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Principles of financial engineering / Salih N. Neftci.

By: Material type: TextSeries: Academic Press advanced finance seriesPublication details: Burlington, MA : Academic Press, c2008.Edition: 2nd edDescription: xv, 679 p. : ill. (some col.) ; 27 cmISBN:
  • 0123735742
  • 9780123735744
Subject(s): LOC classification:
  • HG176.7 .N44 2008
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 -- Default correlation pricing and trading -- Principal protection techniques -- Caps/floors and swaptions with an application to mortgages -- Engineering of equity instruments : pricing and replication.
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Holdings
Cover image Item type Current library Home library Collection Shelving location Call number Materials specified Vol info URL Copy number Status Notes Date due Barcode Item holds Item hold queue priority Course reserves
Books Library Neapolis University Pafos NUP Main Collection HG176.7.N44 2008 (Browse shelf(Opens below)) 1 Available 3000709
Total holds: 0

Previous ed. : San Diego, Calif. : Elsevier Academic Press, c2004.

Includes bibliographical references (p. 663-666) and index.

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 -- Default correlation pricing and trading -- Principal protection techniques -- Caps/floors and swaptions with an application to mortgages -- Engineering of equity instruments : pricing and replication.

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