Principles of Financial Engineering, Third Edition

✍ Scribed by Robert Kosowski, Salih N. Neftci

Publisher: Academic Press
Year: 2014
Tongue: English
Leaves: 868
Series: Academic Press Advanced Finance
Edition: 3
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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 Neftcis 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 three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics.
Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act
The solutions manual enhances the text by presenting additional cases and solutions to exercises

✦ Table of Contents

Content:
Front-matter, Pages i,iii
Copyright, Page iv
Dedication, Page v
Preface to the Third Edition, Pages xvii-xviii
Chapter 1 - Introduction, Pages 1-23
Chapter 2 - Institutional Aspects of Derivative Markets, Pages 25-52
Chapter 3 - Cash Flow Engineering, Interest Rate Forwards and Futures, Pages 53-106
Chapter 4 - Introduction to Interest-Rate Swap Engineering, Pages 107-147
Chapter 5 - Repo Market Strategies in Financial Engineering, Pages 149-173
Chapter 6 - Cash Flow Engineering in Foreign Exchange Markets, Pages 175-210
Chapter 7 - Cash Flow Engineering and Alternative Classes (Commodities and Hedge Funds), Pages 211-236
Chapter 8 - Dynamic Replication Methods and Synthetics Engineering, Pages 237-266
Chapter 9 - Mechanics of Options, Pages 267-318
Chapter 10 - Engineering Convexity Positions, Pages 319-349
Chapter 11 - Options Engineering with Applications, Pages 351-392
Chapter 12 - Pricing Tools in Financial Engineering, Pages 393-426
Chapter 13 - Some Applications of the Fundamental Theorem, Pages 427-457
Chapter 14 - Fixed Income Engineering, Pages 459-505
Chapter 15 - Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading, Pages 507-543
Chapter 16 - Correlation as an Asset Class and the Smile, Pages 545-590
Chapter 17 - Caps/Floors and Swaptions with an Application to Mortgages, Pages 591-617
Chapter 18 - Credit Markets: CDS Engineering, Pages 619-657
Chapter 19 - Engineering of Equity Instruments and Structural Models of Default, Pages 659-693
Chapter 20 - Essentials of Structured Product Engineering, Pages 695-737
Chapter 21 - Securitization, ABSs, CDOs, and Credit Structured Products, Pages 739-780
Chapter 22 - Default Correlation Pricing and Trading, Pages 781-808
Chapter 23 - Principal Protection Techniques, Pages 809-826
Chapter 24 - Counterparty Risk, Multiple Curves, CVA, DVA, and FVA, Pages 827-850
References, Pages 851-855
Index, Pages 857-874

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