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Beaumont P.H. — Financial Engineering Principles : A Unified Theory for Financial Product Analysis and Valuation
Beaumont P.H. — Financial Engineering Principles : A Unified Theory for Financial Product Analysis and Valuation



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Название: Financial Engineering Principles : A Unified Theory for Financial Product Analysis and Valuation

Автор: Beaumont P.H.

Аннотация:

Stock, bonds, cash . . . the investment mind is often programmed. The reality is that most investors think in terms of single asset classes, and allocate money to them accordingly. The unique contribution of First Principles: An Investor's Guide to Building Bridges Across Financial Products is that, for the first time, a single unified valuation approach is available to use for all financial products. This book shows you how to focus on the dynamics of processes and interrelationships of different investment choices, providing the reader with a financial toolbox to equips any investor with the knowledge to de-construct and value any financial product, making it a must if youre a portfolio manager or an individual investors interested in building the optimal portfolio.


Язык: en

Рубрика: Экономика и финансы/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 2003

Количество страниц: 320

Добавлена в каталог: 12.05.2005

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Cumulative preferred convertible stock, mapping process      267f
Cumulative protection      82
Currencies      See National currency; Nonnational currency; Planet currency acceptance. See Local currency; Sponsor currency
Currencies, controls      87
Currencies, free flow      85
Currencies, futures, opportunities      51
Currencies, management      158
Currencies, price cone      233f
Currencies, rating      See Foreign currency rating; Local currency
Currencies, summary      64
Currencies, swap      249
Currency-enhanced securities      129
Debt      4. See also Bad debt; Distressed debt; Longer-dated debt; Shorter-dated debt
Debt, continuum      268f
Debt, cushion      95
Debt, management      85
Decapitalization      250
Deep in-the-money      144
Deep out-of-the-money      144
Default definition      75
Default experiences      74
Default probability      202—203
Default rates      99t
Default scenario      5. See also Country-level default scenario
Default swap      See Credit
Deflation      8
Delegated underwriting and servicing security (DUS)      142
Delivery      See Accept delivery; Make delivery
Delivery definition      118
Delivery options      46 115—120 120fn
Delivery process      See Chicago Board of Trade
Delivery taking      77
Delivery value      121f
Delta      See Implied delta; Synthetic option
Delta, hedge      126
Delta, movement      210—211
Delta, price sensitivities      198f
Delta, usage      197 210
Delta-adjusted amount      See Notional amount
Delta-neutral strategy      126
Depreciation      8
derivatives      7. See also Credit derivatives
Dirty prices      37 115 174.
Dirty prices, calculation      See Forward dirty price calculation
Discount currency      49
Discount notes      245
Discount process      27
Discount rate      26fn 36
Discrete callables      131—133
Distressed / default situations      248—249
Distressed company      5
Distressed debt      24
Distressed securities      151
Dividend-paying philosophy      29
Dividends      4
Dividends, formula, expected growth      30
Dividends, payment      47 124
Dividends, yield      48
DJIA      See Dow Jones Industrial Index
Dollar roll      144
Dollar-euro exchange rate      49
Domestic bond markets. Treasuries segments      79
Double-A      See Credit risks
Double-B company      201
Double-B corporate bond      224f
Dow Jones Industrial Index (DJIA)      162
Dow Jones Utility Index      162
Downside credit risk protection      149
Downside protection      146
Downside support      148
Drift definition      75 98—99
Drift experiences      74 98
Due diligence      5
Duration      172—182. See also Macaulay's duration; Modified duration; Portfolio calculation. See U.S. Treasury bill; U.S. Treasury STRIPS relationship. See Carry
Duration-neutral positions      245
DUS      See Delegated underwriting and servicing security
Economic cycles      100
Economic hedge      235
Economic weakness      103
Efficiency      See Market
Embedded calls      148 257
Embedded optionality      136
Embedded puts      148
Embedded short options      130
Emerging markets      88 151
Employee Retirement Income Security Act (ERISA)      262
Employee Retirement Income Security Act, underwriters, exemption eligibility      263t
Entities, triple-A ratings      87
Equities      227f
Equities bonds, similarities / differences      7t 98t
Equities buybacks      250
Equities cash flows      30f
Equities diversification      227
Equities futures      See Cash-settled equity futures
Equities index futures      47
Equities life cycle blend      155
Equities market, preferred stock      129
Equities price cone      232f
Equities price risk      182—204
Equities returns      232
Equities statistical methods      205
Equities summary      64
ERISA      See Employee Retirement Income Security Act
Euribor rate      80
Euro creation      204—205
Euro market      49
Euro zone members      254
Eurodollar-denominated securities      205
Eurodollars      80
Eurodollars, futures      192 205
Eurodollars, instruments      192
Eurodollars, rate      49
Eurodollars, spot      192
European Central Bank      85
European Community      105
European option      145
Eurorates      49—50
Eurorates, differential      50
Euroyen yield      80
Event-driven situations      152
Events      See Credit-related events
Exchange      35. See also Chicago Mercantile
Exchange rate      8. See also Dollar-euro exchange rate; Forward exchange rates
Exchange transaction      77
Exchange-traded contracts      260
Exchange-traded option      214
Exercise right      129
Expected expenses      220
Expected expenses, calculation      221
Expected losses      220
Expected losses, calculation      221
Expected return      220
Extramarket forces      256
Extramarket incentive      57
Face amount      20
Fallen angel      201
