Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 2 ppt

... Head iii Financial Engineering Principles A Unified Theory for Financial Product Analysis and Valuation Perry H. Beaumont, PhD John Wiley & Sons, Inc. 00 _20 0306_FM/Beaumont 8/15/03 12: 39 PM ... Head iii Financial Engineering Principles A Unified Theory for Financial Product Analysis and Valuation Perry H. Beaumont, PhD John Wiley & Sons, Inc....

Ngày tải lên: 14/08/2014, 05:20

... Y i > ;22 4 ϭ $1,000 Price ϭ C 11 ϩ Y i > ;22 1 ϩ C 11 ϩ Y i > ;22 2 ϩ C 11 ϩ Y> ;22 3 ϩ C & F 11 ϩ Y> ;22 4 ϭ $1,000 Price ϭ C 11 ϩ Y> ;22 1 ϩ C 11 ϩ Y> ;22 2 24 PRODUCTS, CASH FLOWS, AND ... rever- ϩ $60> ;2 11 ϩ 6%> ;22 3 ϩ $60> ;2 & $1,000 11 ϩ 6%> ;22 4 ϭ $1,000 $60> ;2 11 ϩ 6%> ;22 1 ϩ $60> ;2 11 ϩ 6%> ;22 2 Cash Flows 21 Cash...

Ngày tải lên: 14/08/2014, 05:20

... a forward curve involves a Cash Flows 43 F 6,6 = (1 + 0.05 /2) 2 –1 ϫ 2 (1 + 0.0475 /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 ... to the 3 12. 5 bp differential if calculated from 316 basis points ϭ 11.1600 Ϫ 1.15 122 1.15 12 ϫ 136 02 87 5.670% ϭ 1100>1.160 02 197.90>1.15 122 197.90>1.15 122...

Ngày tải lên: 14/08/2014, 05:20

... ϭ SN 1 2 Kr Ϫt N1 2. ϭ SN a log1S>Kr Ϫt 2 л bϪ Kr Ϫt N a log1S>Kr Ϫt 2 л b. Ϫ Kr Ϫt Ϫ N a log1S>Kr Ϫt 2 лϫ1t ϩ 1 2 ϫлϫ1tbϪлϫ1t Cash Flows 71 02_ 200306_CH 02/ Beaumont 8/15/03 12: 41 PM ... a 1log1S>Kr Ϫt 22 лϫ1t ϩ 1 2 ϫлϫ1tb X ϵ log 1S>Kr Ϫt 2 s 1t ϩ 1 2 s 1t. C ϭ SN1X2Ϫ Kr Ϫt N1X Ϫ s1t2 70 PRODUCTS, CASH FLOWS, AND CREDIT 02_ 200306_CH 02/ Beaumont 8/15/0...

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... values for S and R Ϫ SRT with values unchanged for S and R Ϫ SRT with decreasing values for S and R FIGURE 4 .2 Three scenarios for the value of carry. 04 _20 0306_CH04/Beaumont 8/15/03 12: 48 ... between a volatility and variance swap. 128 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT Payoff Sigma/variance0.400.300 .20 0.10 Sigma 0 .20 0.10...

Ngày tải lên: 14/08/2014, 05:20

... p 5 &F ϫ p 6 11 ϩ Y> ;22 3 ϩ . . . ϭ $1,000 Price ϭ C ϫ p 1 &F ϫ p 2 11 ϩ Y> ;22 1 ϩ C ϫ p 3 &F ϫ p 4 11 ϩ Y> ;22 2 Financial Engineering 139 25 20 15 10 5 10 20 30 40 50 60 70 Prepayment ... and it is a 50/50 proposition as to whether the callable ϩ C ϫ p 3 &F ϫ p 4 11 ϩ Y> ;22 3 ϩ 1C & F2ϫ p 5 11 ϩ Y> ;22 4 ϭ $1,000 Price ϭ C ϫ p 1 11 ϩ Y>...

Ngày tải lên: 14/08/2014, 05:20

... 92. 126 3 3.8 125 5.9344 3. 025 9 17.9571 106.56 52 124 . 522 3 3.8 125 6.9344 2. 9104 20 .1817 139.9487 160.1304 3.8 125 7.9344 2. 79 92 22. 21 02 176 .22 55 198.4357 3.8 125 8.9344 2. 6 923 24 .0544 21 4.9 121 23 8.9665 103.8 125 ... 3 .21 00 6.64 52 3.8 125 1.9344 3.5359 6.8399 13 .23 13 20 .07 12 3.8 125 2. 9344 3.4009 9.9796 29 .28 43 39 .26 38 3.8 125 3.9344 3 .27 10 12....

Ngày tải lên: 14/08/2014, 05:20

... underlying’s face value in our forward position. 21 2 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 05 _20 0306_CH05/Beaumont 8/15/03 12: 52 PM Page 21 2 TLFeBOOK Remember that the ... creation? 20 4 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT Allocating risk 05 _20 0306_CH05/Beaumont 8/15/03 12: 52 PM Page 20 4 TLFeBOOK Ⅲ Just started busin...

Ngày tải lên: 14/08/2014, 05:20

... lower. Accordingly, we can safely say that p 2t Ͼ p 20 t and that p 2c Ͼ p 20 c. If we can safely say that p 2t Ͼ p 20 t and p 2c Ͼ p 20 c, can we say that p 20 t Ͼ p 2c ? No, at least not on the basis of ... balance of 25 0 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 06 _20 0306_CH06/Beaumont 8/15/03 12: 54 PM Page 25 0 TLFeBOOK 22 8 FINANCIAL ENGINEERI...

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... 108f limits, 21 7 macro context, 23 4 23 5 management, 161, 171, 22 2 22 5 appendix, 23 8 24 0 procedures, 26 0 measurement, 185 profile, 21 4 conceptual mapping, 22 5f, 23 7f tolerance, 22 1 variable, 197 Risk-adjusted ... contracts, 26 0 Exchange-traded option, 21 4 Exercise right, 129 Expected expenses, 22 0 calculation, 22 1 Expected losses, 22 0 calculation, 22 1 Expected...

Ngày tải lên: 14/08/2014, 05:20