University of Kabianga
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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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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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