Financial engineering principles phần 5 ppt
Financial engineering principles phần 5 ppt
... src="data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAogAAAEYCAIAAABQpZAzAAAACXBIWXMAABYlAAAWJQFJUiTwAAAgAElEQVR42u3df1RTd57/8dudHE+LXdtDkqM94lS/4pDV83VcgRFJqZZ2HCiIzqws3YKBg3VnOlYSPB2/PZ1WkbHdjvVggrXuWZUDqPNdB6Yqksp0d5CuRaUmXad7tGHVb7srPdM55LrVba8znsz6/eNOP94JIQRISG54Pv7oCREtuSF55f15f37cM/fh2RIAAEgM99y5c4erAABAgvgzLgEAAAQzAAAgmAEAIJgBAADBDAAAwQwAAAhmAAAIZgAAQDADAEAwAwAAghkAAIIZAAAQzAAAgGAGAIBg...
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...
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...
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...
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...
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...
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...
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 :...
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...
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...