Financial engineering - Keith Cuthbertson , Dirk Nitzsche - Librairie Eyrolles
Tous nos rayons

Déjà client ? Identifiez-vous

Mot de passe oublié ?

Nouveau client ?

Financial engineering
Ajouter à une liste

Librairie Eyrolles - Paris 5e

Financial engineering

Financial engineering

Derivatives and risk management

Keith Cuthbertson, Dirk Nitzsche

776 pages, parution le 01/05/2001


This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications.
Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy.
This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivatives Markets by the same authors.
The authors adopt a real-world emphasis throughout, and include features such as:
  • topic boxes, worked examples and learning objectives
  • Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases
  • supporting web site including Lecturer's Resource Pack and Student Centre with interactive Excel and GAUSS software
  • Preface
Pt. 1 Derivatives: An Overview
  • Ch. 1 Derivatives: An Overview 3
Pt. 2 Forwards and Futures
  • Ch. 2 Futures Markets 25
  • Ch. 3 Stock Index Futures 59
  • Ch. 4 Currency Forwards and Futures 83
  • Ch. 5 Short-Term Interest Rate Futures 105
  • Ch. 6 T-Bond Futures 143
Pt. 3 Options and Swaps
  • Ch. 7 Options Markets 169
  • Ch. 8 Options Pricing 191
  • Ch. 9 Hedging and Volatility 237
  • Ch. 10 Option Spreads and Stock Options 273
  • Ch. 11 Foreign Currency Options 301
  • Ch. 12 Futures Options 319
  • Ch. 13 Portfolio Insurance 333
  • Ch. 14 Swamps 353
Pt. 4 Advanced Derivatives and Stochastic Processes
  • Ch. 15 Interest Rate Derivatives 391
  • Ch. 16 Complex Derivatives 417
  • Ch. 17 Asset Price Dynamics 441
  • Ch. 18 Pricing Interest Rate Derivatives 489
  • Ch. 19 Real Options (Alexander Workman, co-author) 527
Pt. 5 Risk and Regulation
  • Ch. 20 Regulation of Financial Institutions 563
  • Ch. 21 Regulatory Framework in the UK and US 583
  • Ch. 22 Market Risk 599
  • Ch. 23 VaR: Mapping Cash Flows 627
  • Ch. 24 VaR: Statistical Issues 657
  • Ch. 25 Credit Risk 693
  • Glossary 735
  • List of Symbols 753
  • List of 'Topic Boxes' 759
  • Internet Sites 761
  • References 765
  • Author Index 769
  • Subject Index 771

Caractéristiques techniques

Éditeur(s) Wiley
Auteur(s) Keith Cuthbertson, Dirk Nitzsche
Parution 01/05/2001
Nb. de pages 776
Format 18,9 x 24,6
Couverture Broché
Poids 1501g
Intérieur Noir et Blanc
EAN13 9780471495840


Livraison à partir de 0,01 en France métropolitaine
Paiement en ligne SÉCURISÉ
Livraison dans le monde
Retour sous 15 jours
+ d'un million et demi de livres disponibles
satisfait ou remboursé
Satisfait ou remboursé
Paiement sécurisé
modes de paiement
Paiement à l'expédition
partout dans le monde
Livraison partout dans le monde
Service clients
librairie française
Librairie française depuis 1925
Recevez nos newsletters
Vous serez régulièrement informé(e) de toutes nos actualités.