Kooperativer Bibliotheksverbund

UID:

Umfang: 1 online resource (xix, 627 pages) : , digital, PDF file(s).

Ausgabe: 1st ed.

ISBN: 1-139-93089-3 , 1-107-12041-1 , 1-280-42980-1 , 0-511-17591-4 , 0-511-04094-6 , 0-511-15660-X , 0-511-32262-3 , 0-511-54683-1 , 0-511-04606-5

Inhalt: Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more.

Anmerkung: Title from publisher's bibliographic system (viewed on 05 Oct 2015). , Cover; Half-title; Title; Copyright; Dedication; Contents; Preface; Useful Abbreviations; CHAPTER ONE Introduction; CHAPTER TWO Analysis of Algorithms; CHAPTER THREE Basic Financial Mathematics; CHAPTER FOUR Bond Price Volatility; CHAPTER FIVE Term Structure of Interest Rates; CHAPTER SIX Fundamental Statistical Concepts; CHAPTER SEVEN Option Basics; CHAPTER EIGHT Arbitrage in Option Pricing; CHAPTER NINE Option Pricing Models; CHAPTER TEN Sensitivity Analysis of Options; CHAPTER ELEVEN Extensions of Options Theory; CHAPTER TWELVE Forwards, Futures, Futures Options, Swaps , CHAPTER THIRTEEN Stochastic Processes and Brownian Motion CHAPTER FOURTEEN Continuous-Time Financial Mathematics; CHAPTER FIFTEEN Continuous-Time Derivatives Pricing; CHAPTER SIXTEEN Hedging; CHAPTER SEVENTEEN Trees; CHAPTER EIGHTEEN Numerical Methods; CHAPTER NINETEEN Matrix Computation; CHAPTER TWENTY Time Series Analysis; CHAPTER TWENTY-ONE Interest Rate Derivative Securities; CHAPTER TWENTY-TWO Term Structure Fitting; CHAPTER TWENTY-THREE Introduction to Term Structure Modeling; CHAPTER TWENTY-FOUR Foundations of Term Structure Modeling , CHAPTER TWENTY-FIVE Equilibrium Term Structure Models CHAPTER TWENTY-SIX No-Arbitrage Term Structure Models; CHAPTER TWENTY-SEVEN Fixed-Income Securities; CHAPTER TWENTY-EIGHT Introduction to Mortgage-Backed Securities; CHAPTER TWENTY-NINE Analysis of Mortgage-Backed Securities; CHAPTER THIRTY Collateralized Mortgage Obligations; CHAPTER THIRTY-ONE Modern Portfolio Theory; CHAPTER THIRTY-TWO Software; CHAPTER THIRTY-THREE Answers to Selected Exercises; Bibliography; Glossary of Useful Notations; Index , English

Weitere Ausg.: ISBN 0-521-78171-X

Sprache: Englisch

Fachgebiete: Wirtschaftswissenschaften

URL: https://doi.org/10.1017/CBO9780511546839

URL: https://doi.org/10.1017/CBO9780511546839

URL: Volltext  (lizenzpflichtig)

URL: Inhaltstext

URL: Volltext  (lizenzpflichtig)

URL: Inhaltstext

UID:

Umfang: 1 online resource (649 pages)

Ausgabe: 1st ed.

ISBN: 9780521781718 , 9780511156601

Inhalt: This comprehensive text and reference, first published in 2002, combines the theory behind financial engineering with numerous algorithms for pricing, risk management, and portfolio management. It offers a thorough grounding in the subject for students and researchers in computational finance, system analysts, and financial engineers. Java programs for the Web are available from the book's home page

