Mastering financial calculations a step-by-step guide to the mathematics of financial market instruments
Success in today's sophisticated financial markets depends on a firm understanding of key financial concepts and mathematical techniques. Mastering Financial Calculations explains them in a clear, comprehensive way - so even if your mathematical background is limited, you'll thoroughly gra...
| Main Author: | |
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| Format: | eBook |
| Language: | English |
| Published: |
Harlow
Pearson
2012
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| Edition: | 3rd ed |
| Series: | The Mastering Series
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| Subjects: | |
| Online Access: | |
| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- Repos, buy / sell-backs and securities lending
- Introduction
- Classic repo
- Margin calls
- General collateral (GC) and specials
- Other features
- Buy/sell-back
- Close-out and repricing
- Securities lending
- Comparison between the different transactions
- Uses of repo and securities lending
- Exercises
- Zero-coupon rates and yield curves
- Zero-coupon yields, par yields and bootstrapping
- Forward-forward yields
- Summary
- Longer-dated fras
- Exercises
- Part 3: Foreogn Exchange
- Foreign exchange
- Introduction
- Spot exchange rates
- Forward exchange rates
- Includes bibliographical references and index
- Averages
- arithmetic & geometric means, weighted averages, median and mode
- Variance, standard deviation and volatility
- Correlation and covariance
- Histograms, probability density and the normal probability function
- Confidence levels and the normal probability table
- Exercises
- Part 2: Interest Rate Instruments
- The money market
- Overview
- Day/year conventions
- Money market instruments
- Money market calculations
- Discount instruments
- CDs paying more than one coupon
- Value dates
- Exercises
- Forward-forward interest rates and forward rate agreements (fras)
- Forward-forwards, fras and futures
- Applications of fras
- Exercises
- Interest rate futures
- Overview
- Exchange structure and margins
- Futures compared with fras
- Pricing and hedging fras with futures
- Trading with interest rate futures
- Exercises
- Bond market calculations
- Overview of capital market instruments
- Features and variations
- Introduction to bond pricing
- Different yield measures and price calculations
- A summary of the various approaches to price/ yield
- Duration, modified duration and convexity
- Bond futures
- Cash-and-carry arbitrage
- Exercises
- Cross-rate forwards
- Short dates
- Calculation summary
- Value dates
- Forward-forwards
- Non-deliverable forwards (NDFs)
- Time options
- Long-dated forwards
- Arbitraging and creating FRAs
- Discounting future foreign exchange risk
- Exercises
- Part 4: Swaps and Options
- Interest rate and currency swaps
- Basic concepts and applications
- Overnight index swap (OIS)
- Pricing
- Valuing swaps
- Hedging an interest rate swap
- Amortising and forward-start swaps
- Currency swaps
- Exercises
- Options
- Overview
- The ideas behind option pricing
- Pricing models
- Cover
- Mastering Financial Calculations
- Disclaimer
- The author
- Contents
- Foreword
- Introduction
- Part 1: The Basics
- Financial arithmetic basics
- Some opening remarks on formulas
- Use of an HP calculator
- Simple and compound interest
- Nominal and effective rates
- Future value / present value
- time value of money
- Discount factors
- Cashflow analysis, NPV, IRR and time-weighted rate of return
- Annuities
- Using an HP calculator for cashflow analysis
- Interpolation and extrapolation
- Exercises
- Statistics basics