Five 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, 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, pricing. The third edition presents five new chapters on structured product engineering, credit markets and instruments, and principle protection techniques, among other topicsAdditions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should actThe solutions manual enhances the text by presenting additional cases and solutions to exercises INDICE: 1. Introduction2. The Hedge Fund Industry3. Cash Flow Engineering and Forward Contracts4. Engineering Simple Interest Rate Derivatives5. Introduction to Swap Engineering6. Repo Market Strategies in Financial Engineering7. Dynamic Replication Methods and Synthetics8. Mechanics of Options9. Engineering Convexity Positions10. Options Engineering With Applications11. Pricing Tools in Financial Engineering12. Some Applications of the Fundamental Theorem13. Fixed-Income Engineering14. Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading15. Volatility as an Asset Class and the Smile16. Credit Markets: CDS Engineering17. Essentials of Structured Product Engineering18. Credit Indices and their Tranches19. Default Correlation Pricing and Trading20. Principle Protection Techniques21. Caps/Floors and Swaptions with an Application to Mortgages22. Engineering of Equity Instruments: Pricing and Replication
- ISBN: 978-0-12-386968-5
- Editorial: Academic Press
- Encuadernacion: Cartoné
- Páginas: 700
- Fecha Publicación: 13/07/2014
- Nº Volúmenes: 1
- Idioma: Inglés