Financial engineering principles phần 8 pot
Financial engineering principles phần 8 pot
... risk adjustment is performed by reduc- 2 18 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 05_200306_CH05/Beaumont 8/ 15/03 12:52 PM Page 2 18 Parenthetically, there is also a systemic ... and 2 08 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 0 O Return Positive returns Negative returns Profile for forward/future Inflection point where F = K Pr...
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Financial engineering principles phần 3 potx
... Spot Rate Scenarios Scenario A Scenario B Scenario C Forward Expiration Spot Forward Spot Forward Spot Forward 6 Month 8. 00 /8. 00 8. 00 /8. 00 8. 00 /8. 00 12 Month 8. 25 /8. 50 7.75 /7.50 8. 00 /8. 00 18 ... 7.75 /7.50 8. 00 /8. 00 18 Month 8. 50 /9.00 7.50 /7.00 8. 00 /8. 00 24 Month 8. 75 /9.50 7.25 /6.50 8. 00 /8. 00 30 Month 9.00 /10.00 7.00 /6.00 8. 00 /8. 00 Scenario A...
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Financial engineering principles phần 7 potx
... Duration Equation Difference ϩ400 76.14 48 71.5735 4.5713 ϩ300 81 .0724 78. 2050 2 .86 74 ϩ200 86 .43 98 84 .83 65 1.6033 ϩ100 92.2917 91.4 681 0 .82 36 0 98. 0996 98. 0996 0.0000 Ϫ100 105.6525 104.7311 0.9214 Ϫ200 ... 3.6763 6 .83 99 3 .81 25 2.9344 3.4009 9.9796 3 .81 25 3.9344 3.2710 12 .86 94 3 .81 25 4.9344 3.1461 15.5240 3 .81 25 5.9344 3.0259 17.9571 3 .81 25 6.9344 2.9104 20. 181...
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Financial engineering principles phần 1 ppt
... 0-471-463 58- 2 (cloth) 1. Financial engineering. I. Title. II. Series. HG176.7.B42 2003 6 58. 15’224—dc21 20030113 38 Printed in the United States of America. 10 987 654321 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...
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Financial engineering principles phần 2 docx
... S(1 ϩ RT) 99.2403 ϭ 98. 787 5 ϩ 98. 787 5 ϫ (1 ϩ 5.5% ϫ 30/360). The difference between the cash price of 98. 787 5 dollars and the for- ward price of 99.2403 dollars, or 45. 28 cents, is often referred ... 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 (usually called a margin account 8 )...
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Financial engineering principles phần 4 ppt
... Matrix, 1 980 –19 98 Rating to (%) Initial Rating Aaa Aa A Baa Ba B Caa—C Default 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 ... 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 0.03 0.07 0.51 5.20 76.51 7.40 0.49 1.34 8. 46 B 0.01...
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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 6 pdf
... percent PSA assumes a slower prepayment pattern. 1 38 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 ... synthetic short put pro- 1 48 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT = Credit-enhanced bond Spot Bond Forward Currency swap FIGURE 4.25 Use of spot a...
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Financial engineering principles phần 9 docx
... layer of potential legal considerations. Many types of swaps might be executed, 2 48 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 06_200306_CH06/Beaumont 8/ 15/03 12:54 PM Page 2 48 by ... 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 Singl...
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Financial engineering principles phần 10 ppt
... 129 2 78 INDEX 07_200306_Index/Beaumont 8/ 15/03 4:05 PM Page 2 78 FHLMC. See Federal Home Loan Mortgage Corporation Financial engineering, 113 appendix, 161–170 Financial fundamentals, 5 Financial ... 88 Individual Retirement Accounts (IRAs), 242 Inflation, 8 Initial public offering (IPO), 82 83 , 152, 2 48 Institutional investor, 253 Interest paydown, pass-thru principal (re...
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