| Description |
1 online resource (xiii, 679 pages) : illustrations |
|
text file |
| Series |
Academic press advanced finance series |
|
Academic Press advanced finance series.
|
| Summary |
Five new chapters, numerous additions to existing chapters, and an expanded collection of questions and exercises make this Second Edition an essential part of everyone's library. Between defining swaps on its first page and presenting a case study on its last, 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 Second Edition presents 5 new chapters on structured product engineering, credit markets and instruments, and principle protection techniques, 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. |
| Bibliography |
Includes bibliographical references and index. |
| Contents |
Introduction -- An introduction to some concepts and definitions -- Cash flow engineering and forward contracts -- Engineering simple interest rate derivatives -- Introduction to swap engineering -- Repo market strategies in financial engineering -- Dynamic replication methods and synthetics -- Mechanics of options -- Engineering convexity positions -- Options engineering with applications -- Pricing tools in financial engineering -- Some applications of the fundamental theorem -- Fixed-income engineering -- Tools for volatility engineering, volatility swaps, and volatility trading -- Volatility as an asset class and the smile -- Credit markets : CDS engineering -- Essentials of structured product engineering -- Credit indices and their tranches -- Defualt correlation pricing and trading -- Principal protection techniques -- Caps/floors and swaptions with an application to mortgages -- Engineering of equity instruments : pricing and replication. |
| Subject |
Financial engineering.
|
|
Ingénierie financière. |
|
Financial engineering |
| Indexed Term |
Electronic books. |
| Other Form: |
Print version: Neftci, Salih N. Principles of financial engineering. 2nd ed. San Diego, Calif. : Elsevier Academic Press, ©2008 9780123735744 (DLC) 2011414590 (OCoLC)261924715 |
| ISBN |
9780080919973 |
|
0080919979 |
| Standard No. |
B9780123735744.X00018 |
|
9780123735744 |
|
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