Financial Engineering and Arbitrage in the Financial Markets

A whole is worth the sum of its parts. Even the most complex structured bond, credit arbitrage strategy or hedge trade can be broken down into its component parts, and if we understand the elemental components, we can then value the whole as the sum of its parts. We can quantify the risk that is hedged and the risk that is left as the residual exposure. If we learn to view all financial trades and securities as engineered packages of building blocks, then we can analyze in which structures some parts may be cheap and some may be rich. It is this relative value arbitrage principle that drives all modern trading and investment.This book is an easy-to-understand guide to the complex world of today’s financial markets teaching you what money and capital markets are about through a sequence of arbitrage-based numerical illustrations and exercises enriched with institutional detail. Filled with insights and real life examples from the trading floor, it is essential reading for anyone starting out in trading.Using a unique structural approach to teaching the mechanics of financial markets, the book dissects markets into their common building blocks: spot (cash), forward/futures, and contingent (options) transactions. After explaining how each of these is valued and settled, it exploits the structural uniformity across all markets to introduce the difficult subjects of financially engineered products and complex derivatives.The book avoids stochastic calculus in favour of numeric cash flow calculations, present value tables, and diagrams, explaining options, swaps and credit derivatives without any use of differential equations. ROBERT DUBILhas been an Associate Professor in the finance department at the University of Utah since 2005. Prior to this he was Chief Strategist at HedgeStreet where he also wrote a blog as Dr Bob, and has held positions at UBS as Head of Quantitative Research and Fixed Income Options Trading; Chase Manhattan as Head of Exotics; Merrill Lynch as a Fixed Income Derivatives Trader, and latter as Director of Analytics in the Corporate Risk Management Group; Nomura; and J.P. Morgan. Professor Dubil holds a PhD and MBA from the University of Connecticut and an MA from Wharton. He published An Arbitrage Guide to Financial Markets(John Wiley Sons, Ltd) in 2004 and has written a number of book chapters and articles on liquidity, derivatives and personal finance that have appeared in the Journal of Applied Finance, Financial Services Review, Journal of Wealth Management, Journal of Investing, and the Journal of Financial Planning. In Robert’s spare time he enjoys piano, skiing the greatest snow on earth and tennis. His second serve could use a lot of improvement though.

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Year of publication:	2011 ; 2. Aufl.
Authors:	Dubil, Robert
Publisher:	[s.l.] : Wiley
Subject:	Finanzmarkt \| Financial market \| Financial Engineering \| Financial engineering \| Arbitrage Pricing \| Arbitrage pricing \| Arbitrage
Description of contents:	Table of Contents [external.dandelon.com]

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Extent:	Online Ressource (PDF, 10191 KB, 416 S.)
Series:	The Wiley Finance Series ; v.614 The Wiley Finance Ser ; v.614
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Financial Engineering and Arbitragein the Financial Markets; Contents; Introduction; 1 Purpose and Structure of Financial Markets; 1.1 Overview of Financial Markets; 1.2 Risk Sharing; 1.3 Transactional Structure of Financial Markets; 1.4 Arbitrage: Pure Versus Relative Value; 1.5 Financial Institutions: Transforming Intermediaries vs Broker-Dealers; 1.6 Primary (Issuance) and Secondary (Resale) Markets; 1.7 Market Players: Hedgers vs Speculators; 1.8 Preview of the Book; PART I RELATIVE VALUE BUILDING BLOCKS; 2 Spot Markets; 2.1 Bonds and Annual Bond Math; 2.1.1 Zero-Coupon Bond 2.1.2 Coupon Bond2.1.3 Amortizing Bond; 2.1.4 Floating Rate Bond; 2.2 Intra-Year Compounding and Day-Count; 2.2.1 Intra-Year Compounding; 2.2.2 Day-Count; 2.2.3 Accrued Interest; 2.3 Term Structure of Interest Rates and the Discount Factor Bootstrap; 2.3.1 Term Structure; 2.3.2 Discount Factor Bootstrap; 2.3.3 Valuation of an Arbitrary Bond; 2.4 Interest Rate Risk: Duration and Convexity; 2.4.1 Duration; 2.4.2 Portfolio Duration; 2.4.3 Convexity; 2.4.4 Other Risk Measures; 2.5 Equity, Commodity, and Currency Math; 2.5.1 Equities; 2.5.2 Currencies; 2.6 Short Selling; 2.6.1 Buying on Margin 2.6.2 Short Selling in a Margin Account2.6.3 Short Selling of Bonds; 3 Futures Markets; 3.1 Fundamentals of Futures and Forwards; 3.2 Futures Mechanics; 3.2.1 Physical Commodity Futures; 3.2.2 Interest Rate Futures; 3.2.3 Stock Index Futures; 3.2.4 Currency Futures and Forwards; 3.3 Cash-and-Carry Arbitrage; 3.3.1 Commodities; 3.3.2 Stock Indexes; 3.3.3 Currencies; 3.4 Futures Not Subject to Cash-and-Carry; 3.5 Yield Curve Construction with Interest Rate Futures; 3.5.1 Certainty Equivalence of Eurodollar Futures; 3.5.2 Forward Rate Agreements; 3.5.3 Building Spot Zeros 3.5.4 Recovering the Forwards3.5.5 Including Repo Rates in the Calculation of the Forwards; 4 Swap Markets; 4.1 Fundamentals of Swaps; 4.1.1 The Dual Nature of Swaps; 4.1.2 Implication for Pricing and Hedging; 4.2 Interest Rate Swaps; 4.2.1 Definition of an Interest Rate Swap; 4.2.2 Valuation of Interest Rate Swaps; 4.2.3 Hedging of Interest Rate Swaps; 4.3 Cross-Currency Swaps; 4.3.1 Definition of a Fixed-for-Fixed Cross-Currency Swap; 4.3.2 Valuation and Settlement of Cross-Currency Swaps; 4.3.3 Cross-Currency Swaps as Packages of Off-Market FX Forwards 4.3.4 Multicurrency and Combination Cross-Currency Swaps4.4 Equity, Commodity, and Exotic Swaps; 4.4.1 Equity Swaps; 4.4.2 Commodity Swaps; 4.4.3 Volatility Swaps; 4.4.4 Index Principal Swaps; 5 Options on Prices and Hedge-Based Valuation; 5.1 Call and Put Payoffs at Expiry; 5.2 Composite Payoffs at Expiry; 5.2.1 Straddles and Strangles; 5.2.2 Spreads and Combinations; 5.3 Option Values Prior to Expiry; 5.4 Options and Forwards, Risk Sharing and Put-Call Parity; 5.5 Currency Options; 5.6 Binomial Option Pricing; 5.6.1 One-Step Examples; 5.7 Black-Scholes Model and Extensions 5.7.1 Black-Scholes with No Dividends
ISBN:	0-470-74601-7 ; 1-119-95062-7 ; 978-1-119-95062-2 ; 978-0-470-74601-1
Source:	ECONIS - Online Catalogue of the ZBW

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