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Principles of financial engineering / Salih N. Neftci.

By: Material type: TextTextSeries: Academic Press advanced finance seriesPublication details: San Diego, Calif. : Elsevier Academic Press, c2004.Description: xiii, 556 p. : ill. ; 27 cmISBN:
  • 0125153945
Subject(s): DDC classification:
  • 658.15 22
LOC classification:
  • HG176.7 .N44 2004
Contents:
Ch. 1. Introduction -- Ch. 2. A review of markets, players, and conventions -- Ch. 3. Cash flow engineering and forward contracts -- Ch. 4. Engineering simple interest rate derivatives -- Ch. 5. Introduction to swap engineering -- Ch. 6. Repo market strategies in financial engineering -- Ch. 7. Dynamic replication methods and synthetics -- Ch. 8. Mechanics of options -- Ch. 9. Engineering convexity positions -- Ch. 10. Options engineering with applications -- Ch. 11. Pricing tools in financial engineering -- Ch. 12. Some applications of the fundamental theorem -- Ch. 13. A framework for fixed-income engineering -- Ch. 14. Tools for volatility engineering, volatility swaps, and volatility trading -- Ch. 15. Smile effects in financial engineering -- Ch. 16. How do credit derivatives change financial engineering? -- Ch. 17. Engineering of equity instruments : pricing and replication -- Ch. 18. An important application : swaptions and mortgages.
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Holdings
Item type Current library Call number Status Barcode
General Collection Main Campus Library General Stacks HG 176.7 .N44 2004 (Browse shelf(Opens below)) Available 20091161

Includes bibliographic references and index.

Ch. 1. Introduction -- Ch. 2. A review of markets, players, and conventions -- Ch. 3. Cash flow engineering and forward contracts -- Ch. 4. Engineering simple interest rate derivatives -- Ch. 5. Introduction to swap engineering -- Ch. 6. Repo market strategies in financial engineering -- Ch. 7. Dynamic replication methods and synthetics -- Ch. 8. Mechanics of options -- Ch. 9. Engineering convexity positions -- Ch. 10. Options engineering with applications -- Ch. 11. Pricing tools in financial engineering -- Ch. 12. Some applications of the fundamental theorem -- Ch. 13. A framework for fixed-income engineering -- Ch. 14. Tools for volatility engineering, volatility swaps, and volatility trading -- Ch. 15. Smile effects in financial engineering -- Ch. 16. How do credit derivatives change financial engineering? -- Ch. 17. Engineering of equity instruments : pricing and replication -- Ch. 18. An important application : swaptions and mortgages.

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