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[null,"1.","Record Nr.",null,"UNINA9910150207903321"]
[null,null,"Autore",null,"Galitz Lawrence"]
[null,null,"Titolo",null,"Financial times handbook of financial engineering : using derivatives to manage risk / / Lawrence Galitz"]
[null,null,"Pubbl/distr/stampa",null,"Harlow, England : , : Pearson Education Limited, , [2013]"]
[{"$nulls":4},"Â©2013"]
[null,null,"ISBN",null,"0-273-74241-8"]
[null,null,"Edizione",null,"[Third edition.]"]
[null,null,"Descrizione fisica",null,"1 online resource (xi, 752 pages)"]
[null,null,"Collana",null,"Financial Times"]
[null,null,"Disciplina",null,"332.6"]
[null,null,"Soggetti",null,"Financial engineering"]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","Bibliographic Level Mode of Issuance: Monograph"]
[null,null,null,"Nota di bibliografia","Includes bibliographical references and index."]
[null,null,"Nota di contenuto",null,"Cover -- Contents -- About the author -- Acknowledgements -- Publisher's acknowledgements -- Preface to the second book -- Preface to the third edition -- Part I Tools -- 1 Introduction -- 1.1 Forty years of evolution -- 1.2 What is financial engineering? -- 1.3 The nature of risk -- 1.4 Financial engineering and risk -- 1.5 Layout of this book -- 2 The cash markets -- 2.1 Overview of financial markets -- 2.2 The foreign exchange market -- 2.3 The money markets -- 2.4 The bond markets -- 2.5 The equities markets -- 2.6 The commodities markets -- 2.7 Cash instruments versus derivatives -- 2.8 Capital adequacy requirements -- 3 Forward rates -- 3.1 Forward exchange rates -- 3.2 Forward interest rates -- 3.3 Do forward rates predict future spot rates? -- 3.4 Spot and forward rates in practice -- 4 FRAs -- 4.1 What is an FRA? -- 4.2 Definitions -- 4.3 Terminology -- 4.4 The settlement process -- 4.5 Hedging with FRAs -- 4.6 Pricing FRAs -- 4.7 Behaviour of FRA rates -- 5 Financial futures -- 5.1 A brief history of futures markets -- 5.2 What is a financial future? -- 5.3 Futures trading - from pits to screens -- 5.4 Buying and selling -- 5.5 The clearing mechanism -- 5.6 Futures margins -- 5.7 Physical delivery versus cash settlement -- 5.8 Futures and cash markets compared -- 5.9 The advantages of futures -- 6 Short-term interest rate futures -- 6.1 Definitions -- 6.2 STIR contracts pricing -- 6.3 Basis -- 6.4 Convergence -- 6.5 Behaviour of futures prices -- 6.6 Basic hedging example -- 6.7 Short-term futures contracts compared -- 6.8 Comparison of futures and FRAs -- 6.9 Spread positions -- 7 Bond and stock index futures -- 7.1 Definition of bond futures contracts -- 7.2 The cheapest-to-deliver bond -- 7.3 Cash-and-carry "]
[{"$nulls":4},"pricing for bond futures -- 7.4 The implied repo rate -- 7.5 The delivery mechanism -- 7.6 Basic hedging with bond futures."]
[{"$nulls":4},"7.7 Stock indices and stock index futures -- 7.8 Definition of stock index futures contracts -- 7.9 Advantages of using stock index futures -- 7.10 Cash-and-carry pricing for stock index futures -- 7.11 Stock index futures prices in practice -- 7.12 Turning cash into share portfolios and share  portfolios into cash -- 8 Swaps -- 8.1 Definition of interest rate and cross-currency swaps -- 8.2 Development of the swap market -- 8.3 Interest rate swaps -- 8.4 Non-standard interest rate swaps -- 8.5 Overnight indexed swaps -- 8.6 Cross-currency swaps -- 8.7 Basic applications for swaps -- 8.8 Asset swaps -- 8.9 CMS and CMT swaps -- 8.10 Inflation swaps -- 8.11 Equity and dividend swaps -- 8.12 Commodity swaps -- 8.13 Volatility and variance swaps -- 8.14 Exotic swaps -- 8.15 ISDA documentation -- 8.16 Changes in market infrastructure after the  credit crisis -- 9 Pricing and valuing swaps -- 9.1 Principles of swap valuation and pricing -- 9.2 Discount factors and the discount function -- 9.3 Calculating discount factors from swap and  forward rates -- 9.4 Generating the discount function -- 9.5 Relationship between zero, swap and forward rates -- 9.6 Valuation and pricing of interest rate swaps -- 9.7 Valuation and pricing of currency swaps -- 9.8 Cancelling a swap -- 9.9 Hedging swaps with futures -- 9.10 The convexity correction -- 9.11 Credit risk of swaps -- 9.12 Collateralised vs. non-collateralised swaps -- 9.13 LIBOR-OIS discounting -- 10 Options - basics and pricing -- 10.1 Why options are different -- 10.2 Definitions -- 10.3 Options terminology -- 10.4 Value and profit profiles at maturity -- 10.5 Pricing options -- 10.6 The behaviour of financial prices -- 10.7 The Black-Scholes model -- 10.8 The binomial approach -- 10.9 The Monte Carlo approach -- 10.10 Finite difference methods -- 11 Options - volatility and the Greeks -- 11.1 Volatility."]
