Principles of financial engineering
Author(s)
Bibliographic Information
Principles of financial engineering
（Academic Press advanced finance series）
Elsevier Academic Press, c2004
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Note
Includes bibliographical references (p. 541-544) and index
Description and Table of Contents
Description
Principles of Financial Engineering presents a fresh, original, informative, and up-to-date introduction to financial engineering.
Rather than introducing financial instruments, this book describes the methods of synthetically creating assets in static and in dynamic environments, and shows how to use them. It offers clear links between intuition and underlying mathematics and an outstanding mixture of market insights and mathematical materials. It emphasizes developing methods that can be used to solve risk management, taxation, regulation, and above all, pricing problems. It explains issues involved in the day-to-day life of traders, using non-mathematical language. It provides a careful and concise analysis of the LIBOR market model and of volatility engineering problems. Exercises and case studies at end of each chapter as well as on-line Solutions Manual are available.
This book will be a useful resource for anyone learning about practical elements of financial engineering. It can also serve as a resource for professionals and academics in all areas of quantitative finance.
Table of Contents
- Introduction
- A Review of Markets, Players, and Conventions
- Cash Flow Engineering with Forward Contracts
- Engineering Simple Interest Rate Derivatives
- Introduction to Swap Engineering
- Repo Market Strategies in Financial Engineering
- Dynamic Replication Methods and Synthetics
- Mechanics of Options
- Engineering Convexity Positions
- Options Engineering with Applications
- Pricing Tools in Financial Engineering
- Applications of Fundamental Theorem of Finance
- A Framework for Fixed Income Engineering and LIBOR Market Model
- Tools for Volatility Engineering: Volatility Swaps and Volatility Trading
- Smile Effects in Financial Engineering
- Engineering of Equity Instruments: Pricing and Replication
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