Principles of financial engineering
(eBook)
Author
Contributors
Neftci, Salih N., author.
Published
San Diego, CA : Academic Press, 2015.
Format
eBook
Edition
Third edition.
ISBN
0123870070, 9780123870070
Physical Desc
1 online resource (1 volume) : illustrations
Status
Description
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Also in this Series
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Subjects
LC Subjects
More Details
Language
English
Notes
Bibliography
Includes bibliographical references and index.
Description
Three new chapters, numerous additions to existing chapters, and an expanded collection of questions and exercises make this third edition of Principles of Financial Engineering essential reading. Between defining swaps on its first page and presenting a case study on its last, Robert Kosowski and Salih Neftci's introduction to financial engineering shows readers how to create financial assets in static and dynamic environments. Poised among intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pric.
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Citations
APA Citation, 7th Edition (style guide)
Kosowski, R., & Neftci, S. N. (2015). Principles of financial engineering (Third edition.). Academic Press.
Chicago / Turabian - Author Date Citation, 17th Edition (style guide)Kosowski, Robert and Salih N., Neftci. 2015. Principles of Financial Engineering. Academic Press.
Chicago / Turabian - Humanities (Notes and Bibliography) Citation, 17th Edition (style guide)Kosowski, Robert and Salih N., Neftci. Principles of Financial Engineering Academic Press, 2015.
MLA Citation, 9th Edition (style guide)Kosowski, Robert,, and Salih N. Neftci. Principles of Financial Engineering Third edition., Academic Press, 2015.
Note! Citations contain only title, author, edition, publisher, and year published. Citations should be used as a guideline and should be double checked for accuracy. Citation formats are based on standards as of August 2021.
Staff View
Grouped Work ID
a5776ed3-25a5-a993-9c8e-6f12cf40c49c-eng
Grouping Information
| Grouped Work ID | a5776ed3-25a5-a993-9c8e-6f12cf40c49c-eng |
|---|---|
| Full title | principles of financial engineering |
| Author | kosowski robert |
| Grouping Category | book |
| Last Update | 2024-09-06 16:31:08PM |
| Last Indexed | 2024-09-28 03:58:15AM |
Book Cover Information
| Image Source | syndetics |
|---|---|
| First Loaded | Sep 9, 2024 |
| Last Used | Sep 9, 2024 |
Marc Record
| First Detected | Jul 29, 2024 04:01:26 PM |
|---|---|
| Last File Modification Time | Sep 06, 2024 04:35:46 PM |
MARC Record
| LEADER | 05516cam a2200517 i 4500 | ||
|---|---|---|---|
| 001 | ocn903609675 | ||
| 003 | OCoLC | ||
| 005 | 20240830103855.0 | ||
| 006 | m o d | ||
| 007 | cr unu|||||||| | ||
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| 082 | 0 | 4 | |a 338.12093478 |
| 100 | 1 | |a Kosowski, Robert,|e author. | |
| 245 | 1 | 0 | |a Principles of financial engineering /|c Robert Kosowski, Salih N. Neftci. |
| 250 | |a Third edition. | ||
| 264 | 1 | |a San Diego, CA :|b Academic Press,|c 2015. | |
| 300 | |a 1 online resource (1 volume) :|b illustrations | ||
| 336 | |a text|b txt|2 rdacontent | ||
| 337 | |a computer|b c|2 rdamedia | ||
| 338 | |a online resource|b cr|2 rdacarrier | ||
| 490 | 1 | |a Academic Press Advanced Finance | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Front Cover; Principles of Financial Engineering; Copyright Page; Dedication; Contents; Preface to the Third Edition; 1 Introduction; 1.1 A Unique Instrument; 1.1.1 Buying a Default-Free Bond; 1.1.2 Buying Stocks; 1.1.3 Buying a Defaultable Bond; 1.1.4 First Conclusions; 1.2 A Money Market Problem; 1.2.1 The Problem; 1.2.2 Solution; 1.2.3 Some Implications; 1.3 A Taxation Example; 1.3.1 The Problem; 1.3.1.1 Another strategy; 1.3.2 Implications; 1.4 Some Caveats for What Is to Follow; 1.5 Trading Volatility; 1.5.1 A Volatility Trade; 1.5.2 Recap; 1.6 Conclusions; Suggested Reading; Exercises. | |
