| Nota di contenuto |
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 pricing for bond futures -- 7.4 The implied repo rate -- 7.5 The delivery mechanism -- 7.6 Basic hedging with bond futures.
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.
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.
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.
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.
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Finamcial engineering : Tools and techniques to manage financial risk / Lawrence Galitz