Anmerkung: Cover -- Half-title -- Title -- Copyright -- Dedication -- Contents -- Preface -- Intended Audience -- Presentation -- Software -- Organization -- Acknowledgments -- Useful Abbreviations -- Acronyms -- Ticker Symbols -- CHAPTER ONE Introduction -- 1.1 Modern Finance: A Brief History -- 1.2 Financial Engineering and Computation -- 1.3 Financial Markets -- 1.4 Computer Technology -- NOTES -- CHAPTER TWO Analysis of Algorithms -- 2.1 Complexity -- 2.2 Analysis of Algorithms -- 2.3 Description of Algorithms -- 2.4 Software Implementation -- NOTE -- CHAPTER THREE Basic Financial Mathematics -- 3.1 Time Value of Money -- 3.1.1 Efficient Algorithms for Present and Future Values -- 3.1.2 Conversion between Compounding Methods -- 3.1.3 Simple Compounding -- 3.2 Annuities -- 3.3 Amortization -- 3.4 Yields -- 3.4.1 Internal Rate of Return -- 3.4.2 Net Present Value -- 3.4.3 Numerical Methods for Finding Yields -- The Bisection Method -- The Newton-Raphson Method -- 3.4.4 Solving Systems of Nonlinear Equations -- 3.5 Bonds -- 3.5.1 Valuation -- 3.5.2 Price Behaviors -- 3.5.3 Day Count Conventions -- 3.5.4 Accrued Interest -- 3.5.5 Yield for a Portfolio of Bonds -- 3.5.6 Components of Return -- Additional Reading -- NOTES -- CHAPTER FOUR Bond Price Volatility -- 4.1 Price Volatility -- 4.2 Duration -- 4.2.1 Continuous Compounding -- 4.2.2 Immunization -- 4.2.3 Macaulay Duration of Floating-Rate Instruments -- 4.2.4 Hedging -- 4.3 Convexity -- Additional Reading -- NOTE -- CHAPTER FIVE Term Structure of Interest Rates -- 5.1 Introduction -- 5.2 Spot Rates -- 5.3 Extracting Spot Rates from Yield Curves -- 5.4 Static Spread -- 5.5 Spot Rate Curve and Yield Curve -- 5.6 Forward Rates -- 5.6.1 Locking in the Forward Rate -- 5.6.2 Term Structure of Credit Spreads -- 5.6.3 Spot and Forward Rates under Continuous Compounding , 17.3 Pricing Multivariate Contingent Claims , 5.6.4 Spot and Forward Rates under Simple Compounding -- 5.7 Term Structure Theories -- 5.7.1 Expectations Theory -- Unbiased Expectations Theory -- Other Versions of the Expectations Theory -- 5.7.2 Liquidity Preference Theory -- 5.7.3 Market Segmentation Theory -- 5.8 Duration and Immunization Revisited -- 5.8.1 Duration Measures -- 5.8.2 Immunization -- The Case of NO Rate Changes -- The Case of Certain Rate Movements -- Additional Reading -- NOTES -- CHAPTER SIX Fundamental Statistical Concepts -- 6.1 Basics -- 6.1.1 Generalization to Higher Dimensions -- 6.1.2 The Normal Distribution -- 6.1.3 Generation of Univariate and Bivariate Normal Distributions -- 6.1.4 The Lognormal Distribution -- 6.2 Regression -- 6.3 Correlation -- 6.4 Parameter Estimation -- 6.4.1 The Least-Squares Method -- 6.4.2 The Maximum Likelihood Estimator -- 6.4.3 The Method of Moments -- Additional Reading -- NOTES -- CHAPTER SEVEN Option Basics -- 7.1 Introduction -- 7.2 Basics -- 7.3 Exchange-Traded Options -- 7.4 Basic Option Strategies -- 7.4.1 Hedge -- 7.4.2 Spread -- 7.4.3 Combination -- NOTES -- CHAPTER EIGHT Arbitrage in Option Pricing -- 8.1 The Arbitrage Argument -- 8.2 Relative Option Prices -- 8.3 Put-Call Parity and Its Consequences -- 8.4 Early Exercise of American Options -- 8.5 Convexity of Option Prices -- 8.6 The Option Portfolio Property -- Concluding Remarks and Additional