Principles of Financial Engineering

This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals.

Author: Robert Kosowski

Publisher: Academic Press

ISBN: 0123870070

Category: Business & Economics

Page: 896

View: 203

Principles of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. A solutions manual enhances the text by presenting additional cases and solutions to exercises. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. The Third Edition presents three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics. Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act The solutions manual enhances the text by presenting additional cases and solutions to exercises

Financial Engineering

This practical guide puts financial engineering in perspective, and will give you a better idea of how it can be effectively utilized in real- world situations. Financial engineering is poised for a great shift in the years ahead.

Author: Tanya S. Beder

Publisher: John Wiley & Sons

ISBN: 0470455810

Category: Business & Economics

Page: 616

View: 189

FINANCIAL ENGINEERING The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals. As part of the Robert W. Kolb Series in Finance, Financial Engineering aims to provide a comprehensive understanding of this important discipline by examining its fundamentals, the newest financial products, and disseminating cutting-edge research. A contributed volume of distinguished practitioners and academics, Financial Engineering details the different participants, developments, and products of various markets—from fixed income, equity, and derivatives to foreign exchange. Also included within these pages are comprehensive case studies that reveal the various issues associated with financial engineering. Through them, you'll gain instant insights from the stories of Countrywide (mortgages), Société Générale and Barings (derivatives), the Allstate Corporation (fixed income), AIG, and many others. There is also a companion website with details from the editors' survey of financial engineering programs around the globe, as well as a glossary of key terms from the book. Financial engineering is an evolving field in constant revision. Success, innovation, and profitability in such a dynamic area require being at the forefront of research as new products and models are introduced and implemented. If you want to enhance your understanding of this discipline, take the time to learn from the experts gathered here.

Financial Engineering

Financial Engineering is a text with a methodological thread, making it appropriate as a reference text.

Author: Charles Errington

Publisher: Springer

ISBN: 1349132683

Category: Business & Economics

Page: 303

View: 519

Financial Engineering is a text with a methodological thread, making it appropriate as a reference text. Risk management and measure and control of volatility is a major theme, but broader financial issues are also covered to provide the reader with a conceptual framework to manipulate and evaluate financial instruments. Errington's text analyses the spectrum of financial engineering including explanations of financial axioms and mathematical techniques with a summary of the instruments and worked examples of how they operate. As well as risk management, arbitrageurs are also catered for, to show how instruments can be valued, deconstructed and repackaged.

Principles of Financial Engineering

We have thus far proceeded without a discussion of assetpricing models and the
tools associated with them, as financial engineering has many important
dimensions besides pricing. In this chapter, we will discuss models of asset
pricing, ...

Author: Salih N. Neftci

Publisher: Academic Press

ISBN: 0125153945

Category: Business & Economics

Page: 556

View: 894

Bestselling author Salih Neftci presents a fresh, original, informative, and up-to-date introduction to financial engineering. The book offers clear links between intuition and underlying mathematics and an outstanding mixture of market insights and mathematical materials. Also included are end-of-chapter exercises and case studies. In a market characterized by the existence of large pools of liquid funds willing to go anywhere, anytime in search of a few points of advantage, there are new risks. Lacking experience with these new risks, firms, governmental entities, and other investors have been surprised by unexpected and often disastrous financial losses. Managers and analysts seeking to employ these new instruments and strategies to make pricing, hedging, trading, and portfolio management decisions require a mature understanding of theoretical finance and sophisticated mathematical and computer modeling skills. Important and useful because it analyzes financial assets and derivatives from the financial engineering perspective, this book offers a different approach than the existing finance literature in financial asset and derivative analysis. Seeking not to introduce financial instruments but instead to describe the methods of synthetically creating assets in static and in dynamic environments and to show how to use them, his book complements all currently available textbooks. It emphasizes developing methods that can be used in order to solve risk management, taxation, regulation, and above all, pricing problems. This perspective forms the basis of practical risk management. It will be useful for anyone learning about practical elements of financial engineering. * Exercises and case studies at end of each chapter and on-line Solutions Manual provided * Explains issues involved in day-to-day life of traders, using language other than mathematics * Careful and concise analysis of the LIBOR market model and of volatility engineering problems

Java Methods for Financial Engineering

An application class implements a solution to a given problem in financial
engineering or finance and investment. The application classes embody the
techniques that are used throughout financial engineering practice. Those
techniques will ...

