Principles of Financial Engineering (inbunden)
Inbunden (Hardback)
Antal sidor
Academic Press
N.Neftci, Salih
colour illustrations
247 x 203 x 57 mm
1723 g
Antal komponenter
1370:Standard Color 7.5 x 9.25 in or 235 x 191 mm Case Laminate on White w/Gloss Lam
Principles of Financial Engineering (inbunden)

Principles of Financial Engineering

Inbunden Engelska, 2014-11-27
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Principles of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices.

This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. A solutions manual enhances the text by presenting additional cases and solutions to exercises.

This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs.

  • The Third Edition presents three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics
  • Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act
  • The solutions manual enhances the text by presenting additional cases and solutions to exercises
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"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 andNew York University

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Övrig information

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 Fund, USA, 2008). Professor Neftci completed his Ph.D. at the University of Minnesota and was head of the FAME Certificate program in Switzerland. He taught at the Graduate School, City University of New York; ICMA Centre, University of Reading; and at the University of Lausanne. He was also a Visiting Professor in the Finance Department at Hong Kong University of Science and Technology. Known his books and articles, he was a regular columnist for CBN daily, the most influential financial newspaper in China.


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