Financial engineering principles phần 6 pdf
Financial engineering principles phần 6 pdf
... Treasuries. The comparable trade in the MBS market is the dollar Financial Engineering 165 04_2003 06_ CH04/Beaumont 8/15/03 12:49 PM Page 165 Western Europe, for example, highly rated government debt ... pattern. 138 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 140 120 100 80 40 20 $1,000s 60 120 180 240 300 360 Month Interest Principal 9% 30-year Ginnie Mae, 100...
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Financial engineering principles phần 1 ppt
... Canada. ISBN 0-471- 463 58-2 (cloth) 1. Financial engineering. I. Title. II. Series. HG1 76. 7.B42 2003 65 8.15’224—dc21 2003011338 Printed in the United States of America. 1098 765 4321 00_2003 06_ FM/Beaumont ... www.wiley.com. Library of Congress Cataloging-in-Publication Data Beaumont, Perry H., 1 961 - Financial engineering principles: a unified theory for financial product an...
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Financial engineering principles phần 2 docx
... is 4.43 percent. The second term, 365 /90, is the annualization term. We assume 365 days in a year ( 366 for a leap year), and Cash out Ϫ cash in Cash in ϫ 365 90 ϭ Annualized total return 18 PRODUCTS, ... Yield-to-Maturity and Current Yield for a Semiannual 6% Coupon 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_2003 06_ CH02/...
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Financial engineering principles phần 3 potx
... May 1991 Country 3 Month (%) 6 Month (%) 12 Month (%) United States 6. 062 5 6. 1875 6. 265 0 Canada 9.1875 9.2500 9.3750 United Kingdom 11. 562 5 11.3750 11.2500 02_2003 06_ CH02/Beaumont 8/15/03 12:41 ... bp differential if calculated from 3 16 basis points ϭ 11. 160 0 Ϫ 1.15122 1.1512 ϫ 1 360 2 87 5 .67 0% ϭ 1100>1. 160 02Ϫ 197.90>1.15122 197.90>1.15122 1 360 2 1872 . 50 PR...
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Financial engineering principles phần 4 ppt
... 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46 B 0.01 0.04 0. 16 0 .60 6. 07 76. 12 2.54 6. 50 7. 96 Caa—C 0.00 0.00 0 .66 1.05 3.05 6. 11 62 .97 25. 16 0.00 * WR: Withdrawn rating.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 ... 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 0.1...
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Financial engineering principles phần 5 ppt
... src="data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAogAAAEYCAIAAABQpZAzAAAACXBIWXMAABYlAAAWJQFJUiTwAAAgAElEQVR42u3df1RTd57/8dudHE+LXdtDkqM94lS/4pDV83VcgRFJqZZ2HCiIzqws3YKBg3VnOlYSPB2/PZ1WkbHdjvVggrXuWZUDqPNdB6Yqksp0d5CuRaUmXad7tGHVb7srPdM55LrVba8znsz6/eNOP94JIQRISG54Pv7oCREtuSF55f15f37cM/fh2RIAAEgM99y5c4erAABAgvgzLgEAAAQzAAAgmAEAIJgBAADBDAAAwQwAAAhmAAAIZgAAQDADAEAwAwAAghkAAIIZAAAQzAAAgGAGAIBg...
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Financial engineering principles phần 7 potx
... Equation Difference ϩ400 76. 1448 71.5735 4.5713 ϩ300 81.0724 78.2050 2. 867 4 ϩ200 86. 4398 84.8 365 1 .60 33 ϩ100 92.2917 91. 468 1 0.82 36 0 98.09 96 98.09 96 0.0000 Ϫ100 105 .65 25 104.7311 0.9214 Ϫ200 ... 0.0000 Ϫ100 105 .65 25 104.7311 0.9214 Ϫ200 113.2777 111.3227 1.9550 Ϫ300 121 .62 10 117.9942 3 .62 68 Ϫ400 130.7582 124 .62 57 6. 1325 05_2003 06_ CH05/Beaumont 8/15/03 12:52 PM Pa...
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Financial engineering principles phần 8 pot
... from Figure 5. 16 and shown as a dashed line) and the forward/future profile is SRT (for a non — cash-flow paying security). As time passes and T approaches a value 2 06 FINANCIAL ENGINEERING, RISK ... regards the nature of its various con- tractual obligations 202 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 6 F. Black and M. Scholes, “The Pricing of Options and C...
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Financial engineering principles phần 9 docx
... 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 5.34 4 .66 3.99 (1) Represents after-tax ... (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 4 .65...
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Financial engineering principles phần 10 ppt
... Option-type product characteristics, 255t construction, 76 interrelationships, 204–2 06 Index 287 07_2003 06_ Index/Beaumont 8/15/03 4:05 PM Page 287 266 06_ 2003 06_ CH 06/ Beaumont 8/15/03 12:54 PM Page 266 [Table not available in ... flow appendix, 66 –70 combination, 209f diversification, 232 interrelationships, 2 06 2 36 intramouth, reinvestment, 165 priority, 202 profiles, 65...
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