Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 4 docx

... “beta” 00_200306_FM/Beaumont 8/15/03 12:39 PM Page xii TLFeBOOK 1 Head iii Financial Engineering Principles A Unified Theory for Financial Product Analysis and Valuation Perry H. Beaumont, PhD John Wiley & Sons, ... Cataloging-in-Publication Data Beaumont, Perry H., 1961- Financial engineering principles: a unified theory for financial product analysis...

Ngày tải lên: 14/08/2014, 05:20

... 98.7875 dollars and the for- ward price of 99. 240 3 dollars, or 45 .28 cents, is often referred to as the carry, the forward drop, or simply the drop. 36 PRODUCTS, CASH FLOWS, AND CREDIT ForwardsSpot SF ... the cost of money for one year were 5 percent, then the opportunity cost for our gold seller is $200: $200 ϭ $4, 200 Ϫ $4, 000. $4, 200 ϭ $4, 000 ϫ (1 ϩ 5% ϫ 365/365). $4, 00...

Ngày tải lên: 14/08/2014, 05:20

... and ought not to pay for them. Date forward expires and previously agreed forward price is paid for forward’s underlying spot FIGURE 2. 14 Relationship between forwards and ownership of intervening ... currencies, the formula for an option’s valuation is the same. For a call option it is F Ϫ K ϩ V, and for a put option it is K Ϫ F ϩ V. In either case, the worst-case sce...

Ngày tải lên: 14/08/2014, 05:20

... engage in swap transactions for investors) to traffic in a generic and standardized product type, but also by the ready access that 80 PRODUCTS, CASH FLOWS, AND CREDIT 4 Libor has the word “London” ... shown, a company that 98 PRODUCTS, CASH FLOWS, AND CREDIT TABLE 3 .4 Similarities and Differences between Equities and Bonds Common Equity Bonds Voting rights √ Maturity dates...

Ngày tải lên: 14/08/2014, 05:20

... 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_ 200306_CH 04/ Beaumont 8/15/03 12 :48 ... trade. FIGURE 4. 4 Values of carry (ϪSRT) and total return of carry as time approaches zero. 04_ 200306_CH 04/ Beaumont 8/15/03 12 :48 PM Page 119 TLFeBOOK 04_ 200306_CH 04...

Ngày tải lên: 14/08/2014, 05:20

... great. For the United States and much of 158 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 04_ 200306_CH 04/ Beaumont 8/15/03 12 :49 PM Page 158 TLFeBOOK owner decides or is forced ... bond Spot Bond Forward Currency swap FIGURE 4. 25 Use of spot and forwards to create a credit-enhanced bond. 04_ 200306_CH 04/ Beaumont 8/15/03 12 :49 PM Page 148 TLFeBOOK asse...

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... (C) 3.8125 0.9 344 3.6763 3 .43 52 3.8125 1.9 344 3.6763 6.8399 3.8125 2.9 344 3 .40 09 9.9796 3.8125 3.9 344 3.2710 12.86 94 3.8125 4. 9 344 3. 146 1 15.5 240 3.8125 5.9 344 3.0259 17.9571 3.8125 6.9 344 2.91 04 20.1817 3.8125 ... 5.9 344 3.0259 17.9571 106.5652 1 24. 5223 3.8125 6.9 344 2.91 04 20.1817 139. 948 7 160.13 04 3.8125 7.9 344 2.7992 22.2102 176.2255 198 .43 57 3.8125 8.9 3...

Ngày tải lên: 14/08/2014, 05:20

... of a forward agreement must pay to the seller. The rationale for the cost is this: The forward seller of gold is agreeing not to be paid for the 1 94 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND ... classifications. For example, RAROC (risk-adjusted return on capital) is used for risk analysis and project evaluation where a higher net return is required for a riskier pro- j...

Ngày tải lên: 14/08/2014, 05:20

... (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 4. 06 3 .47 FHLB 30.5 5.89 5.00 4. 41 3.83 Single-A ... 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 corporat...

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... See Securities Forward exchange rates, 9 Forward formulas, 53t Forward leaps, 40 Forward points, 50t Forward price, 2 14 strike price, contrast, 208 Forward rates, 44 t Forward settlement, 33 Forward ... Off-the-run securities, 44 fn OLS. See Ordinary least squares On special (special), 196, 240 On-the-run issue, 44 fn, 196 On-the-run securities, 44 fn On-the-run Treasury, 44 fn Oppo...

Ngày tải lên: 14/08/2014, 05:20