Author: Philip Barker

Publisher: Springer Science & Business Media

ISBN: 1846287413

Category: Computers

Page: 568

View: 413

This book describes the principles of model building in financial engineering. It explains those models as designs and working implementations for Java-based applications. The book provides software professionals with an accessible source of numerical methods or ready-to-use code for use in business applications. It is the first book to cover the topic of Java implementations for finance/investment applications and is written specifically to be accessible to software practitioners without prior accountancy/finance training. The book develops a series of packaged classes explained and designed to allow the financial engineer complete flexibility.

Financial Engineering

questions which need to be posed and answered: • What is financial engineering
? • Who needs financial engineering? • Why is financial engineering necessary?
• What does financial engineering achieve? • What special skills does a ...

Author: Brian Anthony Eales

Publisher: Macmillan International Higher Education

ISBN: 1349278564

Category: Financial engineering

Page: 292

View: 362


Applied Probabilistic Calculus for Financial Engineering

In today's understanding and everyday usage, financial engineering is a
multidisciplinary field in finance, and in theoretical and practical economics
involving financial theory, the tools of applied mathematics and statistics, the
methodologies ...

Author: Bertram K. C. Chan

Publisher: John Wiley & Sons

ISBN: 111938804X

Category: Mathematics

Page: 536

View: 709

Illustrates how R may be used successfully to solve problems in quantitative finance Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R provides R recipes for asset allocation and portfolio optimization problems. It begins by introducing all the necessary probabilistic and statistical foundations, before moving on to topics related to asset allocation and portfolio optimization with R codes illustrated for various examples. This clear and concise book covers financial engineering, using R in data analysis, and univariate, bivariate, and multivariate data analysis. It examines probabilistic calculus for modeling financial engineering—walking the reader through building an effective financial model from the Geometric Brownian Motion (GBM) Model via probabilistic calculus, while also covering Ito Calculus. Classical mathematical models in financial engineering and modern portfolio theory are discussed—along with the Two Mutual Fund Theorem and The Sharpe Ratio. The book also looks at R as a calculator and using R in data analysis in financial engineering. Additionally, it covers asset allocation using R, financial risk modeling and portfolio optimization using R, global and local optimal values, locating functional maxima and minima, and portfolio optimization by performance analytics in CRAN. Covers optimization methodologies in probabilistic calculus for financial engineering Answers the question: What does a "Random Walk" Financial Theory look like? Covers the GBM Model and the Random Walk Model Examines modern theories of portfolio optimization, including The Markowitz Model of Modern Portfolio Theory (MPT), The Black-Litterman Model, and The Black-Scholes Option Pricing Model Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R s an ideal reference for professionals and students in economics, econometrics, and finance, as well as for financial investment quants and financial engineers.

Recent Advances in Financial Engineering

PREFACE This book is the Proceedings of the KIER-TMU International Workshop
on Financial Engineering 2009 held in Summer 2009. The workshop is the
successor of “Daiwa International Workshop on Financial Engineering” that was
held ...

Author: Masaaki Kijima

Publisher: World Scientific

ISBN: 9814304077

Category: Business & Economics

Page: 284

View: 687

This book consists of 18 papers presented at the KIER-TMU International Workshop on Financial Engineering 2009. These papers address state-of-the-art techniques in financial engineering, and they are selected through appropriate referees'' evaluation followed by the editors'' final decision in order to make this book a high-quality one. The KIER-TMU International Workshop on Financial Engineering was held for the first time in 2009. Prof. Kijima (the Chair of this workshop) and his colleagues held the Daiwa International Workshop on Financial Engineering in Tokyo from 2004-2008. Each year, various kinds of interesting and high-quality studies are presented by many researchers from various countries, from both academia and the industry. Accordingly, this workshop serves as a bridge between academic researchers on financial engineering and practitioners. In 2009, the Institute of Economic Research, Kyoto University (KIER) and Tokyo Metropolitan University (TMU) held a new international workshop, the KIER-TMU International Workshop on Financial Engineering, which is regarded as a successor to the Daiwa International Workshop.

