LEADER 05558nam 2200757Ia 450 001 9910141249603321 005 20200520144314.0 010 $a9786613298898 010 $a9781283298896 010 $a1283298899 010 $a9781118467343 010 $a1118467345 010 $a9781119950622 010 $a1119950627 035 $a(CKB)2670000000122425 035 $a(EBL)697610 035 $a(OCoLC)758384533 035 $a(SSID)ssj0000554733 035 $a(PQKBManifestationID)11336508 035 $a(PQKBTitleCode)TC0000554733 035 $a(PQKBWorkID)10517221 035 $a(PQKB)11749274 035 $a(MiAaPQ)EBC697610 035 $a(FR-PaCSA)88808442 035 $a(FRCYB88808442)88808442 035 $a(EXLCZ)992670000000122425 100 $a20110428d2011 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aFinancial engineering and arbitrage in the financial markets /$fRobert Dubil 205 $a2nd edition. 210 $aChichester, West Sussex, UK ;$aHoboken, NJ $cJohn Wiley$d2011 215 $a1 online resource (xii, 367 pages) 225 1 $aWiley finance 300 $aDescription based upon print version of record. 311 1 $a9780470746011 311 1 $a0470746017 320 $aIncludes bibliographical references and index. 327 $aFinancial Engineering and Arbitragein the Financial Markets; Contents; Introduction; 1 Purpose and Structure of Financial Markets; 1.1 Overview of Financial Markets; 1.2 Risk Sharing; 1.3 Transactional Structure of Financial Markets; 1.4 Arbitrage: Pure Versus Relative Value; 1.5 Financial Institutions: Transforming Intermediaries vs Broker-Dealers; 1.6 Primary (Issuance) and Secondary (Resale) Markets; 1.7 Market Players: Hedgers vs Speculators; 1.8 Preview of the Book; PART I RELATIVE VALUE BUILDING BLOCKS; 2 Spot Markets; 2.1 Bonds and Annual Bond Math; 2.1.1 Zero-Coupon Bond 327 $a2.1.2 Coupon Bond 2.1.3 Amortizing Bond; 2.1.4 Floating Rate Bond; 2.2 Intra-Year Compounding and Day-Count; 2.2.1 Intra-Year Compounding; 2.2.2 Day-Count; 2.2.3 Accrued Interest; 2.3 Term Structure of Interest Rates and the Discount Factor Bootstrap; 2.3.1 Term Structure; 2.3.2 Discount Factor Bootstrap; 2.3.3 Valuation of an Arbitrary Bond; 2.4 Interest Rate Risk: Duration and Convexity; 2.4.1 Duration; 2.4.2 Portfolio Duration; 2.4.3 Convexity; 2.4.4 Other Risk Measures; 2.5 Equity, Commodity, and Currency Math; 2.5.1 Equities; 2.5.2 Currencies; 2.6 Short Selling; 2.6.1 Buying on Margin 327 $a2.6.2 Short Selling in a Margin Account 2.6.3 Short Selling of Bonds; 3 Futures Markets; 3.1 Fundamentals of Futures and Forwards; 3.2 Futures Mechanics; 3.2.1 Physical Commodity Futures; 3.2.2 Interest Rate Futures; 3.2.3 Stock Index Futures; 3.2.4 Currency Futures and Forwards; 3.3 Cash-and-Carry Arbitrage; 3.3.1 Commodities; 3.3.2 Stock Indexes; 3.3.3 Currencies; 3.4 Futures Not Subject to Cash-and-Carry; 3.5 Yield Curve Construction with Interest Rate Futures; 3.5.1 Certainty Equivalence of Eurodollar Futures; 3.5.2 Forward Rate Agreements; 3.5.3 Building Spot Zeros 327 $a3.5.4 Recovering the Forwards 3.5.5 Including Repo Rates in the Calculation of the Forwards; 4 Swap Markets; 4.1 Fundamentals of Swaps; 4.1.1 The Dual Nature of Swaps; 4.1.2 Implication for Pricing and Hedging; 4.2 Interest Rate Swaps; 4.2.1 Definition of an Interest Rate Swap; 4.2.2 Valuation of Interest Rate Swaps; 4.2.3 Hedging of Interest Rate Swaps; 4.3 Cross-Currency Swaps; 4.3.1 Definition of a Fixed-for-Fixed Cross-Currency Swap; 4.3.2 Valuation and Settlement of Cross-Currency Swaps; 4.3.3 Cross-Currency Swaps as Packages of Off-Market FX Forwards 327 $a4.3.4 Multi-currency and Combination Cross-Currency Swaps 4.4 Equity, Commodity, and Exotic Swaps; 4.4.1 Equity Swaps; 4.4.2 Commodity Swaps; 4.4.3 Volatility Swaps; 4.4.4 Index Principal Swaps; 5 Options on Prices and Hedge-Based Valuation; 5.1 Call and Put Payoffs at Expiry; 5.2 Composite Payoffs at Expiry; 5.2.1 Straddles and Strangles; 5.2.2 Spreads and Combinations; 5.3 Option Values Prior to Expiry; 5.4 Options and Forwards, Risk Sharing and Put-Call Parity; 5.5 Currency Options; 5.6 Binomial Option Pricing; 5.6.1 One-Step Examples; 5.7 Black-Scholes Model and Extensions 327 $a5.7.1 Black-Scholes with No Dividends 330 $aA whole is worth the sum of its parts. Even the most complex structured bond, credit arbitrage strategy or hedge trade can be broken down into its component parts, and if we understand the elemental components, we can then value the whole as the sum of its parts. We can quantify the risk that is hedged and the risk that is left as the residual exposure. If we learn to view all financial trades and securities as engineered packages of building blocks, then we can analyze in which structures some parts may be cheap and some may be rich. 410 0$aWiley finance series. 606 $aFinancial engineering 606 $aArbitrage 606 $aCapital market 606 $aInvestments$xMathematics 615 0$aFinancial engineering. 615 0$aArbitrage. 615 0$aCapital market. 615 0$aInvestments$xMathematics. 676 $a332/.041 700 $aDubil$b Robert$0903980 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910141249603321 996 $aFinancial engineering and arbitrage in the financial markets$92280413 997 $aUNINA