Table of Contents

CHAPTER 1 Introduction
CHAPTER 2 Institutional Aspects of Derivatives Markets - An Introduction to Some Concepts and Definitions
CHAPTER 3 Cash Flow Engineering, Interest Rate Forwards and Futures
CHAPTER 4 Introduction to Swap Engineering
CHAPTER 5 Repo Market Strategies in Financial Engineering
CHAPTER 6 Cash Flow Engineering and FX Contracts
CHAPTER 7 Cash Flow Engineering and Alternative Classes (Commodities and Hedge Funds)
CHAPTER 8 Dynamic Replication Methods and Synthetics
CHAPTER 9 Mechanics of Options
CHAPTER 10 Engineering Convexity Positions
CHAPTER 11 Options Engineering with Applications
CHAPTER 12 Pricing Tools in Financial Engineering
CHAPTER 13 Some Applications of the Fundamental Theorem
CHAPTER 14 Fixed-Income Engineering
CHAPTER 15 Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
CHAPTER 16 Correlation as an Asset Class and the Smile
CHAPTER 17 Caps/Floors and Swaptions with an Application to Mortgages
CHAPTER 18 Engineering of Equity Instruments: Pricing and Replication
CHAPTER 19 Credit Markets: CDS Engineering
CHAPTER 20 Essentials of Structured Product Engineering
CHAPTER 21 Essentials of Credit Structured Product Engineering
CHAPTER 22 Default Correlation Pricing and Trading
CHAPTER 23 Principal Protection Techniques
CHAPTER 24 Counter-Party Risk, Multiple Curves, CVA, DVA, FVA, OIS

Details

No. of pages:
896
Language:
English
Copyright:
© 2015
Published:
Imprint:
Academic Press
Print ISBN:
9780123869685
Electronic ISBN:
9780123870070

About the editors

Salih Neftci

Professor Neftci completed his Ph.D. at the University of Minnesota and was head of the FAME Certificate program in Switzerland. He taught at the Graduate School, City University of New York; ICMA Centre, University of Reading; and at the University of Lausanne. He was also a Visiting Professor in the Finance Department at Hong Kong University of Science and Technology. Known his books and articles, he was a regular columnist for CBN daily, the most influential financial newspaper in China.

Robert Kosowski

Robert Kosowski is Associate Professor in the Finance Group of Imperial College Business School, Imperial College London, and Director of the Risk Management Lab and Centre for Hedge Fund Research. Robert is an associate member of the Oxford-Man Institute of Quantitative Finance at Oxford University and a member of AIMA's research committee. His research interests include asset management, asset pricing, and financial econometrics with a focus on hedge and mutual funds, performance measurement, asset allocation, business cycles, and derivative trading strategies. Robert's research has been featured in "The Financial Times" and "The Wall Street Journal" and was awarded the European Finance Association 2007 Best Paper Award, an INQUIRE UK 2008 best paper award, an INQUIRE Europe 2009/10 and 2012/13 best paper award, and the British Academy's mid-career fellowship (2011-2012). Robert's research has been published in top peer-reviewed finance journals such as "The Journal of Finance," "The Journal of Financial Economics" and the "Review of Financial Studies." Prior to joining Imperial College London Robert was an Assistant Professor of Finance at INSEAD, where he taught in the MBA, Executive Education, and Ph.D. programs. Robert was a visiting scholar at the UCSD Economics Department (2000) and the International Monetary Fund (2008). At Imperial Robert teaches in the MSc Finance. He won teaching prizes at Imperial College Business School in 2009 and 2014. Robert holds a BA (First Class Honours) and MA in Economics from Trinity College, Cambridge University, and a MSc in Economics and Ph.D. from the London School of Economics. He has consulted for private and public sector organizations and has worked for Goldman Sachs, the Boston Consulting Group, and Deutsche Bank. His policy related advisory work includes: Specialist Adviser to UK House of Lords (2009-2010) and Expert Technical Consultant (International Monetary Fund, USA, 2008).