Principles of financial engineering / | Salih N. Neftci.
Neftci, Salih N.
Principles of financial engineering / Salih N. Neftci. - 2nd ed. - Burlington, MA : Academic Press, c2008. - xv, 679 p. : ill. (some col.) ; 27 cm. - Academic press advanced finance series . - Academic Press advanced finance series. .
Previous ed. : San Diego, Calif. : Elsevier Academic Press, c2004.
Includes bibliographical references (p. 663-666) and index.
Introduction -- 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 -- Default correlation pricing and trading -- Principal protection techniques -- Caps/floors and swaptions with an application to mortgages -- Engineering of equity instruments : pricing and replication. An
0123735742 9780123735744
Financial engineering.
HG176.7 / .N44 2008
Principles of financial engineering / Salih N. Neftci. - 2nd ed. - Burlington, MA : Academic Press, c2008. - xv, 679 p. : ill. (some col.) ; 27 cm. - Academic press advanced finance series . - Academic Press advanced finance series. .
Previous ed. : San Diego, Calif. : Elsevier Academic Press, c2004.
Includes bibliographical references (p. 663-666) and index.
Introduction -- 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 -- Default correlation pricing and trading -- Principal protection techniques -- Caps/floors and swaptions with an application to mortgages -- Engineering of equity instruments : pricing and replication. An
0123735742 9780123735744
Financial engineering.
HG176.7 / .N44 2008