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An arbitrage guide to financial markets [[electronic resource] /] / Robert Dubil
| An arbitrage guide to financial markets [[electronic resource] /] / Robert Dubil |
| Autore | Dubil Robert |
| Pubbl/distr/stampa | Chichester, : Wiley Finance, 2004 |
| Descrizione fisica | 1 online resource (345 p.) |
| Disciplina | 332.6 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Stock exchanges
Investments - Mathematics Arbitrage Risk |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-37135-9
9786613371355 0-470-01225-0 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
An Arbitrage Guide to Financial Markets; Contents; 1 The Purpose and Structure of Financial Markets; 1.1 Overview; 1.2 Risk sharing; 1.3 The structure of financial markets; 1.4 Arbitrage: Pure vs. relative value; 1.5 Financial institutions: Asset transformers and broker-dealers; 1.6 Primary and secondary markets; 1.7 Market players: Hedgers vs. speculators; 1.8 Preview of the book; Part One SPOT; 2 Financial Math I-Spot; 2.1 Interest-rate basics; Present value; Compounding; Day-count conventions; Rates vs. yields; 2.2 Zero, coupon and amortizing rates; Zero-coupon rates; Coupon rates
Yield to maturity Amortizing rates; Floating-rate bonds; 2.3 The term structure of interest rates; Discounting coupon cash flows with zero rates; Constructing the zero curve by bootstrapping; 2.4 Interest-rate risk; Duration; Portfolio duration; Convexity; Other risk measures; 2.5 Equity markets math; A dividend discount model; Beware of P/E ratios; 2.6 Currency markets; 3 Fixed Income Securities; 3.1 Money markets; U.S. Treasury bills; Federal agency discount notes; Short-term munis; Fed Funds (U.S.) and bank overnight refinancing (Europe); Repos (RPs); Eurodollars and Eurocurrencies Negotiable CDs Bankers' acceptances (BAs); Commercial paper (CP); 3.2 Capital markets: Bonds; U.S. government and agency bonds; Government bonds in Europe and Asia; Corporates; Munis; 3.3 Interest-rate swaps; 3.4 Mortgage securities; 3.5 Asset-backed securities; 4 Equities, Currencies, and Commodities; 4.1 Equity markets; Secondary markets for individual equities in the U.S.; Secondary markets for individual equities in Europe and Asia; Depositary receipts and cross-listing; Stock market trading mechanics; Stock indexes; Exchange-traded funds (ETFs); Custom baskets The role of secondary equity markets in the economy 4.2 Currency markets; 4.3 Commodity markets; 5 Spot Relative Value Trades; 5.1 Fixed-income strategies; Zero-coupon stripping and coupon replication; Duration-matched trades; Example: Bullet-barbell; Example: Twos vs. tens; Negative convexity in mortgages; Spread strategies in corporate bonds; Example: Corporate spread widening/narrowing trade; Example: Corporate yield curve trades; Example: Relative spread trade for high and low grades; 5.2 Equity portfolio strategies; Example: A non-diversified portfolio and benchmarking Example: Sector plays 5.3 Spot currency arbitrage; 5.4 Commodity basis trades; Part Two FORWARDS; 6 Financial Math II-Futures and Forwards; 6.1 Commodity futures mechanics; 6.2 Interest-rate futures and forwards; Overview; Eurocurrency deposits; Eurodollar futures; Certainty equivalence of ED futures; Forward-rate agreements (FRAs); Certainty equivalence of FRAs; 6.3 Stock index futures; Locking in a forward price of the index; Fair value of futures; Fair value with dividends; Single stock futures; 6.4 Currency forwards and futures; Fair value of currency forwards; Covered interest-rate parity Currency futures |
| Record Nr. | UNINA-9910449775703321 |
Dubil Robert
|
||
| Chichester, : Wiley Finance, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An arbitrage guide to financial markets [[electronic resource] /] / Robert Dubil
| An arbitrage guide to financial markets [[electronic resource] /] / Robert Dubil |
| Autore | Dubil Robert |
| Pubbl/distr/stampa | Chichester, : Wiley Finance, 2004 |
| Descrizione fisica | 1 online resource (345 p.) |
