Financial Engineering
Derivatives and Risk Management
(Sprache: Englisch)
This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone...
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This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications.Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy.
This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivatives Markets by the same authors.
The authors adopt a real-world emphasis throughout, and include features such as:
* topic boxes, worked examples and learning objectives
* Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases
* supporting web site including Lecturer's Resource Pack and Student Centre with interactive Excel and GAUSS software
Inhaltsverzeichnis zu „Financial Engineering “
PrefaceDERIVATIVES: AN OVERVIEW
Derivatives: An Overview
FORWARDS AND FUTURES
Futures Markets
Stock Index Futures
Currency Forwards and Futures
Short-Term Interest Rate Futures
T-Bond Futures
OPTIONS AND SWAPS
Options Markets
Options Pricing
Hedging and Volatility
Option Spreads and Stock Options
Foreign Currency Options
Futures Options
Portfolio Insurance
Swaps
ADVANCED DERIVATIVES AND STOCHASTIC PROCESSES
Interest Rate Derivatives
Complex Derivatives
Asset Price Dynamics
Pricing Interest Rate Derivatives
Real Options (Alexander Workman, Co-Author)
RISK AND REGULATION
Regulation of Financial Institutions
Regulatory Framework in the UK and US
Market Risk
VaR: Mapping Cash Flows
VaR: Statistical Issues
Credit Risk
Glossary
List of Symbols
List of 'Topic Boxes'
Internet Sites
References
Author Index
Subject Index
Autoren-Porträt von Keith Cuthbertson, Dirk Nitzsche
KEITH CUTHBERTSON is Professor of Finance at the Management School, Imperial College. He has been an advisor to the Bank of England and UK Treasury and a visitor at the Federal Reserve. He has held chairs at the University of Newcastle and City University Business School, as well as undertaking consultancy with financial institutions.DIRK NITSCHE is a lecturer in Finance at the Management School, Imperial College. He is also a Visiting Lecturer at City university Business School.
Bibliographische Angaben
- Autoren: Keith Cuthbertson , Dirk Nitzsche
- 2001, 1. Auflage, XXII, 776 Seiten, mit Abbildungen, Maße: 18,9 x 24,6 cm, Kartoniert (TB), Englisch
- Verlag: Wiley & Sons
- ISBN-10: 0471495840
- ISBN-13: 9780471495840
- Erscheinungsdatum: 01.06.2001
Sprache:
Englisch
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