[{"$nulls":4},"11.2 Volatility smiles and skews -- 11.3 The VIX -- 11.4 Value profiles prior to maturity -- 11.5 How options behave - the Greeks -- 11.6 Delta hedging -- 12 Options - from building blocks to portfolios -- 12.1 The building block approach -- 12.2 Option spreads - vertical, horizontal and diagonal -- 12.3 Volatility structures -- 12.4 Range structures -- 12.5 Arbitrage structures -- 13 Options - interest rate and exotic options -- 13.1 Why interest rate options are different -- 13.2 Caps, floors and collars -- 13.3 Swaptions -- 13.4 Cancellable and extendible swaps -- 13.5 Pricing interest rate options -- 13.6 Compound options -- 13.7 Exotic options -- 13.8 Path-dependent options -- 13.9 Digital options -- 13.10 Multivariate options -- 13.11 Other exotic options -- 13.12 Pricing exotic options -- 13.13 Price comparisons between exotic options -- 13.14 Embedded options -- 14 Introducing credit derivatives -- 14.1 Development of the credit derivatives market -- 14.2 Motivations for using credit derivatives -- 14.3 Introducing credit default swaps (CDS) -- 14.4 Market conventions -- 14.5 Credit events and determination committees -- 14.6 Capital structure, recovery rates, reference and deliverable obligations -- 14.7 Settlement methods and auctions -- 14.8 Other aspects of CDS -- 15 CDS pricing and credit indices -- 15.1 A simple CDS pricing model -- 15.2 Obtaining default probabilities -- 15.3 Developing a multi-period framework -- 15.4 The ISDA CDS Standard Model -- 15.5 Bootstrapping default probabilities -- 15.6 Calculating up-front payments -- 15.7 Mark-to-market and CDS valuation -- 15.8 PV01 and SDV01 -- 15.9 How credit indices developed -- 15.10 The CDX and iTraxx credit indices -- 15.11 Market quotations and statistics -- 15.12 Other credit indices -- 15.13 Index tranches -- Part II Techniques -- 16 Applications for financial engineering."]
[{"$nulls":4},"16.1 Applications of financial engineering -- 16.2 Sources of financial risk -- 16.3 Accounting and economic risk -- 16.4 Defining hedging objectives -- 16.5 Measuring hedge efficiency -- 16.6 The finance division as a profit centre -- 17 Managing currency risk -- 17.1 Forwards and futures solutions -- 17.2 Options are chameleons -- 17.3 How FX options are different -- 17.4 The scenario -- 17.5 Comparing hedging strategies -- 17.6 Basic option hedges -- 17.7 Selling options within a hedging programme -- 17.8 Collars, range-forwards, forward-bands and cylinders -- 17.9 Spread hedges -- 17.10 Participating forwards -- 17.11 Ratio forwards -- 17.12 Break-forwards, FOXs and forward-reversing options -- 17.13 Flexi-forwards -- 17.14 Using exotic options -- 17.15 Selling options outside a hedging programme -- 17.16 Dynamic hedging -- 17.17 Which strategy is best? -- 18 Managing interest rate risk using FRAs, futures and swaps -- 18.1 Using FRAs -- 18.2 Using short-term interest rate futures -- 18.3 Calculating the hedge ratio -- 18.4 Stack vs. strip hedges -- 18.5 Different kinds of basis risk -- 18.6 Managing the convergence basis -- 18.7 Interpolated hedges -- 18.8 Combining the techniques -- 18.9 FRAs vs. futures -- 18.10 Using swaps -- 18.11 Hedging bond and swap portfolios -- 18.12 Hedging bond portfolios with bond futures -- 19 Managing interest rate risk - using options and option-based instruments -- 19.1 Interest rate guarantees -- 19.2 Using caps and floors -- 19.3 Collars, participating caps, spread hedges and other variations -- 19.4 Using captions and swaptions -- 19.5 Comparison of interest risk management tools -- 20 Managing equity risk -- 20.1 Bull and bear strategies -- 20.2 Return enhancement -- 20.3 Value protection strategies -- 20.4 Vertical, horizontal and diagonal spreads -- 20.5 Other option strategies."]
[{"$nulls":4},"20.6 Using stock index futures and options -- 20.7 Portfolio insurance -- 20.8 Guaranteed equity funds -- 20.9 Warrants and convertibles -- 20.10 Exotic equity derivatives -- 21 Managing commodity risk -- 21.1 Commodity risk -- 21.2 Creating commodity derivatives -- 21.3 Using commodity derivatives -- 21.4 Hybrid commodity derivatives -- 22 Managing credit risk -- 22.1 Hedging default risk -- 22.2 Hedging credit risk -- 22.3 Generating income -- 22.4 Trading strategies using CDS -- 22.5 Implementing directional views -- 22.6 Monetising relative credit views -- 22.7 Basis trades -- 22.8 Curve trades -- 22.9 Index trades -- 23 Structured products -- 23.1 Understanding structured products -- 23.2 How structured products are built -- 23.3 Features of structured products -- 23.4 Principal-protected notes -- 23.5 Buffered and capped notes -- 23.6 Leveraged structures -- 23.7 Path-dependent structures -- 23.8 Digital and range-accrual structures -- 23.9 Correlation structures -- 23.10 Redeeming structured products prior to maturity -- 23.11 Finalé -- Index."]
[null,null,null,"Sommario/riassunto","The Financial Times Handbook of Financial Engineering clearly explains the tools of financial engineering, showing you the formulas behind the tools, illustrating how they are applied, priced and hedged.  All applications in this book are illustrated with fully-worked practical examples, and recommended tactics and techniques are tested using recent data."]