Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 2 ppt
Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 1 pot
... 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....
Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 2 ppt
... 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...
Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 3 potx
... 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...
Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 4 docx
... 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...
Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 5 ppt
... 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...
Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 6 docx
... 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>...
Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 7 pps
... 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....
Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 8 pptx
... 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...
Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 9 pps
... 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...
Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 10 pptx
... 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...
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