Fannie Mae      See Federal National Mortgage Association
FASITs      262
Fat-tail distributions      68
Federal budgets, market control      238—239
Federal Financial Institutions Examination Council (FFIEC)      261
Federal Home Loan Bank (FHLB)      243 245—246
Federal Home Loan Mortgage Corporation (FHLMC)      129—130 242
Federal Home Loan Mortgage Corporation, pass-thrus      136fn
Federal National Mortgage Association (FNMA)      129—130 239 242
Federal National Mortgage Association, pass-thrus      136fn
Federal National Mortgage Association, product      246fn
FFIEC      See Federal Financial Institutions Examination Council
FHLB      See Federal Home Loan Bank
FHLMC      See Federal Home Loan Mortgage Corporation
Financial engineering      113
Financial engineering, appendix      161—170
Financial fundamentals      5
Financial guarantee schematic      104f
Financial products, investing profile      158—159
Financial Times Stock Exchange (FTSE)      162
Financing agreed-upon rate      36
Financing rate      36 194
Financing risk      189
Financing short-term rate      39
Fixed income arbitrage      151
Fixed income marketplace      163
Fixed income products, outperformance      205
Fixed income securities      101 205
Fixed income securities, price change, effect      181
Fixed-coupon par bond      104
Fixed-rate product      137
Flat price      37fn
FNMA      See Federal National Mortgage Association
Foreign currency rating      83—85
Forward / future profile      206—207
Forward agreement      194
Forward agreement, payoff profile      208
Forward clean price calculation      38
Forward contracts, holders      229fn
Forward dirty price calculation      38
Forward duration value      See Securities
Forward exchange rates      9
Forward formulas      53t
Forward leaps      40
Forward points      50t
Forward price      214
Forward price, strike price, contrast      208
Forward rates      44t
Forward settlement      33
Forward spread (FS)      61f 133 134f
Forward spread, calculation      See Non-Treasury security
Forward spread, interrelationships      61f
Forward transaction      124f. See also Offsetting forward transaction
Forward yields, spot yields (convergence)      191f
Forward-dated option      199
Forward-forward arrangement      196
Forwards, cash flow ownership, relationship      40f
Forwards, futures, contrast      34
Forwards, interrelationships      56f
Forwards, markets      79
Forwards, option, building-block approach      56
Forwards, summary      51—63
Forwards, undervaluation      57
Forwards, yield value      44
Freddie Mac      See Federal Home Loan Mortgage Corporation
frequency      19. See also Compounding frequency
FS      See Forward spread
FTSE      See Financial Times Stock Exchange
Fund management themes      154t
Fund strategies      169t
Funding sources      247
Futures      34—45. See also Bonds; Equity index futures
Futures contract      See Standard & Poor's 500
Futures contract, physical settlement      47
Futures contract, unwinding      35
Futures, cheap trading      120
Futures, contrast      See Forwards opportunities. See Currencies
Futures, summary      51—63
Futures, undervaluation      57
Futures, usage      125f
G-10      See Group of Ten
G-7      See Group of Seven
Gamma, relation      199f
Gap management      157
GC      See General collateral
General collateral (GC)      196
Ginnie Mae      See Government National Mortgage Association
Global reserve currencies      205
GNMA      See Government National Mortgage Association
Going long      34
Gold Standard      7
Goods, cost, subsidies      11—12
Goods, supply / demand      11
Goods, trade bans      12
Government National Mortgage Association (GNMA)      136 138
Government National Mortgage Association, pass-thrus      136fn
Group of Seven (G-7)      67 88
Group of Ten (G-10)      186
Growth funds      154
Growth-type index      154
Hedge      See Delta; Economic hedge
Hedge funds      150 151 221
Hedging      See Market neutral
Held for portfolio      259
Hicks method, usage      178
Historical volatility      66—68
Historical volatility, formula, annualizing term      67
Historical volatility, usage      69
Holding companies      252
Home mortgages, purchase      130
Idiosyncratic risk      219
IMF      See International Monetary Fund
Implied delta      211
Implied delta, definition      212
Implied forward credit outlook, backed-out      202
Implied repo rare      123
Implied securities lending rate      123
Implied value      7
Implied value, value, calculation      69
Implied volatility      66—70 232
In-the-money      See Deep in-the-money
In-the-money, call option      63fn
In-the-money, put option      125
In-the-money, value      See Options
Income      See Ordinary income
Income fund      155
Income fund, types      151
Income-oriented funds      155
Incremental returns      165
Incremental yield      132
Indexed portfolio managers      167fn
Indexes, adjustments      163
Indexes, return      153
India, long-term sovereign currency rating / short-term local currency rating      88
Individual Retirement Accounts (IRAs)      242
Inflation      8
Initial public offering (IPO)      82—83 152 248
Institutional investor      253
Interest paydown, pass-thru principal (relationship)      138f
Interest rate      See Short-term interest rates
Interest rate, changes      230
Interest rate, decline      135fn
Interest rate, differential      8
Interest rate, futures, usage      235
Interest rate, increase      209
Interest rate, parity      8—9
Interest rate, parity, models      232
Interest rate, policy, homogeneity      254
Interest rate, swap      101—102
Interest rate, swap, schematic      103f
Interest rate-sensitive series, linkage / quantification      182—183
Internal strategic planning      82
International fund      157
International Monetary Fund (IMF) loans      188
International Swaps and Derivatives Association (ISDA)      104
Intramouth credit dynamics      166—167
Intrinsic value      84 125
Investment banks      5 249—250
Investment-grade bonds      232
Investment-grade corporate securities      103
Investment-grade corporate securities, usage      182
Investment-grade index      166
Investor-related regulations      265t-266t
Investor-specific assets      57
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