Financial engineering principles phần 5 ppt
Financial engineering principles phần 5 ppt
... src="data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAogAAAEYCAIAAABQpZAzAAAACXBIWXMAABYlAAAWJQFJUiTwAAAgAElEQVR42u3df1RTd57/8dudHE+LXdtDkqM94lS/4pDV83VcgRFJqZZ2HCiIzqws3YKBg3VnOlYSPB2/PZ1WkbHdjvVggrXuWZUDqPNdB6Yqksp0d5CuRaUmXad7tGHVb7srPdM55LrVba8znsz6/eNOP94JIQRISG54Pv7oCREtuSF55f15f37cM/fh2RIAAEgM99y5c4erAABAgvgzLgEAAAQzAAAgmAEAIJgBAADBDAAAwQwAAAhmAAAIZgAAQDADAEAwAwAAghkAAIIZAAAQzAAAgGAGAIBg...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 1 ppt
... 0-471-46 358 -2 (cloth) 1. Financial engineering. I. Title. II. Series. HG176.7.B42 2003 658 . 15 224—dc21 2003011338 Printed in the United States of America. 10987 654 321 00_200306_FM/Beaumont 8/ 15/ 03 ... limited to about 30 years. 2 01_200306_CH01/Beaumont 8/ 15/ 03 3 :50 PM Page 3 1 Head iii Financial Engineering Principles A Unified Theory for Financial Product Analysis an...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 4 ppt
... WR* Aaa 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. 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 62.9...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 10 ppt
... 94– 95 Standard & Poor’s 50 0 (S&P500), 153 change, 182 equity index, 150 futures contract, 48, 126 price history, 1 85 rally, 206 returns, 161 usage, 183–184 Standard deviation usage, 1 85 zero ... 8/ 15/ 03 4: 05 PM Page 278 FHLMC. See Federal Home Loan Mortgage Corporation Financial engineering, 113 appendix, 161–170 Financial fundamentals, 5 Financial guarantee sch...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 2 docx
... S(1 ϩ RT) 99.2403 ϭ 98.78 75 ϩ 98.78 75 ϫ (1 ϩ 5. 5% ϫ 30/360). The difference between the cash price of 98.78 75 dollars and the for- ward price of 99.2403 dollars, or 45. 28 cents, is often referred ... as it historically has exhibited. Cash Flows 39 Price Time 102 .5 = 100 + 100 * 5% * 1/2 101 .5 = 100 + 100 * 3% * 1/2 101 .5 – 102 .5 = –1.0 100.0 – 1.0 = 99.0 = F , where F is t...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 3 potx
... initial trade 6.10 percent 18 months after initial trade Note that 4. 75% ϫ . 25 ϩ 5. 25% ϫ. 25 ϩ 5. 9%ϫ. 25 ϩ 6.1%ϫ. 25 ϭ 5. 5%. Again, 5. 5 percent is the yield-to-maturity of an existing two-year Treasury ... = (1 + 0. 05/ 2) 2 –1 ϫ 2 (1 + 0.04 75/ 2) 1 = 5. 25% F 6,12 = (1 + 0. 053 /2) 3 –1 ϫ 2 (1 + 0. 05/ 2) 2 = 5. 90%, and F 6,18 = (1 + 0. 055 /2) 4 –1 ϫ 2 (1 + 0. 053 /2...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 6 pdf
... advantage, they are not typically sought after as higher-yielding Financial Engineering 155 04_200306_CH04/Beaumont 8/ 15/ 03 12:49 PM Page 155 Overlay Fund Many portfolio managers regard the currency ... strategies can Financial Engineering 159 7 Ecuador’s Brady bonds, which were backed by U.S. Treasuries, nonetheless went into default in 1999. 04_200306_CH04/Beaumont 8/ 15/ 03 12...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 7 potx
... 6.8399 3.81 25 2.9344 3.4009 9.9796 3.81 25 3.9344 3.2710 12.8694 3.81 25 4.9344 3.1461 15. 5240 3.81 25 5.9344 3.0 259 17. 957 1 3.81 25 6.9344 2.9104 20.1817 3.81 25 7.9344 2.7992 22.2102 3.81 25 8.9344 ... year) (%) Ϫ100 8.943 36.800 75. 040 50 7 .58 0 21.870 39.100 0 6.229 8.030 7.920 50 4.883 Ϫ4.820 Ϫ19.130 ϩ100 3 .54 5 Ϫ16. 750 Ϫ42.610 05_ 200306_CH 05/ Beaumont 8/ 15/ 03 12 :...
Ngày tải lên: 09/08/2014, 16:21
Financial engineering principles phần 8 pot
... 7-year Treasury note and a 5- year triple-B rated corporate security. FIGURE 5. 28 A conceptual mapping of risk profiles. 05_ 200306_CH 05/ Beaumont 8/ 15/ 03 12 :52 PM Page 2 25 Ⅲ Just started business ... for –300 bps changes in par bond yield FIGURE 5. 32 Price cone for a 5- year-maturity coupon-bearing Treasury. 05_ 200306_CH 05/ Beaumont 8/ 15/ 03 12 :52 PM Page 230 more meanin...
Ngày tải lên: 09/08/2014, 16:21
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 ... envi- ronmental dynamics with financial products. Let us assume that a company 234 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 0 5 10 15 20 2...
Ngày tải lên: 09/08/2014, 16:21