Data modeling of financial derivatives a conceptual approach
Written in plain English and based on successful client engagements, Data Modeling of Financial Derivatives: A Conceptual Approach introduces new and veteran data modelers, financial analysts, and IT professionals to the fascinating world of financial derivatives. Covering futures, forwards, options...
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| Format: | eBook |
| Language: | English |
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[New York]
Apress
2013
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| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- Includes bibliographical references and index
- Chapter 1: Introduction; The Purpose of This Book; The Audience for This Book; Book Structure; The Benefits of Data Modeling Patterns; The Conceptual Models Used in This Book; Practice and Dedication; Asking the Right Questions; Conclusion; Recommended Reading; Chapter 2: Barker's Notation; Different Types of Data Models; Entity; Subtypes and Supertypes; Representing Subtypes/Supertypes in a Data Model; Subtype/Supertype Rules; Attributes; Relationships; Rules Governing Relationships; Relationships between Subtypes; Modeling Recursive Relationships
- Recursive One-to-Many RelationshipsRecursive Many-to-Many Relationships; Recursive One-to-One Relationships; Redundant Relationships; Exclusivity Arc; Barker's Positional Convention; Conclusion; Recommended Readings; Chapter 3: Financial Contracts; What Is a Contract?; Maintaining a Contract Participation History; Differentiating between a Contract and a Contract Type; Assets and Asset Types; The Importance of Ownership Recognition; Modeling Contract Asset Allocations; Contract Structure and Contract Type Structure; Contract Variables and Their Assignment; Business Strategy; Collateral
- Modeling EmploymentSubtyping Futures Contracts; Modeling Futures Contracts Participation; Associating Futures Contracts with Paper Assets (Asset Types); Futures Contracts and Variable Assignment (Complete Model); Futures Contracts and Variable Assignment (Simplified Model); Futures Contracts and Variable Observations; Margin Accounts; Futures Contracts Delivery; Rolling Forward Futures Contracts; Summary of the Differences between Futures and Forward Contracts; Conclusion; Chapter 6: Modeling Options; Option Positions; Offsetting Orders; Underlying Assets
- Contract DeliveryContract Regulations; Conclusion; Recommended Readings; Chapter 4: Modeling Forward Contracts; Defining a Forward Contract; Forward Contract Specifications; Subtyping Contract Type; Forward Contract Data Modeling Basics; Associating Forward Contracts with Asset Types; Forward Contracts and Variable Assignment; Associating Forward Contracts with Business Strategies; Forward Contracts and Delivery; Forward Contracts and Cash Settlements; Offsetting Forward Contracts; Forward Contract Termination; Lawsuits and Violations; Conclusion; Chapter 5: Modeling Futures Contracts
- Associating Option Contracts with Buyers and SellersModeling an Option Asset Type; Modeling Options as Physical Assets; Modeling Option Asset Allocation; The Importance of Mathematical Models; Calculating Volatility from Historical Data; Option Contract Variable Assignment; Option Contract Settlement Type; Automatic Option Exercise; Closing Out Option Contract; Naked Options; Modeling an Option's Delivery Subject Area; FLEX Options; Conclusion; Chapter 7: Modeling Advanced Options Strategies; A Simple Strategy Involving One Stock and One Option; Option Strategy Metadata Modeling; Bull Spreads