Principles of Financial Engineering

1. Introduction
2. Institutional Aspects of Derivatives Markets - An Introduction to Some Concepts and Definitions
3. Cash Flow Engineering, Interest Rate Forwards and Futures
4. Introduction to Swap Engineering
5. Repo Market Strategies in Financial Engineering
6. Cash Flow Engineering and FX Contracts
7. Cash Flow Engineering and Alternative Classes (Commodities and Hedge Funds)
8. Dynamic Replication Methods and Synthetics
9. Mechanics of Options
10. Engineering Convexity Positions
11. Options Engineering with Applications
12. Pricing Tools in Financial Engineering
13. Some Applications of the Fundamental Theorem
14. Fixed-Income Engineering
15. Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
16. Correlation as an Asset Class and the Smile
17. Caps/Floors and Swaptions with an Application to Mortgages
18. Engineering of Equity Instruments: Pricing and Replication
19. Credit Markets: CDS Engineering
20. Essentials of Structured Product Engineering
21. Essentials of Credit Structured Product Engineering
22. Default Correlation Pricing and Trading
23. Principal Protection Techniques
24. Counter-Party Risk, Multiple Curves, CVA, DVA, FVA, OIS

Robert Kosowski is Associate Professor in the Finance Group of Imperial College Business School, Imperial College London, and Director of the Risk Management Lab and Centre for Hedge Fund Research. Robert is an associate member of the Oxford-Man Institute of Quantitative Finance at Oxford University and a member of AIMA's research committee. His research interests include asset management, asset pricing, and financial econometrics with a focus on hedge and mutual funds, performance measurement, asset allocation, business cycles, and derivative trading strategies.



Robert's research has been featured in "The Financial Times" and "The Wall Street Journal" and was awarded the European Finance Association 2007 Best Paper Award, an INQUIRE UK 2008 best paper award, an INQUIRE Europe 2009/10 and 2012/13 best paper award, and the British Academy's mid-career fellowship (2011-2012). Robert's research has been published in top peer-reviewed finance journals such as "The Journal of Finance," "The Journal of Financial Economics" and the "Review of Financial Studies."



Prior to joining Imperial College London Robert was an Assistant Professor of Finance at INSEAD, where he taught in the MBA, Executive Education, and Ph.D. programs. Robert was a visiting scholar at the UCSD Economics Department (2000) and the International Monetary Fund (2008). At Imperial Robert teaches in the MSc Finance. He won teaching prizes at Imperial College Business School in 2009 and 2014.



Robert holds a BA (First Class Honours) and MA in Economics from Trinity College, Cambridge University, and a MSc in Economics and Ph.D. from the London School of Economics. He has consulted for private and public sector organizations and has worked for Goldman Sachs, the Boston Consulting Group, and Deutsche Bank. His policy related advisory work includes: Specialist Adviser to UK House of Lords (2009-2010) and Expert Technical Consultant (International Monetary

"Its focus on financial engineering and the actual use of derivative instruments makes Neftci's book an extremely useful complement to the standard introductions to derivative pricing and financial mathematics. The value of the text has been enhanced further by the addition of five chapters on structured products and credit derivatives not present in the first edition." --Rudiger Frey, University of Leipzig "Since its publication in 2004, Neftci's book has become the de facto reference text for financial engineering practitioners and academics. With renewed and extended emphasis on structured products engineering, Neftci keeps the material relevant and up to date for the current state of the financial markets." --Dan Stefanica, Baruch College

"This text has quickly become a modern classic of financial engineering, as broad in coverage as it is deep in content, and the addition of Kosowski brings another dimension of academic rigor and practical relevance to Neftci's impressive pedagogical legacy." --Andrew W. Lo, MIT Sloan School of Management

"I'm delighted that this classical text has been updated by Professor Kosowski to reflect financial engineering post-crisis. This timely combination of timeless principles and recent revelations makes for an irresistible read." --Peter Carr, Morgan Stanley and New York University