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Financial Engineering - Derivatives & Risk Management

Financial Engineering - Derivatives & Risk Management

Autorzy
Wydawnictwo John Wiley & Sons Inc
Data wydania 2001
Liczba stron 800
Forma publikacji książka w miękkiej oprawie
Poziom zaawansowania Dla profesjonalistów, specjalistów i badaczy naukowych
Język angielski
ISBN 9780471495840
Kategorie Inwestycje i papiery wartościowe
295.05 PLN (z VAT)
$66.37 / €63.26 / £54.91 /
Produkt na zamówienie
Dostawa 5-6 tygodni
Ilość
Do schowka

Opis książki

This text provides a thorough treatment of futures, a plain vanillaa options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications. Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy. This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand--alone text or as a follow--on to Investments: Spot and Derivatives Markets by the same authors.
The authors adopt a real--world emphasis throughout, and include features such as: aeo topic boxes, worked examples and learning objectives aeo Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases aeo supporting web site including Lecturera s Resource Pack and Student Centre with interactive Excel and GAUSS software

Financial Engineering - Derivatives & Risk Management

Spis treści

Preface. DERIVATIVES: AN OVERVIEW. Derivatives: An Overview. FORWARDS AND FUTURES. Futures Markets. Stock Index Futures. Currency Forwards and Futures. Short--Term Interest Rate Futures. T--Bond Futures. OPTIONS AND SWAPS. Options Markets. Options Pricing. Hedging and Volatility. Option Spreads and Stock Options. Foreign Currency Options. Futures Options. Portfolio Insurance. Swaps. ADVANCED DERIVATIVES AND STOCHASTIC PROCESSES. Interest Rate Derivatives. Complex Derivatives. Asset Price Dynamics. Pricing Interest Rate Derivatives. Real Options (Alexander Workman, Co--Author). RISK AND REGULATION. Regulation of Financial Institutions. Regulatory Framework in the UK and US. Market Risk. VaR: Mapping Cash Flows. VaR: Statistical Issues. Credit Risk. Glossary. List of Symbols. List of a Topic Boxesa . Internet Sites. References. Author Index. Subject Index.

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