Financial engineering principles phần 4 ppt
Financial engineering principles phần 4 ppt
... 85 .44 9.92 0.98 0.00 0.03 0.00 0.00 0.00 3.63 Aa 1. 04 85.52 9.21 0.33 0. 14 0. 14 0.00 0.03 3.59 A 0.06 2.76 86.57 5.68 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 ... 0.32 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 6.1...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 1 ppt
... Canada. ISBN 0 -47 1 -46 358-2 (cloth) 1. Financial engineering. I. Title. II. Series. HG176.7.B42 2003 658.15’2 24 dc21 2003011338 Printed in the United States of America. 109876 543 21 00_200306_FM/Beaumont ... weave the complex fabric of financial engineering. The text and the entire Appendix for Chapter 4 are peppered with prac- tical examples that give Financial Engineering...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 5 ppt
... src="data:image/png;base 64, iVBORw0KGgoAAAANSUhEUgAAAogAAAEYCAIAAABQpZAzAAAACXBIWXMAABYlAAAWJQFJUiTwAAAgAElEQVR42u3df1RTd57/8dudHE+LXdtDkqM94lS/4pDV83VcgRFJqZZ2HCiIzqws3YKBg3VnOlYSPB2/PZ1WkbHdjvVggrXuWZUDqPNdB6Yqksp0d5CuRaUmXad7tGHVb7srPdM55LrVba8znsz6/eNOP94JIQRISG54Pv7oCREtuSF55f15f37cM/fh2RIAAEgM99y5c4erAABAgvgzLgEAAAQzAAAgmAEAIJgBAADBDAAAwQwAAAhmAAAIZgAAQDADAEAwAwAAghkAAIIZAAAQzAAAgGAGAI...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 10 ppt
... bond, 46 Conversion factor, 45 Convertible bond, transformation scenarios, 146 f Convertible preferred stock, 145 – 146 Convertible-equity conversion price, 145 – 146 Convertibles, creation, 145 f Convexity, ... collateral 2 74 INDEX 07_200306_Index/Beaumont 8/15/03 4: 05 PM Page 2 74 Off-the-run securities, 44 fn OLS. See Ordinary least squares On special (special), 196, 240 On-t...
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Financial engineering principles phần 2 docx
... ր 22 3 ϩ C & F 11 ϩ Y ր 22 4 ϭ $1,000 Price at time of purchase ϭ C (1 ϩ Y ր 2) 1 ϩ C (1 ϩ Y ր 2) 2 20 PRODUCTS, CASH FLOWS, AND CREDIT –8 –6 4 –2 0 2 12 345 4 6 8 Cumulative point values ... 2-Year Bond Price Yield-to-Maturity (%) Current Yield (%) 102 4. 94 5.88 100 6.00 6.00 98 7.08 6.12 02_200306_CH02/Beaumont 8/15/03 12 :41 PM Page 38 into a special account of the investor (u...
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Financial engineering principles phần 3 potx
... 0.055>22 4 11 ϩ 0.053>22 3 dϪ 1 dϫ 2 ϭ 5.90%, and F 6,12 ϭ cc 11 ϩ 0.053>22 3 11 ϩ 0.05>22 2 dϪ 1 dϫ 2 42 PRODUCTS, CASH FLOWS, AND CREDIT 02_200306_CH02/Beaumont 8/15/03 12 :41 PM Page 42 the ... cc 11 ϩ 0.05>22 2 11 ϩ 0. 047 5>22 1 dϪ 1 dϫ 2 F 6,6 ϭ cc 11 ϩ Y 2 >22 2 11 ϩ Y 1 >22 1 dϪ 1 dϫ 2 Cash Flows 41 02_200306_CH02/Beaumont 8/15/03 12 :41 PM Page 41 var...
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Financial engineering principles phần 6 pdf
... in-the-money 2 At-the-money 3 Deep out-of-the-money 4 10-year bullet bond FIGURE 4. 20 Mapping process. 04_ 200306_CH 04/ Beaumont 8/15/03 12 :49 PM Page 144 Market Neutral — Securities Hedging These funds ... first in line to receive coupon cash flows 140 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 04_ 200306_CH 04/ Beaumont 8/15/03 12 :48 PM Page 140 be develop...
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Financial engineering principles phần 7 potx
... 2.9 344 3 .40 09 9.9796 3.8125 3.9 344 3.2710 12.86 94 3.8125 4. 9 344 3. 146 1 15.5 240 3.8125 5.9 344 3.0259 17.9571 3.8125 6.9 344 2.91 04 20.1817 3.8125 7.9 344 2.7992 22.2102 3.8125 8.9 344 2.6923 24. 0 544 103.8125 ... Equation Difference 40 0 76. 144 8 71.5735 4. 5713 ϩ300 81.07 24 78.2050 2.86 74 ϩ200 86 .43 98 84. 8365 1.6033 ϩ100 92.2917 91 .46 81 0.8236 0 98.0996 98.0996 0...
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Financial engineering principles phần 8 pot
... everyone else, and/or the various strate- 2 14 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 05_200306_CH05/Beaumont 8/15/03 12:52 PM Page 2 14 diversified equities will generate higher ... demonstrate the price dynamics of a zero coupon security. 230 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 80 90 100 110 120 10 2 345 Price Maturity Passage of t...
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Financial engineering principles phần 9 docx
... (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 4. 65 4. 06 3 .47 FHLB 30.5 5.89 5.00 4. 41 3.83 Single-A ... 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 corporat...
Ngày tải lên: 09/08/2014, 16:21