Reading -- CHAPTER NINE Option Pricing Models -- 9.1 Introduction -- 9.2 The Binomial Option Pricing Model -- 9.2.1 Options on a Non-Dividend-Paying Stock: Single Period -- 9.2.2 Risk-Neutral Valuation -- 9.2.3 Options on a Non-Dividend-Paying Stock: Multiperiod -- A Numerical Example -- 9.2.4 Numerical Algorithms for European Options -- Binomial Tree Algorithms -- An Optimal Algorithm -- The Monte Carlo Method -- The Recursive Formulation and Its Algorithms , 9.3 The Black-Scholes Formula -- 9.3.1 Distribution of the Rate of Return -- 9.3.2 Toward the Black-Scholes Formula -- Tabulating Option Values -- 9.3.3 The Black-Scholes Model and the BOPM -- 9.4 Using the Black-Scholes Formula -- 9.4.1 Interest Rate -- 9.4.2 Estimating the Volatility from Historical Data -- 9.4.3 Implied Volatility -- 9.5 American Puts on a Non-Dividend-Paying Stock -- 9.6 Options on a Stock that Pays Dividends -- 9.6.1 European Options on a Stock that Pays a Known Dividend Yield -- 9.6.2 American Options on a Stock that Pays a Known Dividend Yield -- 9.6.3 Options on a Stock that Pays Known Dividends -- A Simplifying Assumption -- 9.6.4 Options on a Stock that Pays a Continuous Dividend Yield -- 9.7 Traversing the Tree Diagonally -- Additional Reading -- NOTES -- CHAPTER TEN Sensitivity Analysis of Options -- 10.1 Sensitivity Measures ("The Greeks") -- 10.1.1 Delta -- 10.1.2 Theta -- 10.1.3 Gamma -- 10.1.4 Vega -- 10.1.5 Rho -- 10.2 Numerical Techniques -- 10.2.1 Why Numerical Differentiation Fails -- 10.2.2 Extended Binomial Tree Algorithms -- NOTE -- CHAPTER ELEVEN Extensions of Options Theory -- 11.1 Corporate Securities -- 11.1.1 Risky Zero-Coupon Bonds and Stock -- Numerical Illustrations -- Conflicts between Stockholders and Bondholders -- Subordinated Debts -- 11.1.2 Warrants -- 11.1.3 Callable Bonds -- 11.1.4 Convertible Bonds -- Convertible Bonds with Call Provisions -- 11.2 Barrier Options -- 11.2.1 Bonds with Safety Covenants -- 11.2.2 Nonconstant Barrier -- 11.2.3 Other Types of Barrier Options -- 11.3 Interest Rate Caps and Floors -- 11.4 Stock Index Options -- 11.5 Foreign Exchange Options -- 11.5.1 The Black-Scholes Model for Forex Options -- 11.5.2 Some Pricing Relations -- 11.6 Compound Options -- 11.7 Path-Dependent Derivatives -- Additional Reading -- NOTES , CHAPTER TWELVE Forwards, Futures, Futures Options, Swaps -- 12.1 Introduction -- 12.2 Forward Contracts -- 12.2.1 Forward Exchange Rate -- Spot and Forward Exchange Rates -- 12.2.2 Forward Price -- The Underlying Asset Pays No Income -- The Underlying Asset Pays Predictable Income -- The Underlying Asset Pays a Continuous Dividend Yield -- 12.3 Futures Contracts -- 12.3.1 Daily Cash Flows -- 12.3.2 Forward and Futures Prices -- 12.3.3 Stock Index Futures -- 12.3.4 Forward and Futures Contracts on Currencies -- 12.3.5 Futures on Commodities and the Cost of Carry -- 12.4 Futures Options and Forward Options -- 12.4.1 Pricing Relations -- 12.4.2 The Black Model -- 12.4.3 Binomial Model for Forward and Futures Options -- 12.5 Swaps -- 12.5.1 Currency Swaps -- 12.5.2 Valuation of Currency Swaps -- As a Package of Cash Market Instruments -- As a Package of Forward Contracts -- Additional Reading -- NOTES -- CHAPTER THIRTEEN Stochastic Processes and Brownian Motion -- 13.1 