Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 9 pps
Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 1 pot
... Head iii Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation Perry H. Beaumont, PhDJohn Wiley & Sons, Inc.00_200306_FM/Beaumont 8/15/03 12: 39 PM ... Head iii Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation Perry H. Beaumont, PhDJohn Wiley & Sons, Inc.00_200306_FM/Beaumont 8/15/03 12: 39 PM ... a unified theory for financial product analysis and valuation / Perry H. Beaumont.p. cm. — (Wiley finance series)Published simultaneously in Canada.ISBN 0-471-46358-2 (cloth)1. Financial engineering. ...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 2 ppt
... calculation:F ϭ S(1 ϩ RT) 99 .2403 ϭ 98 .7875 ϩ 98 .7875 ϫ (1 ϩ 5.5% ϫ 30/360).The difference between the cash price of 98 .7875 dollars and the for- ward price of 99 .2403 dollars, or 45.28 cents, ... as thecarry, the forward drop, or simply the drop.36 PRODUCTS, CASH FLOWS, AND CREDITForwardsSpotSF =S(1 + RT)FIGURE 2.11 Relationship between spots and forwards.Forwards & futuresBondsThe ... the prevailing forces of supply and demand for our Treasury bill in the securities lending market (or repurchase(repo) market for bonds), dictates a financing rate of 5.5 percent for a periodof...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 3 potx
... ϭ1100>1.16002Ϫ 197 .90 >1.15122 197 .90 >1.15122136021872.50 PRODUCTS, CASH FLOWS, AND CREDITTABLE 2.4 Forward Points May 199 1Country 3 Month 6 Month 12 Month Canada 90 170 290 United Kingdom ... and ought not to pay for them.Date forward expires and previously agreed forward price is paid for forward’sunderlying spotFIGURE 2.14 Relationship between forwards and ownership of intervening ... currencies, the formula for an option’s valuation isthe same. For a call option it is F Ϫ K ϩ V, and for a put option it is K Ϫ Fϩ V. In either case, the worst-case scenario for an option’s...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 4 docx
... the product being launched. It is then desirable, ofcourse, that the outside entity’s credit rating be above the issuer’s rating and 92 PRODUCTS, CASH FLOWS, AND CREDIT5Just as futures and forwards ... shown, a company that 98 PRODUCTS, CASH FLOWS, AND CREDITTABLE 3.4 Similarities and Differences between Equities and BondsCommon Equity BondsVoting rights √Maturity dates and values (par) √TaxationPrice ... more desirable creditprofile for its financial products is with the creative use of another entity’scapital structure. For example, if an issuer creates a financial product requir-ing certain...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 5 ppt
... Transition Matrix, 198 0– 199 8Rating to (%)InitialRating Aaa Aa A Baa Ba B Caa—C Default WR*Aaa 85.44 9. 92 0 .98 0.00 0.03 0.00 0.00 0.00 3.63Aa 1.04 85.52 9. 21 0.33 0.14 0.14 0.00 0.03 3. 59 A 0.06 2.76 ... dateOOOϪSRT with increasing values for S and RϪSRT with values unchanged for S and RϪSRT with decreasing values for S and RFIGURE 4.2 Three scenarios for the value of carry.04_200306_CH04/Beaumont ... arecompensated for doing one trade over the other. Accordingly, an implied Financial Engineering 123SpotForward = Securities lendingGoldCashLoanBorrowFIGURE 4.8 Use of spot and forward to create...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 6 docx
... great. For the United States and much of158 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT04_200306_CH04/Beaumont 8/15/03 12: 49 PM Page 158TLFeBOOKowner decides or is forced ... verypractical or realistic for mortgage products. For example, a typical homemortgage is a 30-year fixed-rate product. This type of product has beenaround for some time, and some useful data have ... facilitate an understanding of how various strategies can Financial Engineering 1 59 7Ecuador’s Brady bonds, which were backed by U.S. Treasuries, nonetheless wentinto default in 199 9.04_200306_CH04/Beaumont...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 7 pps
... (C)3.8125 0 .93 44 3.6763 3.43523.8125 1 .93 44 3.6763 6.8 399 3.8125 2 .93 44 3.40 09 9 .97 963.8125 3 .93 44 3.2710 12.8 694 3.8125 4 .93 44 3.1461 15.52403.8125 5 .93 44 3.02 59 17 .95 713.8125 6 .93 44 2 .91 04 20.18173.8125 ... 1 .93 44 3.53 59 6.8 399 13.2313 20.07123.8125 2 .93 44 3.40 09 9 .97 96 29. 2843 39. 26383.8125 3 .93 44 3.2710 12.8 694 50.6338 63.50333.8125 4 .93 44 3.1461 15.5240 76.6022 92 .12633.8125 5 .93 44 3.02 59 ... 3.02 59 17 .95 71 106.5652 124.52233.8125 6 .93 44 2 .91 04 20.1817 1 39. 9487 160.13043.8125 7 .93 44 2. 799 2 22.2102 176.2255 198 .43573.8125 8 .93 44 2. 692 3 24.0544 214 .91 21 238 .96 65103.8125 9. 9344 70.5111...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 8 pptx
... 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 194 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-ject than for a less ... from Figure 5.16 and shown as a dashed line) and the forward/future profile is SRT (for anon—cash-flow paying security). As time passes and T approaches a value206 FINANCIAL ENGINEERING, RISK...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 9 pps
... return calculations across cash flows and products, considerTable 5.7. In the table, there are two “Yes” indications for bonds, one for equi-ties, and none for currencies. As a very general statement ... balance of250 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT06_200306_CH06/Beaumont 8/15/03 12:54 PM Page 250TLFeBOOK228 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENTO+–Spot2-year ... static and unchanging arbiters of relative value. They are fluid and dynamic, and if theyare indeed the enemy to be beaten for a value-oriented investor, then takingthe time to understand and...
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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 10 pptx
... contracts,holders, 229fnForward dirty pricecalculation, 38Forward duration value. SeeSecuritiesForward exchange rates, 9 Forward formulas, 53tForward leaps, 40Forward points, 50tForward price, ... Offsetting forwardtransactionForward yields, spot yields(convergence), 191 fForward-dated option, 199 Forward-forward arrangement, 196 Forward/future profile,206–207Forwardscash flow ownership,relationship, ... LoanMortgage Corporation Financial engineering, 113appendix, 161–170 Financial fundamentals, 5 Financial guaranteeschematic, 104f Financial products, investingprofile, 158–1 59 Financial Times Stock...
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