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LEADER 00000cam a2200937Ia 4500
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020 143026134X|q(electronic bk.)
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024 7 10.1007/978-1-4302-6134-6|2doi
024 8 10.1007/978-1-4302-6
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049 INap
082 04 658.15
082 04 658.15|223
099 eBook O'Reilly for Public Libraries
100 1 Chatterjee, Rupak,|eauthor.
245 10 Practical methods of financial engineering and risk
management :|btools for modern financial professionals /
|cRupak Chatterjee.|h[O'Reilly electronic resource]
246 30 Tools for modern financial professionals
260 [New York, N.Y.] :|bApress,|c[2014]
264 4 |c©2014
300 1 online resource :|billustrations
336 text|btxt|2rdacontent
337 computer|bc|2rdamedia
338 online resource|bcr|2rdacarrier
347 text file
347 |bPDF
490 1 Quantitative finance series
504 Includes bibliographical references and index.
505 0 Contents at a Glance -- Contents -- Series Editors�
Foreword -- About the Author -- About the Technical
Reviewer -- Acknowledgments -- Introduction -- Chapter 1:
Financial Instruments -- Bloomberg Market Data Screens --
Cash Instruments -- Fed Funds -- Eurodollar Deposits -- US
Treasury Bills, Notes, and Bonds -- Repo and Reverse Repo
-- Equity indexes -- Dow Jones -- S & P 500 -- NASDAQ
Composite Index -- Commercial Paper -- LIBOR -- Spot Forex
-- Key Rates -- Prime Rate -- Federal Funds Target Rate --
Discount Rate -- Gold
505 8 Futures and SwapsCrude Oil -- Fed Funds Futures -- 90-Day
Eurodollar Futures -- 10-Year Treasury Note Futures --
Swaps -- Swap Valuation -- Swap Spreads -- Swap Futures --
Derivatives and Structured Products -- Dynamic Hedging and
Replication -- Implied Volatility -- Caps and Floors --
Market Implied Volatility Quotes for Caps and Floors --
ATM Strike strike -- Swaptions -- Mortgage-Backed
Securities -- Bloomberg Price Quotes: 30Y MBS -- Appendix:
Daycount Conventions -- Problems -- Further Reading --
Chapter 2: Building a Yield Curve
505 8 Overview of Yield Curve ConstructionCash LIBOR Rates --
90D Eurodollar Futures -- Swaps -- Generic Discount
Factors -- Problems -- Problem 2.1: Build a Simple Yield
Curve -- Further Reading -- Chapter 3: Statistical
Analysis of Financial Data -- Tools in Probability Theory
-- Moments of a Distribution -- Creating Random Variables
and Distributions -- The Inverse Transform Method --
Creating a Density Function: Histograms and Frequencies --
Excel Histogram-Creating Method: Static Data -- Excel
Histogram-Creating Method: Dynamic Data
505 8 Normalization of a HistogramMixture of Gaussians: Creating
a Distribution with High Kurtosis -- Random Variable
Approach -- Density Approach -- Skew Normal Distribution:
Creating a Distribution with Skewness -- Calibrating
Distributions through Moment Matching -- Calibrating a
Mixed Gaussian Distribution to Equity Returns -- Fitting
by Hand -- Chi-Squared Fitting -- Calibrating a
Generalized Student�s- t Distribution to Equity Returns
-- Calibrating a Beta Distribution to Recovery Rates of
Defaulted Bonds -- Basic Risk Measures
505 8 Calculating VaR and CVaR from Financial Return DataThe
Term Structure of Statistics -- The Term Structure of the
Mean -- The Term Structure of Skew -- The Term Structure
of Kurtosis -- The Term Structure of Volatility -- The
Term Structure of “Up� Volatility -- The Term
Structure of “Down� Volatility -- Autocorrelation --
Dynamic Portfolio Allocation -- Modern Portfolio Theory --
Key Problems with Modern Portfolio Theory -- Generic Rules
to Dynamic Portfolio Allocation with Volatility Targets --
Appendix. Joint Distributions and Correlation
520 Rupak Chatterjee, former director of the multi-asset
quantitative research group at Citi, introduces finance
professionals and advanced students to the latest concepts,
tools, valuation techniques, and analytic measures being
deployed by the more discerning and responsive Wall Street
practitioners, on all operational scales from day trading
to institutional strategy, to model and analyze more
faithfully the real behavior and risk exposure of
financial markets in the cold light of the post-2008
realities. The book assumes a working knowledge of
calculus, statistics, and Excel, but it teaches techniques
from statistical analysis, probability, and stochastic
processes sufficient to enable the reader to calibrate
probability distributions and create the simulations that
are used on Wall Street to valuate various financial
instruments correctly, model the risk dimensions of
trading strategies, and perform the numerically intensive
analysis of risk measures required by various regulatory
agencies. --|cEdited summary from book.
588 0 Print version record.
590 O'Reilly|bO'Reilly Online Learning: Academic/Public
Library Edition
650 0 Financial engineering|xMethodology.
650 0 Risk management|xMethodology.
650 6 Ingénierie financière|xMéthodologie.
650 6 Gestion du risque|xMéthodologie.
650 7 Risk management|xMethodology|2fast
650 7 Risikomanagement|2gnd
650 7 Financial Engineering|2gnd
710 2 Stevens Institute of Technology.
776 08 |iPrinted edition:|z9781430261339
830 0 Quantitative finance series.
856 40 |uhttps://ezproxy.naperville-lib.org/login?url=https://
learning.oreilly.com/library/view/~/9781430261346/?ar
|zAvailable on O'Reilly for Public Libraries
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