LEADER 05596nam 22006974a 450 001 9910830759303321 005 20230721030018.0 010 $a1-119-20926-9 010 $a1-280-85604-1 010 $a9786610856046 010 $a0-470-51272-5 035 $a(CKB)1000000000357148 035 $a(EBL)292595 035 $a(OCoLC)437178643 035 $a(SSID)ssj0000252714 035 $a(PQKBManifestationID)12040235 035 $a(PQKBTitleCode)TC0000252714 035 $a(PQKBWorkID)10180667 035 $a(PQKB)10674416 035 $a(MiAaPQ)EBC292595 035 $a(EXLCZ)991000000000357148 100 $a20070312d2007 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aStructured finance$b[electronic resource] $ethe object oriented approach /$fUmberto Cherubini, Giovanni Della Lunga 210 $aChichester, England ;$aHoboken, NJ $cJohn Wiley & Sons$dc2007 215 $a1 online resource (300 p.) 225 1 $aWiley finance series 300 $aDescription based upon print version of record. 311 $a0-470-02638-3 320 $aIncludes bibliographical references and index. 327 $aStructured Finance; Contents; 1 Structured Finance: A Primer; 1.1 Introduction; 1.2 Arbitrage-free valuation and replicating portfolios; 1.3 Replicating portfolios for derivatives; 1.3.1 Linear derivatives; 1.3.2 Nonlinear derivatives; 1.4 No-arbitrage and pricing; 1.4.1 Univariate claims; 1.4.2 Multivariate claims; 1.5 The structuring process; 1.5.1 The basic objects; 1.5.2 Risk factors, moments and dimensions; 1.5.3 Risk management; 1.6 A tale of two bonds; 1.6.1 Contingent coupons and repayment plans; 1.6.2 Exposure to the risky asset; 1.6.3 Exposure to volatility; 1.6.4 Hedging 327 $a1.7 Structured finance and object-oriented programmingReferences and further reading; 2 Object-Oriented Programming; 2.1 Introduction; 2.2 What is OOP (object-oriented programming)?; 2.3 Analysis and design; 2.3.1 A simple example; 2.4 Modelling; 2.4.1 The Unified Modelling Language (UML); 2.4.2 An object-oriented programming language: Java; 2.5 Main ideas about OOP; 2.5.1 Abstraction; 2.5.2 Classes; 2.5.3 Attributes and operations: the Encapsulation principle; 2.5.4 Responsibilities; 2.5.5 Inheritance; 2.5.6 Abstract classes; 2.5.7 Associations; 2.5.8 Message exchanging; 2.5.9 Collections 327 $a2.5.10 PolymorphismReferences and further reading; 3 Volatility and Correlation; 3.1 Introduction; 3.2 Volatility and correlation: models and measures; 3.2.1 Implied information; 3.2.2 Parametric models; 3.2.3 Realized (cross)moments; 3.3 Implied probability; 3.4 Volatility measures; 3.4.1 Implied volatility; 3.4.2 Parametric volatility models; 3.4.3 Realized volatility; 3.5 Implied correlation; 3.5.1 Forex markets implied correlation; 3.5.2 Equity "average" implied correlation; 3.5.3 Credit implied correlation; 3.6 Historical correlation; 3.6.1 Multivariate GARCH 327 $a3.6.2 Dynamic correlation model3.7 Copula functions; 3.7.1 Copula functions: the basics; 3.7.2 Copula functions: examples; 3.7.3 Copulas and survival copulas; 3.7.4 Copula dualities; 3.8 Conditional probabilities; 3.9 Non-parametric measures; 3.10 Tail dependence; 3.11 Correlation asymmetry; 3.11.1 Correlation asymmetry: finance; 3.11.2 Correlation asymmetry: econometrics; 3.12 Non-exchangeable copulas; 3.13 Estimation issues; 3.14 Le?vy processes; References and further reading; 4 Cash Flow Design; 4.1 Introduction; 4.2 Types of bonds; 4.2.1 Floaters and reverse floaters 327 $a4.2.2 Convertible bonds4.2.3 Equity-linked notes; 4.2.4 Inflation-linked bonds; 4.2.5 Asset-backed securities; 4.3 Time and scheduler issues; 4.3.1 Payment date conventions; 4.3.2 Day count conventions and accrual factors; 4.4 JScheduler; 4.4.1 Date handling in Java; 4.4.2 Data models; 4.4.3 Design patterns; 4.4.4 The Factory Method pattern; 4.5 Cash flow generator design; 4.5.1 UML's activity diagram; 4.5.2 An important guideline to the data model for derivatives: FpML; 4.5.3 UML's sequence diagram; 4.6 The cleg class; References and further reading; 5 Convertible Bonds; 5.1 Introduction 327 $a5.2 Object-oriented structuring process 330 $aStructured Finance: The Object Orientated Approach is aimed at both the finance and IT professionals involved in the structured finance business with the intention of sharing common concepts and language within the industry. The financial community (structurers, pricers and risk managers) view structured products as collections of objects under the so-called replicating portfolio paradigm. The IT community use object oriented programming (OOP) techniques to improve the software updating and maintenance process. For them structured products are collections of objects as well. Despite use 410 0$aWiley finance series. 606 $aStructured notes (Securities) 606 $aDerivative securities 606 $aInvestment analysis$xMathematical models 606 $aFinancial engineering 615 0$aStructured notes (Securities) 615 0$aDerivative securities. 615 0$aInvestment analysis$xMathematical models. 615 0$aFinancial engineering. 676 $a332.0285117 676 $a332.602855117 700 $aCherubini$b Umberto$0118857 701 $aDella Lunga$b Giovanni$0121168 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910830759303321 996 $aStructured finance$93934105 997 $aUNINA