发帖
雷达卡
金融工程原理（英文版－Neftci）
Contents
Preface xv
CHAPTER 1 Introduction 1
1. A Unique Instrument 1
2. A Money Market Problem 8
3. A Taxation Example 11
4. Some Caveats for What Is to Follow 14
5. Trading Volatility 15
6. Conclusions 18
Suggested Reading 19
Case Study 20
CHAPTER 2 An Introduction to Some Concepts and Definitions 23
1. Introduction 23
2. Markets 23
3. Players 27
4. The Mechanics of Deals 27
5. Market Conventions 30
6. Instruments 37
7. Positions 37
8. The Syndication Process 41
9. Conclusions 42
Suggested Reading 42
Appendix 2-1: The Hedge Fund Industry 42
Exercises 46
CHAPTER 3 Cash Flow Engineering and Forward Contracts 47
1. Introduction 47
2. What Is a Synthetic? 47
3. Forward Contracts 51
4. Currency Forwards 54
5. Synthetics and Pricing 59
6. A Contractual Equation 59
7. Applications 60
vii
viii Contents
8. A “Better” Synthetic 66
9. Futures 70
10. Conventions for Forwards 75
11. Conclusions 76
Suggested Reading 77
Exercises 78
Case Study 80
CHAPTER 4 Engineering Simple Interest Rate Derivatives 83
1. Introduction 83
2. Libor and Other Benchmarks 84
3. Forward Loans 85
4. Forward Rate Agreements 92
5. Futures: Eurocurrency Contracts 96
6. Real-World Complications 100
7. Forward Rates and Term Structure 102
8. Conventions 103
9. A Digression: Strips 104
10. Conclusions 105
Suggested Reading 105
Exercises 106
CHAPTER 5 Introduction to Swap Engineering 109
1. The Swap Logic 109
2. Applications 112
3. The Instrument: Swaps 117
4. Types of Swaps 120
5. Engineering Interest Rate Swaps 129
6. Uses of Swaps 137
7. Mechanics of Swapping New Issues 142
8. Some Conventions 148
9. Currency Swaps versus FX Swaps 148
10. Additional Terminology 150
11. Conclusions 151
Suggested Reading 151
Exercises 152
CHAPTER 6 Repo Market Strategies in Financial Engineering 157
1. Introduction 157
2. What Is Repo? 158
3. Types of Repo 160
4. Equity Repos 165
5. Repo Market Strategies 165
6. Synthetics Using Repos 171
7. Conclusions 173
Suggested Reading 173
Exercises 174
Case Study 175
Contents ix
CHAPTER 7 Dynamic Replication Methods and Synthetics 177
1. Introduction 177
2. An Example 178
3. A Review of Static Replication 178
4. “Ad Hoc” Synthetics 183
5. Principles of Dynamic Replication 186
6. Some Important Conditions 197
7. Real-Life Complications 198
8. Conclusions 200
Suggested Reading 200
Exercises 201
CHAPTER 8 Mechanics of Options 203
1. Introduction 203
2. What Is an Option? 204
3. Options: Definition and Notation 205
4. Options as Volatility Instruments 211
5. Tools for Options 221
6. The Greeks and Their Uses 228
7. Real-Life Complications 240
8. Conclusion: What Is an Option? 241
Suggested Reading 241
Appendix 8-1 242
Appendix 8-2 244
Exercises 246
CHAPTER 9 Engineering Convexity Positions 249
1. Introduction 249
2. A Puzzle 250
3. Bond Convexity Trades 250
4. Sources of Convexity 262
5. A Special Instrument: Quantos 267
6. Conclusions 272
Suggested Reading 272
Exercises 273
Case Study 275
CHAPTER 10 Options Engineering with Applications 277
1. Introduction 277
2. Option Strategies 280
3. Volatility-Based Strategies 291
4. Exotics 296
5. Quoting Conventions 307
6. Real-World Complications 309
7. Conclusions 310
Suggested Reading 310
Exercises 311
x Contents
CHAPTER 11 Pricing Tools in Financial Engineering 315
1. Introduction 315
2. Summary of Pricing Approaches 316
3. The Framework 317
4. An Application 322
5. Implications of the Fundamental Theorem 328
6. Arbitrage-Free Dynamics 334
7. Which Pricing Method to Choose? 338
8. Conclusions 339
Suggested Reading 339
Appendix 11-1 340
Exercises 342
CHAPTER 12 Some Applications of the Fundamental Theorem 345
1. Introduction 345
2. Application 1: The Monte Carlo Approach 346
3. Application 2: Calibration 354
4. Application 3: Quantos 363
5. Conclusions 370
Suggested Reading 370
Exercises 371