| Disciplina | 332.6 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Stock exchanges
Investments - Mathematics Arbitrage Risk |
| ISBN |
1-283-37135-9
9786613371355 0-470-01225-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
An Arbitrage Guide to Financial Markets; Contents; 1 The Purpose and Structure of Financial Markets; 1.1 Overview; 1.2 Risk sharing; 1.3 The structure of financial markets; 1.4 Arbitrage: Pure vs. relative value; 1.5 Financial institutions: Asset transformers and broker-dealers; 1.6 Primary and secondary markets; 1.7 Market players: Hedgers vs. speculators; 1.8 Preview of the book; Part One SPOT; 2 Financial Math I-Spot; 2.1 Interest-rate basics; Present value; Compounding; Day-count conventions; Rates vs. yields; 2.2 Zero, coupon and amortizing rates; Zero-coupon rates; Coupon rates
Yield to maturity Amortizing rates; Floating-rate bonds; 2.3 The term structure of interest rates; Discounting coupon cash flows with zero rates; Constructing the zero curve by bootstrapping; 2.4 Interest-rate risk; Duration; Portfolio duration; Convexity; Other risk measures; 2.5 Equity markets math; A dividend discount model; Beware of P/E ratios; 2.6 Currency markets; 3 Fixed Income Securities; 3.1 Money markets; U.S. Treasury bills; Federal agency discount notes; Short-term munis; Fed Funds (U.S.) and bank overnight refinancing (Europe); Repos (RPs); Eurodollars and Eurocurrencies Negotiable CDs Bankers' acceptances (BAs); Commercial paper (CP); 3.2 Capital markets: Bonds; U.S. government and agency bonds; Government bonds in Europe and Asia; Corporates; Munis; 3.3 Interest-rate swaps; 3.4 Mortgage securities; 3.5 Asset-backed securities; 4 Equities, Currencies, and Commodities; 4.1 Equity markets; Secondary markets for individual equities in the U.S.; Secondary markets for individual equities in Europe and Asia; Depositary receipts and cross-listing; Stock market trading mechanics; Stock indexes; Exchange-traded funds (ETFs); Custom baskets The role of secondary equity markets in the economy 4.2 Currency markets; 4.3 Commodity markets; 5 Spot Relative Value Trades; 5.1 Fixed-income strategies; Zero-coupon stripping and coupon replication; Duration-matched trades; Example: Bullet-barbell; Example: Twos vs. tens; Negative convexity in mortgages; Spread strategies in corporate bonds; Example: Corporate spread widening/narrowing trade; Example: Corporate yield curve trades; Example: Relative spread trade for high and low grades; 5.2 Equity portfolio strategies; Example: A non-diversified portfolio and benchmarking Example: Sector plays 5.3 Spot currency arbitrage; 5.4 Commodity basis trades; Part Two FORWARDS; 6 Financial Math II-Futures and Forwards; 6.1 Commodity futures mechanics; 6.2 Interest-rate futures and forwards; Overview; Eurocurrency deposits; Eurodollar futures; Certainty equivalence of ED futures; Forward-rate agreements (FRAs); Certainty equivalence of FRAs; 6.3 Stock index futures; Locking in a forward price of the index; Fair value of futures; Fair value with dividends; Single stock futures; 6.4 Currency forwards and futures; Fair value of currency forwards; Covered interest-rate parity Currency futures |
| Record Nr. | UNINA-9910783518903321 |
|
Dubil Robert
|
||
| Chichester, : Wiley Finance, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An arbitrage guide to financial markets [[electronic resource] /] / Robert Dubil
| An arbitrage guide to financial markets [[electronic resource] /] / Robert Dubil |
| Autore | Dubil Robert |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester, : Wiley Finance, 2004 |
| Descrizione fisica | 1 online resource (345 p.) |
| Disciplina | 332.6 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Stock exchanges
Investments - Mathematics Arbitrage Risk |
| ISBN |
1-283-37135-9
9786613371355 0-470-01225-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