Stochastic Processes -- 13.2 Martingales ("Fair Games") -- 13.2.1 Martingale Pricing and Risk-Neutral Valuation -- 13.2.2 Futures Price under the Binomial Model -- 13.2.3 Martingale Pricing and the Choice of Numeraire -- 13.3 Brownian Motion -- 13.3.1 Brownian Motion as the Limit of a Random Walk -- 13.3.2 Geometric Brownian Motion -- 13.3.3 Stationarity -- 13.3.4 Variations -- 13.4 Brownian Bridge -- Additional Reading -- NOTES -- CHAPTER FOURTEEN Continuous-Time Financial Mathematics -- 14.1 Stochastic Integrals -- 14.2 Ito Processes -- 14.2.1 Discrete Approximations -- 14.2.2 Trading and the Ito Integral -- 14.2.3 Ito's Lemma -- 14.3 Applications -- 14.3.1 The Ornstein-Uhlenbeck Process -- 14.3.2 The Square-Root Process -- 14.4 Financial Applications -- 14.4.1 Transactions Costs -- 14.4.2 Stochastic Interest Rate Models -- The Merton Model -- Duration under Parallel Shifts , Immunization under Parallel Shifts Revisited -- 14.4.3 Modeling Stock Prices -- Continuous-Time Limit of the Binomial Model -- Additional Reading -- NOTE -- CHAPTER FIFTEEN Continuous-Time Derivatives Pricing -- 15.1 Partial Differential Equations -- 15.2 The Black-Scholes Differential Equation -- 15.2.1 Merton's Derivation -- Continuous Adjustments -- Number of Random Sources -- Risk-Neutral Valuation -- 15.2.2 Solving the Black-Scholes Equation for European Calls -- 15.2.3 Initial and Boundary Conditions -- 15.3 Applications -- 15.3.1 Continuous Dividend Yields -- 15.3.2 Futures and Futures Options -- 15.3.3 Average-Rate and Average-Strike Options -- 15.3.4 Options on More than One Asset: Correlation Options -- 15.3.5 Exchange Options -- 15.3.6 Options on Foreign Currencies and Assets -- Foreign Equity Options -- Foreign Domestic Options -- Cross-Currency Options -- Quanto Options -- 15.3.7 Convertible Bonds with Call Provisions -- 15.4 General Derivatives Pricing -- 15.5 Stochastic Volatility -- Additional Reading -- NOTE -- CHAPTER SIXTEEN Hedging -- 16.1 Introduction -- 16.2 Hedging and Futures -- 16.2.1 Futures and Spot Prices -- 16.2.2 Hedgers, Speculators, and Arbitragers -- 16.2.3 Perfect and Imperfect Hedging -- Cross Hedge -- Hedge Ratio (Delta) -- 16.2.4 Hedging with Stock Index Futures -- 16.3 Hedging and Options -- 16.3.1 Delta Hedge -- A Numerical Example -- 16.3.2 Delta-Gamma and Vega-Related Hedges -- 16.3.3 Static Hedging -- Additional Reading -- NOTE -- CHAPTER SEVENTEEN Trees -- 17.1 Pricing Barrier Options with Combinatorial Methods -- 17.1.1 The Reflection Principle -- 17.1.2 Combinatorial Formulas for Barrier Options -- 17.1.3 Convergence of Binomial Tree Algorithms -- 17.1.4 Double-Barrier Options -- 17.2 Trinomial Tree Algorithms -- 17.2.1 Pricing Barrier Options -- 17.2.2 Remarks on Algorithm Comparison

Weitere Ausg.: Print version Lyuu, Yuh-Dauh Financial Engineering and Computation Cambridge : Cambridge University Press,c2001 ISBN 9780521781718

Sprache: Englisch

Schlagwort(e): Electronic books

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Umfang: xix, 627 p. : , ill.

Ausgabe: Electronic reproduction. Ann Arbor, MI : ProQuest, 2016. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.

ISBN: 9780511156601

Sprache: Englisch

Schlagwort(e): Electronic books.

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