Financial engineering principles phần 10 ppt

... Loan Mortgage Corporation Financial engineering, 113 appendix, 161–170 Financial fundamentals, 5 Financial guarantee schematic, 104 f Financial products, investing profile, 158–159 Financial Times Stock ... 277 Collateralization, 89–91, 107 . See also Overcollaterali- zation capital, impact, 89–97 Collateralized bond obligation (CBO), 105 Collateralized debt obligation (CDO),...

Ngày tải lên: 09/08/2014, 16:21

... 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 Principles a “real world” ... risk management. Financial Engineering Principles combines the best of a well-crafted “practitioner’s guide” with an invaluable “reference work” to give readers a financial engi...

Ngày tải lên: 09/08/2014, 16:21

... whether the other side to a trade is going to be able to make good on its financial representations. When investors select the financial entity with which they will execute their trades, they want ... coun- terparty is merely serving as an intermediary on behalf of another financial entity, especially when that other financial entity carries a higher credit risk. Let us look at two ex...

Ngày tải lên: 09/08/2014, 16:21

... of a synthetic balance sheet structure. 03_200306_CH03/Beaumont 8/15/03 12:42 PM Page 106 PART TWO Financial Engineering, Risk Management, and Market Environment 04_200306_CH04/Beaumont 8/15/03 ... flows and products. 03_200306_CH03/Beaumont 8/15/03 12:42 PM Page 108 04_200306_CH04/Beaumont 8/15/03 12:48 PM Page 112 Financial Engineering 113 CHAPTER 4 Product creation Portfolio...

Ngày tải lên: 09/08/2014, 16:21

... 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 the clean forward ... settlement. Inserting values from Figure 2.13 into the equation, we have: F d ϭ 100 (1 ϩ 1/2 (3% Ϫ 5%)) ϩ 5% ϫ 100 ϫ 1/2 ϭ 101 .5, and 101 .5 represents an annualized 3 percent rate...

Ngày tải lên: 09/08/2014, 16:21

... if the value of S happens to be 102 at expiration with the strike price set at 100 at the time the option was pur- chased, then the call’s value is 102 minus 100 ϭ 2. A put option value is equal ... percent regardless of what it may actually be. The dirty price that results is then divided by 100 and rounded up at the fourth decimal place. 02_200306_CH02/Beaumont 8/15/03 12:41 PM Page 45...

Ngày tải lên: 09/08/2014, 16:21

... 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 % PSA FIGURE ... yen, euros, Australian dollars, and so forth. Financial Engineering 157 04_200306_CH04/Beaumont 8/15/03 12:49 PM Page 157 of the callables is a 10- noncall-2, but each has a different st...

Ngày tải lên: 09/08/2014, 16:21

... Macaulay’s method- ology and solve for 178 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 140 120 100 80 Ϫ500 Ϫ400 Ϫ300 Ϫ200 100 0 +100 +200 +300 +400 +500 Change in yield (basis ... 2.8674 ϩ200 86.4398 84.8365 1.6033 100 92.2917 91.4681 0.8236 0 98.0996 98.0996 0.0000 100 105 .6525 104 .7311 0.9214 Ϫ200 113.2777 111.3227 1.9550 Ϫ300 121.6 210 117.9942 3.6268 Ϫ400 13...

Ngày tải lên: 09/08/2014, 16:21

... demonstrate the price dynamics of a zero coupon security. 230 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 80 90 100 110 120 10 2345 Price Maturity Passage of time Price trajectory ... long call option, as it is a combination of being long a bullet (noncallable) bond and 208 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 0 O Return Positive return...

Ngày tải lên: 09/08/2014, 16:21

... linking 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 25 30 0% PSA 50% PSA 120% ... or LTV over 100 % but not LTV up to 100 %; senior or over 125%; and (i) subordinate; and rated BBB– rated below AA– or (ii) or better subordinate Commercial or multi- LTV up to 100 %;...

Ngày tải lên: 09/08/2014, 16:21