An Arbitrage Guide to Financial Markets; Contents; 1 The Purpose and Structure of Financial Markets; 1.1 Overview; 1.2 Risk sharing; 1.3 The structure of financial markets; 1.4 Arbitrage: Pure vs. relative value; 1.5 Financial institutions: Asset transformers and broker-dealers; 1.6 Primary and secondary markets; 1.7 Market players: Hedgers vs. speculators; 1.8 Preview of the book; Part One SPOT; 2 Financial Math I-Spot; 2.1 Interest-rate basics; Present value; Compounding; Day-count conventions; Rates vs. yields; 2.2 Zero, coupon and amortizing rates; Zero-coupon rates; Coupon rates
Yield to maturity Amortizing rates; Floating-rate bonds; 2.3 The term structure of interest rates; Discounting coupon cash flows with zero rates; Constructing the zero curve by bootstrapping; 2.4 Interest-rate risk; Duration; Portfolio duration; Convexity; Other risk measures; 2.5 Equity markets math; A dividend discount model; Beware of P/E ratios; 2.6 Currency markets; 3 Fixed Income Securities; 3.1 Money markets; U.S. Treasury bills; Federal agency discount notes; Short-term munis; Fed Funds (U.S.) and bank overnight refinancing (Europe); Repos (RPs); Eurodollars and Eurocurrencies Negotiable CDs Bankers' acceptances (BAs); Commercial paper (CP); 3.2 Capital markets: Bonds; U.S. government and agency bonds; Government bonds in Europe and Asia; Corporates; Munis; 3.3 Interest-rate swaps; 3.4 Mortgage securities; 3.5 Asset-backed securities; 4 Equities, Currencies, and Commodities; 4.1 Equity markets; Secondary markets for individual equities in the U.S.; Secondary markets for individual equities in Europe and Asia; Depositary receipts and cross-listing; Stock market trading mechanics; Stock indexes; Exchange-traded funds (ETFs); Custom baskets The role of secondary equity markets in the economy 4.2 Currency markets; 4.3 Commodity markets; 5 Spot Relative Value Trades; 5.1 Fixed-income strategies; Zero-coupon stripping and coupon replication; Duration-matched trades; Example: Bullet-barbell; Example: Twos vs. tens; Negative convexity in mortgages; Spread strategies in corporate bonds; Example: Corporate spread widening/narrowing trade; Example: Corporate yield curve trades; Example: Relative spread trade for high and low grades; 5.2 Equity portfolio strategies; Example: A non-diversified portfolio and benchmarking Example: Sector plays 5.3 Spot currency arbitrage; 5.4 Commodity basis trades; Part Two FORWARDS; 6 Financial Math II-Futures and Forwards; 6.1 Commodity futures mechanics; 6.2 Interest-rate futures and forwards; Overview; Eurocurrency deposits; Eurodollar futures; Certainty equivalence of ED futures; Forward-rate agreements (FRAs); Certainty equivalence of FRAs; 6.3 Stock index futures; Locking in a forward price of the index; Fair value of futures; Fair value with dividends; Single stock futures; 6.4 Currency forwards and futures; Fair value of currency forwards; Covered interest-rate parity Currency futures |
| Record Nr. | UNINA-9910828831003321 |
|
Dubil Robert
|
||
| Chichester, : Wiley Finance, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial engineering and arbitrage in the financial markets / / Robert Dubil
| Financial engineering and arbitrage in the financial markets / / Robert Dubil |
| Autore | Dubil Robert |
| Edizione | [2nd edition.] |
| Pubbl/distr/stampa | Chichester, West Sussex, UK ; ; Hoboken, NJ, : John Wiley, 2011 |
| Descrizione fisica | 1 online resource (xii, 367 pages) |
| Disciplina |
332.041
600 |
| Collana | Wiley finance |
| Soggetto topico |
Financial engineering
Arbitrage Capital market Investments - Mathematics |
| ISBN |
1-283-29889-9
9786613298898 1-118-46734-5 1-119-95062-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial 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
2.1.2 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 2.6.2 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 3.5.4 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 4.3.4 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 5.7.1 Black-Scholes with No Dividends |
| Record Nr. | UNINA-9910141249603321 |
|
Dubil Robert
|
||
| Chichester, West Sussex, UK ; ; Hoboken, NJ, : John Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||