CHAPTER 13 Fixed-Income Engineering 373
1. Introduction 373
2. A Framework for Swaps 374
3. Term Structure Modeling 383
4. Term Structure Dynamics 385
5. Measure Change Technology 394
6. An Application 399
7. In-Arrears Swaps and Convexity 404
8. Cross-Currency Swaps 408
9. Differential (Quanto) Swaps 409
10. Conclusions 409
Suggested Reading 410
Appendix 13-1: Practical Yield Curve Calculations 411
Exercises 414
CHAPTER 14 Tools for Volatility Engineering, Volatility Swaps,
and Volatility Trading 415
1. Introduction 415
2. Volatility Positions 416
3. Invariance of Volatility Payoffs 417
4. Pure Volatility Positions 424
5. Volatility Swaps 427
6. Some Uses of the Contract 432
7. Which Volatility? 433
8. Conclusions 434
Suggested Reading 435
Exercises 436
Contents xi
CHAPTER 15 Volatility as an Asset Class and the Smile 439
1. Introduction to Volatility as an Asset Class 439
2. Volatility as Funding 440
3. Smile 442
4. Dirac Delta Functions 442
5. Application to Option Payoffs 444
6. Breeden-Litzenberger Simplified 446
7. A Characterization of Option Prices as Gamma Gains 450
8. Introduction to the Smile 451
9. Preliminaries 452
10. A First Look at the Smile 453
11. What Is the Volatility Smile? 454
12. Smile Dynamics 462
13. How to Explain the Smile 462
14. The Relevance of the Smile 469
15. Trading the Smile 470
16. Pricing with a Smile 470
17. Exotic Options and the Smile 471
18. Conclusions 475
Suggested Reading 475
Exercises 476
CHAPTER 16 Credit Markets: CDS Engineering 479
1. Introduction 479
2. Terminology and Definitions 480
3. Credit Default Swaps 482
4. Real-World Complications 492
5. CDS Analytics 494
6. Default Probability Arithmetic 495
7. Structured Credit Products 500
8. Total Return Swaps 504
9. Conclusions 505
Suggested Reading 505
Exercises 507
Case Study 510
CHAPTER 17 Essentials of Structured Product Engineering 513
1. Introduction 513
2. Purposes of Structured Products 513
3. Structured Fixed-Income Products 526
4. Some Prototypes 533
5. Conclusions 543
Suggested Reading 544
Exercises 545
xii Contents
CHAPTER 18 Credit Indices and Their Tranches 547
1. Introduction 547
2. Credit Indices 547
3. Introduction to ABS and CDO 548
4. A Setup for Credit Indices 550
5. Index Arbitrage 553
6. Tranches: Standard and Bespoke 555
7. Tranche Modeling and Pricing 556
8. The Roll and the Implications 560
9. Credit versus Default Loss Distributions 562
10. An Important Generalization 563
11. New Index Markets 566
12. Conclusions 568
Suggested Reading 568
Appendix 18-1 569
Exercises 570
CHAPTER 19 Default Correlation Pricing and Trading 571
1. Introduction 571
2. Some History 572
3. Two Simple Examples 572
4. The Model 575
5. Default Correlation and Trading 579
6. Delta Hedging and Correlation Trading 580
7. Real-World Complications 585
8. Conclusions 587
Suggested Reading 587
Appendix 19-1 588
Exercises 590
Case Study 591
CHAPTER 20 Principal Protection Techniques 595
1. Introduction 595
2. The Classical Case 596
3. The CPPI 597
4. Modeling the CPPI Dynamics 599
5. An Application: CPPI and Equity Tranches 601
6. A Variant: The DPPI 604
7. Real-World Complications 605
8. Conclusions 606
Suggested Reading 606
Exercises 607
CHAPTER 21 Caps/Floors and Swaptions with an Application
to Mortgages 611
1. Introduction 611
2. The Mortgage Market 612
3. Swaptions 618
Contents xiii
4. Pricing Swaptions 620
5. Mortgage-Based Securities 625
6. Caps and Floors 626
7. Conclusions 631
Suggested Reading 631
Exercises 632
Case Study 634
CHAPTER 22 Engineering of Equity Instruments: Pricing
and Replication 637
1. Introduction 637
2. What Is Equity? 638
3. Engineering Equity Products 644
4. Financial Engineering of Securitization 654
5. Conclusions 657
Suggested Reading 657
Exercises 658
Case Study 659
References 663
Index 667
京公网安备 11010802022788号
