 10.5 Pricing options 10.6 The behaviour of financial prices 10.7 The Black Scholes model 10.8 The binomial approach 10.9 The Monte Carlo approach 10.10 Finite difference methods. Chapter TenA Options - Volatility and the Greeks 10A.1 Volatility 10A.2 Volatility smiles and skews 10A.3 The VIX 10A.4 Value profiles prior to maturity 10A.5 How options behave 10A.6 Delta hedging Chapter Eleven Options - From Building Blocks to Portfolios 11.1 The building block approach 11.2 Option spreads - horizontal, vertical, and diagonal 11.3 Volatility structures 11.4 Arbitrage structures Chapter Twelve Interest Rate and Exotic Options 12.1 Why interest rate options are different 12.2 Caps, floors, and collars 12.3 Swaptions 12.4 Cancellable and extendible swaps 12.5Pricing interest rate options 12.6 Compound options 12.7 Exotic options 12.8 Path-dependent options 12.9 Digital options 12.10 Multivariate options 12.11 Other exotic options 12.12 Pricing exotic options 12.13 Price comparisons between exotic options 12.14 Embedded options Chapter Thirteen Introducing Credit Derivatives 13.1 Development of the credit derivatives market 13.2 Motivations for using credit derivatives 13.3 Introducing Credit Default Swaps (CDS) 13.4 Market conventions 13.5 Credit events and Determination Committees 13.6 Capital structure, recovery rates, reference and deliverable obligations 13.7 Settlement methods and auctions 13.8 Other aspects of CDS Chapter ThirteenA CDS Pricing and Credit Indices 13A.1 A Simple CDS Pricing Model 13A.2 Obtaining Default Probabilities 13A.3 Developing a Multi-period Framework 13A.4 The ISDA CDS Standard Model 13A.5 Bootstrapping Default Probabilities 13A.6 8Calculating Up-front Payments 13A.7 Mark-to-market and CDS Valuation 13A.8 PV01 and SDV01 13A.9 How Credit Indices Developed 13A.10 The CDX and iTraxx Credit Indices 13A.11 Market Quotations and Statistics 13A.12 Other Credit Indices 13A.13 Index Tranches PART TWO - TECHNIQUES Chapter Fourteen Applications for Financial Engineering 14.1 Applications of financial engineering 14.2 Sources of financial risk 14.3 Accounting and economic risk 14.4 Defining hedging objectives 14.5 Measuring hedge efficiency 14.6 The finance division as a profit centre Chapter Fifteen Managing Currency Risk 15.1 Forwards and futures solutions 15.2 Options are chameleons 15.3 How FX options are different 15.4 The scenario 15.5 Comparing hedging strategies 15.6 Basic option hedges 15.7 Selling options within a hedging programme 15.8 Collars, range-forwards, forward-bands, cylinders 15.9Spread hedges 15.10 Participating forwards 15.11 Ratio forwards 15.12 Break-forwards, FOXs, forward-reversing options 15.13 Flexi-forwards 15.14 Using exotic options 15.15 Selling options outside a hedging programme 15.16 Dynamic hedging 15.17 Which strategy is best? Chapter Sixteen Managing Interest-Rate Risk using FRAs, Futures and Swaps 16.1 Using FRAs 16.2 Using short-term interest rate futures 16.3 Calculating the hedge ratio 16.4 Stack vs. strip hedges 16.5 Different kinds of basis risk 16.6 Managing the convergence basis 16.7 Interpolated hedges 16.8 Combining the techniques 16.9 FRAs vs. futures 16.10 Using swaps 16.11 Hedging bond and swap portfolios 16.12 Hedging bond portfolios with bond futures Chapter Seventeen Managing Interest-Rate Risk - Using Options and Option-Based Instruments 17.1 Interest rate guarantees 17.2 Using caps, floors, and collars 17.3 Collars, participating caps, spread-hedges, and other variations 17.4 Using captions and swaptions 17.5 Comparison of interest risk management tools Chapter Eighteen Managing Equity Risk 18.1 Bull and bear strategies 18.2 Return enhancement 18.3 Value protection strategies 18.4 Vertical, horizontal, and diagonal spreads 18.5 Other option strategies 18.6 Using stock index futures and options 18.7 Portfolio insurance 18.8 Guaranteed equity funds 18.9 Warrants and convertibles 18.10 Exotic equity derivatives Chapter Nineteen Managing Commodity Risk 19.1 Commodity risk 19.2 Creating commodity derivatives 19.3 Using commodity derivatives 19.4 Hybrid commodity derivatives Chapter Twenty Managing Credit Risk 20.1 Hedging default risk 20.2 Hedging credit risk 20.3 Generating income 20.4 Trading strategies using CDS 20.5 Implementing directional views 20.6 Monetising relative credit views 20.7 Basis trades 20.8 Curve trades 20.9 Index trades Chapter Twenty-One StructuredProducts 21.1 Understanding structured products 21.2 How structured products are built 21.3 Features of structured products 21.4 Principal-protected notes 21.5 Buffered and capped notes 21.6 Leveraged structures 21.7 Path-dependent structures 21.8 Digital and range-accrual structures 21.9 Correlation structures 21.10 Redeeming structured products prior to maturity 21.11Finale

Szczegóły: The Financial Times Handbook of Financial Engineering - Lawrence Galitz

Tytuł: The Financial Times Handbook of Financial Engineering
Autor: Lawrence Galitz
Producent: FT Publishing International
ISBN: 9780273742401
Rok produkcji: 2013
Ilość stron: 768
Oprawa: Miękka
Waga: 1.27 kg

Recenzje: The Financial Times Handbook of Financial Engineering - Lawrence Galitz