Financial Engineering and Computation

A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.

Author: Yuh-Dauh Lyuu

Publisher: Cambridge University Press

ISBN: 9780521781718

Category: Business & Economics

Page: 627

View: 791

A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.

Monte Carlo Methods in Financial Engineering

The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not.

Author: Paul Glasserman

Publisher: Springer Science & Business Media

ISBN: 0387216170

Category: Mathematics

Page: 596

View: 811

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Statistical Inference for Financial Engineering

This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are ...

Author: Masanobu Taniguchi

Publisher: Springer Science & Business Media

ISBN: 3319034979

Category: Business & Economics

Page: 118

View: 861

​This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes, long-memory processes, locally stationary processes etc. are introduced and their optimal estimation is considered as well. This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are considered to be powerful tools for analyzing the financial data, establishing a new bridge between time series and financial engineering. This book is well suited as a professional reference book on finance, statistics and statistical financial engineering. Readers are expected to have an undergraduate-level knowledge of statistics.

Statistics and Data Analysis for Financial Engineering

To make use of these data, the powerful methods in this book, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered.

Author: David Ruppert

Publisher: Springer

ISBN: 1493926144

Category: Business & Economics

Page: 719

View: 336

The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.

Handbook of Financial Engineering

This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that ...

Author: Constantin Zopounidis

Publisher: Springer Science & Business Media

ISBN: 0387766820

Category: Business & Economics

Page: 494

View: 896

This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.

Financial Engineering

A Complete Guide to Financial Innovation Vipul K. Bansal. - Section III: The
Physical Tools of the Financial Engineer Chapter.

Author: John Francis Marshall

Publisher: Prentice Hall

ISBN: 9780133125887

Category: Financial engineering.

Page: 728

View: 485

Exploring the growing field of financial engineering, this book examines its explosive growth, its conceptual tools, products, instruments, processes, strategies and future directions. Working from the basic building blocks of financial engineering to the complex processes of creating new financial instruments to meet specific needs, the book aims to provide both conceptual and practical frameworks for understanding the field.

Practical Methods of Financial Engineering and Risk Management

The book assumes a working knowledge of calculus, statistics, and Excel, but it teaches techniques from statistical analysis, probability, and stochastic processes sufficient to enable the reader to calibrate probability distributions and ...

Author: Rupak Chatterjee

Publisher: Apress

ISBN: 143026134X

Category: Business & Economics

Page: 388

View: 994

Risk control, capital allocation, and realistic derivative pricing and hedging are critical concerns for major financial institutions and individual traders alike. Events from the collapse of Lehman Brothers to the Greek sovereign debt crisis demonstrate the urgent and abiding need for statistical tools adequate to measure and anticipate the amplitude of potential swings in the financial markets—from ordinary stock price and interest rate moves, to defaults, to those increasingly frequent "rare events" fashionably called black swan events. Yet many on Wall Street continue to rely on standard models based on artificially simplified assumptions that can lead to systematic (and sometimes catastrophic) underestimation of real risks. In Practical Methods of Financial Engineering and Risk Management, Dr. Rupak Chatterjee— former director of the multi-asset quantitative research group at Citi—introduces finance professionals and advanced students to the latest concepts, tools, valuation techniques, and analytic measures being deployed by the more discerning and responsive Wall Street practitioners, on all operational scales from day trading to institutional strategy, to model and analyze more faithfully the real behavior and risk exposure of financial markets in the cold light of the post-2008 realities. Until one masters this modern skill set, one cannot allocate risk capital properly, price and hedge derivative securities realistically, or risk-manage positions from the multiple perspectives of market risk, credit risk, counterparty risk, and systemic risk. The book assumes a working knowledge of calculus, statistics, and Excel, but it teaches techniques from statistical analysis, probability, and stochastic processes sufficient to enable the reader to calibrate probability distributions and create the simulations that are used on Wall Street to valuate various financial instruments correctly, model the risk dimensions of trading strategies, and perform the numerically intensive analysis of risk measures required by various regulatory agencies.

