Financial engineering principles phần 1 ppt
Financial engineering principles phần 1 ppt
... 0-4 71- 46358-2 (cloth) 1. Financial engineering. I. Title. II. Series. HG176.7.B42 2003 658 .15 ’224—dc 21 2003 011 338 Printed in the United States of America. 10 9876543 21 00_200306_FM/Beaumont 8 /15 /03 ... tend to be limited to about 30 years. 2 01_ 200306_CH 01/ Beaumont 8 /15 /03 3:50 PM Page 3 1 Head iii Financial Engineering Principles A Unified Theory for Financial...
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Financial engineering principles phần 4 ppt
... 0. 71 0 .17 0. 01 0. 01 4.03 Baa 0.05 0.32 6.68 80.55 5.72 0.95 0.08 0 .15 5.49 Ba 0.03 0.07 0. 51 5.20 76. 51 7.40 0.49 1. 34 8.46 B 0. 01 0.04 0 .16 0.60 6.07 76 .12 2.54 6.50 7.96 Caa—C 0.00 0.00 0.66 1. 05 ... 3.05 6 .11 62.97 25 .16 0.00 * WR: Withdrawn rating. Source: Moody’s Investor’s Service, January 19 99, “Historical Default Rates of Corporate Bond Issuers, 19 20 19 98.”...
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Financial engineering principles phần 5 ppt
... cash flows and products. 03_200306_CH03/Beaumont 8 /15 /03 12 :42 PM Page 10 8 04_200306_CH04/Beaumont 8 /15 /03 12 :48 PM Page 11 2 Financial Engineering 11 3 CHAPTER 4 Product creation Portfolio construction Strategy ... structure. 03_200306_CH03/Beaumont 8 /15 /03 12 :42 PM Page 10 6 PART TWO Financial Engineering, Risk Management, and Market Environment 04_200306_CH04/Bea...
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Financial engineering principles phần 10 ppt
... return gain, 52 Basis risk, 11 4 Basis trade, 11 4 11 8, 210 f creation, 11 4f Basle Committee (19 93), 260–2 61 Bear market environment, 10 2 Benchmark. See Market quantitative measure, 16 3 risk, 238–240 security, ... INDEX 07_200306_Index/Beaumont 8 /15 /03 4:05 PM Page 284 Carry (cost of carry) (continued) value, 11 6t, 11 8 scenarios, 11 7f 11 9f zero value, 12 4 Carter Bonds,...
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Financial engineering principles phần 2 docx
... at ϩ C 11 ϩ Y i >22 3 ϩ C & F 11 ϩ Y i >22 4 ϭ $1, 000 Price ϭ C 11 ϩ Y i >22 1 ϩ C 11 ϩ Y i >22 2 ϩ C 11 ϩ Y>22 3 ϩ C & F 11 ϩ Y>22 4 ϭ $1, 000 Price ϭ C 11 ϩ Y>22 1 ϩ C 11 ... historically has exhibited. Cash Flows 39 Price Time 10 2.5 = 10 0 + 10 0 * 5% * 1/ 2 10 1.5 = 10 0 + 10 0 * 3% * 1/ 2 10 1.5 – 10 2.5 = 1. 0 10 0.0 – 1. 0 = 99.0 =...
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Financial engineering principles phần 3 potx
... Although 316 bps is not precisely equal to the 312 .5 bp differential if calculated from 316 basis points ϭ 11 .16 00 Ϫ 1. 1 512 2 1. 1 512 ϫ 13 602 87 5.670% ϭ 11 00> ;1. 16002Ϫ 19 7.90> ;1. 1 512 2 19 7.90> ;1. 1 512 2 13 602 18 72 . 50 ... then a 12 -month Treasury bill investment would ϭ 5.25% F 6,6 ϭ cc 11 ϩ 0.05>22 2 11 ϩ 0.0475>22 1 dϪ 1 dϫ 2 F 6,6 ϭ cc...
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Financial engineering principles phần 6 pdf
... pattern. 13 8 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 14 0 12 0 10 0 80 40 20 $1, 000s 60 12 0 18 0 240 300 360 Month Interest Principal 9% 30-year Ginnie Mae, 10 0% PSA FIGURE 4 .16 ... p 6 11 ϩ Y>22 3 ϩ ϭ $1, 000 Price ϭ C ϫ p 1 &F ϫ p 2 11 ϩ Y>22 1 ϩ C ϫ p 3 &F ϫ p 4 11 ϩ Y>22 2 Financial Engineering 14 3 Mortgage-Backed Secur...
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Financial engineering principles phần 7 potx
... Difference ϩ400 76 .14 48 71. 5735 4.5 713 ϩ300 81. 0724 78.2050 2.8674 ϩ200 86.4398 84.8365 1. 6033 10 0 92.2 917 91. 46 81 0.8236 0 98.0996 98.0996 0.0000 10 0 10 5.6525 10 4.7 311 0.9 214 Ϫ200 11 3.2777 11 1.3227 1. 9550 Ϫ300 ... 3.4352 3. 812 5 1. 9344 3.6763 6.8399 3. 812 5 2.9344 3.4009 9.9796 3. 812 5 3.9344 3.2 710 12 .8694 3. 812 5 4.9344 3 .14 61 15.5240 3. 812 5 5.934...
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Financial engineering principles phần 8 pot
... demonstrate the price dynamics of a zero coupon security. 230 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 80 90 10 0 11 0 12 0 10 2345 Price Maturity Passage of time Price trajectory ... everyone else, and/or the various strate- 214 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 05_200306_CH05/Beaumont 8 /15 /03 12 :52 PM Page 214 diversified eq...
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Financial engineering principles phần 9 docx
... (%) Maturities Spread (bps) Yield (%) (1) (2) (3) Fannie Mae 2 5.66 4.47 3. 91 3.34 FHLB 21 5.66 4. 81 4.25 3.68 Single-A corporate bond 59 6.04 4.77 4 .17 3.56 10 -year Maturities Fannie Mae 30.5 5.89 ... 5.00 4. 41 3.83 Single-A corporate bond 76 6.34 5. 01 4.37 3.74 20-year Maturities Fannie Mae 25 6 .17 4.87 4.26 3.64 TVA 25 6 .17 5.24 4.63 4. 01 Single-A corporate bond 84 6.76 5.3...
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