| 505 | 8 | |a 2 Institutional Aspects of Derivative Markets2.1 Introduction; 2.2 Markets; 2.2.1 Euromarkets; 2.2.1.1 Eurocurrency markets; 2.2.1.2 Eurobond markets; 2.2.1.3 Other Euromarkets; 2.2.2 Onshore Markets; 2.2.2.1 Futures and options exchanges; 2.2.2.2 Futures compared with forward contracts; 2.2.3 Changes to the Infrastructure of Derivatives Markets Following the GFC; 2.3 Players; 2.4 The Mechanics of Deals; 2.4.1 Orders; 2.4.2 Confirmation and Settlement; 2.4.2.1 Regulatory update following the GFC; 2.5 Market Conventions; 2.5.1 What to Quote; 2.6 Instruments; 2.7 Positions. | |
| 505 | 8 | |a 2.7.1 Long and Short Positions2.7.1.1 Payoff diagrams; 2.7.1.2 Real-world complications and short selling; 2.7.2 Payoff Diagrams for Forwards and Futures; 2.7.3 Types of Positions; 2.7.3.1 Arbitrage; 2.7.3.2 Comparing performance; 2.8 The Syndication Process; 2.8.1 Selling Securities in the Primary Market; 2.8.1.1 Syndication of a bond versus a syndicated loan; 2.9 Conclusions; Suggested Reading; Exercises; 3 Cash Flow Engineering, Interest Rate Forwards and Futures; 3.1 Introduction; 3.2 What Is a Synthetic?; 3.2.1 Cash Flows; 3.2.1.1 Cash flows in different currencies. | |
| 505 | 8 | |a 3.2.1.2 Cash flows with different market risks3.2.1.3 Cash flows with different credit risks; 3.2.1.4 Cash flows with different volatilities; 3.3 Engineering Simple Interest Rate Derivatives; 3.3.1 A Convergence Trade; 3.3.2 Yield Curve; 3.4 LIBOR and Other Benchmarks; 3.5 Fixed Income Market Conventions; 3.5.1 How to Quote Yields; 3.5.2 Day-Count Conventions; 3.5.2.1 Holiday conventions; 3.5.3 Two Examples; 3.6 A Contractual Equation; 3.6.1 Forward Loan; 3.6.2 Replication of a Forward Loan; 3.6.2.1 Bond market replication; 3.6.2.2 Pricing; 3.6.2.3 Arbitrage; 3.6.2.4 Money market replication. | |
| 505 | 8 | |a 3.6.2.5 Pricing3.6.3 Contractual Equations; 3.6.4 Applications; 3.6.4.1 Application 1: creating a synthetic bond; 3.6.4.2 Application 2: covering a mismatch; 3.7 Forward Rate Agreements; 3.7.1 Eliminating the Credit Risk; 3.7.2 Definition of the FRA; 3.7.2.1 An interpretation; 3.7.3 FRA Contractual Equation; 3.7.3.1 Application: FRA strips; 3.8 Fixed Income Risk Measures: Duration, Convexity and Value-at-Risk; 3.8.1 DV01 and PV01; 3.8.1.1 Dollar duration DV01; 3.8.1.2 PV01; 3.8.2 Duration; 3.8.3 Convexity; 3.8.4 Immunization. | |
| 520 | |a Three new chapters, numerous additions to existing chapters, and an expanded collection of questions and exercises make this third edition of Principles of Financial Engineering essential reading. Between defining swaps on its first page and presenting a case study on its last, Robert Kosowski and Salih Neftci's introduction to financial engineering shows readers how to create financial assets in static and dynamic environments. Poised among intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pric. | ||
| 588 | 0 | |a Print version record. | |
| 650 | 0 | |a Financial engineering.|0 http://id.loc.gov/authorities/subjects/sh91003887 | |
| 650 | 0 | |a Finance.|0 http://id.loc.gov/authorities/subjects/sh85048256 | |
| 700 | 1 | |a Neftci, Salih N.,|e author.|0 http://id.loc.gov/authorities/names/n80147404 | |
| 758 | |i has work:|a Principles of financial engineering (Text)|1 https://id.oclc.org/worldcat/entity/E39PCGryR779wrKhhGvdYDJDmd|4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version :|a Kosowski, Robert.|t Principles of financial engineering.|d [S.l.] : Elsevier Academic Press, 2014|z 0123869684|w (OCoLC)814372753 |
| 830 | 0 | |a Academic Press Advanced Finance. | |
| 856 | 4 | 0 | |u https://www.aclib.us/OReilly |