A Primer for Financial Engineering

This book bridges the fields of finance, mathematical finance and engineering, and is suitable for engineers and computer scientists who are looking to apply engineering principles to financial markets.

Author: Ali N. Akansu

Publisher: Academic Press

ISBN: 9780128015612

Category: Technology & Engineering

Page: 156

View: 366

This book bridges the fields of finance, mathematical finance and engineering, and is suitable for engineers and computer scientists who are looking to apply engineering principles to financial markets. The book builds from the fundamentals, with the help of simple examples, clearly explaining the concepts to the level needed by an engineer, while showing their practical significance. Topics covered include an in depth examination of market microstructure and trading, a detailed explanation of High Frequency Trading and the 2010 Flash Crash, risk analysis and management, popular trading strategies and their characteristics, and High Performance DSP and Financial Computing. The book has many examples to explain financial concepts, and the presentation is enhanced with the visual representation of relevant market data. It provides relevant MATLAB codes for readers to further their study. Provides engineering perspective to financial problems In depth coverage of market microstructure Detailed explanation of High Frequency Trading and 2010 Flash Crash Explores risk analysis and management Covers high performance DSP & financial computing

Financial Engineering with Copulas Explained

This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets.

Author: J. Mai

Publisher: Springer

ISBN: 1137346310

Category: Business & Economics

Page: 150

View: 334

This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.

Handbook in Monte Carlo Simulation

The Handbook in Monte Carlo Simulation features: ■ An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials ■ Carefully crafted examples in ...

Author: Paolo Brandimarte

Publisher: John Wiley & Sons

ISBN: 1118594517

Category: Business & Economics

Page: 688

View: 824

An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.

Dictionary of Financial Engineering

John F. Marshall (New York, NY) is a Managing Partner of Marshall, Tucker & Associates, a New York-based financial engineering and consulting firm.

Author: John F. Marshall

Publisher: John Wiley & Sons

ISBN: 9780471436492

Category: Business & Economics

Page: 304

View: 763

A practical guide to the inside language of the world of derivative instruments and risk management Financial engineering is where technology and quantitative analysis meet on Wall Street to solve risk problems and find investment opportunities. It evolved out of options pricing, and, at this time, is primarily focused on derivatives since they are the most difficult instruments to price and are also the riskiest. Not only is financial engineering a relatively new field, but by its nature, it continues to grow and develop. This unique dictionary explains and clarifies for financial professionals the important terms, concepts, and sometimes arcane language of this increasingly influential world of high finance and potentially high profits. John F. Marshall (New York, NY) is a Managing Partner of Marshall, Tucker & Associates, a New York-based financial engineering and consulting firm. Former Executive Director of then International Association of Financial Engineers, Marshall is the author of several books, including Understanding Swaps.

State Space Approaches for Modelling and Control in Financial Engineering

The book conclusively solves problems associated with the control and estimation of nonlinear and chaotic dynamics in financial systems when these are described in the form of nonlinear ordinary differential equations.

Author: Gerasimos G. Rigatos

Publisher: Springer

ISBN: 3319528661

Category: Computers

Page: 310

View: 519

The book conclusively solves problems associated with the control and estimation of nonlinear and chaotic dynamics in financial systems when these are described in the form of nonlinear ordinary differential equations. It then addresses problems associated with the control and estimation of financial systems governed by partial differential equations (e.g. the Black–Scholes partial differential equation (PDE) and its variants). Lastly it an offers optimal solution to the problem of statistical validation of computational models and tools used to support financial engineers in decision making. The application of state-space models in financial engineering means that the heuristics and empirical methods currently in use in decision-making procedures for finance can be eliminated. It also allows methods of fault-free performance and optimality in the management of assets and capitals and methods assuring stability in the functioning of financial systems to be established. Covering the following key areas of financial engineering: (i) control and stabilization of financial systems dynamics, (ii) state estimation and forecasting, and (iii) statistical validation of decision-making tools, the book can be used for teaching undergraduate or postgraduate courses in financial engineering. It is also a useful resource for the engineering and computer science community