Book description
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.
"The ebook version does not provide access to the companion files".
Table of contents
- Cover
- Series
- Title Page
- Copyright
- Dedication
-
Introduction
- THEME 1: DERIVATIVES WILL CONTINUE TO PLAY A CRITICAL, VALUABLE, AND PERMANENT ROLE IN THE GLOBAL CAPITAL MARKETS
- THEME 2: RISK MEASUREMENT AND MANAGEMENT WILL CHANGE SUBSTANTIALLY FOLLOWING LESSONS LEARNED FROM THE MELTDOWN THAT MANIFESTED IN 2007
- THEME 3: FINANCIALLY-ENGINEERED SECURITIES AND STRATEGIES WILL EVOLVE TO INCLUDE MORE TRANSPARENCY AND BETTER WARNING LABELS
- THEME 4: THE DEGREE TO WHICH INCREASED REGULATION WILL STYMIE FINANCIAL ENGINEERING AND INNOVATION IS UNCERTAIN
- Part I: Overview
-
Part II: Financial Engineering and the Evolution of Major Markets
- Chapter 4: The Fixed Income Market
-
Chapter 5: The U.S. Mortgage Market
- INTRODUCTION
- A BRIEF HISTORY OF THE ORIGIN OF THE MARKET FOR MORTGAGE-BACKED SECURITIES
- AGENCY MORTGAGE PASS-THROUGH SECURITIES
- PRICING MORTGAGE-BACKED SECURITIES
- BEYOND PASS-THROUGHS: COLLATERALIZED MORTGAGE OBLIGATIONS (CMOS)
- THE NON-AGENCY MARKET
- FINANCIAL ENGINEERING AND THE FUTURE OF THE SECONDARY MORTGAGE MARKET
- A NOTE ON THE GLOBAL GROWTH OF THE MORTGAGE MARKET
- ABOUT THE AUTHOR
-
Chapter 6: The Equity Market
- INTRODUCTION
- CASH MARKET—ORIGINS
- EQUITY DERIVATIVES
- DECLINING TRADING COSTS INCREASE FINANCIAL ENGINEERING OPPORTUNITIES, AND FINANCIAL ENGINEERING OFTEN REDUCES TRADING COSTS
- ARBITRAGE COMPLEXES
- EQUITY STRUCTURED PRODUCTS AND EXCHANGE-TRADED FUNDS (ETFS)
- PORTFOLIO TRADING AND STOCK INDEX FUTURES CONTRACTS
- SHAREHOLDER PROTECTION
- TAX EFFICIENCY
- THOUGHTS ON IMPROVING ETFS
- ABOUT THE AUTHORS
- Chapter 7: The Foreign Exchange Market
-
Chapter 8: The Commodity Market
- HISTORICAL PERSPECTIVE
- EXCHANGE-TRADED VERSUS OTC COMMODITY PRODUCTS
- FUTURES CONTRACTS
- RISK MANAGEMENT WITH COMMODITY FUTURES/OPTIONS
- COMMODITY SWAPS
- COMMODITY OPTIONS
- FINANCIAL ENGINEERING IN COMMODITIES MARKETS
- COMMODITY ETFS
- REGULATION OF COMMODITY MARKETS
- A FINANCIAL ENGINEERING EXERCISE: SYNTHESIZING BARTER
- ABOUT THE AUTHORS
- Chapter 9: Credit Markets
-
Part III: Key Applications of Financial Engineering
- Chapter 10: Securitized Products
- Chapter 11: Structured Products
- Chapter 12: Thoughts on Retooling Risk Management
- Chapter 13: Financial Engineering and Macroeconomic Innovation
- Chapter 14: Independent Valuation for Financially-Engineered Products
- Chapter 15: Quantitative Trading in Equities
-
Chapter 16: Systematic Trading in Foreign Exchange
- INTRODUCTION
- IS SYSTEMATIC TRADING JUST FOR GEEKS AND QUANTS?
- WHAT CAN SYSTEMATIC TRADING ANALYSIS DO FOR ME?
- ADVANTAGES AND LIMITATIONS OF SYSTEMATIC TRADING
- WHAT IS NECESSARY FOR A SYSTEM TO WORK?
- WHAT CAN I REASONABLY EXPECT?
- USES OF SYSTEMATIC TRADING METHODS
- EVALUATION OF SYSTEMATIC TRADING IDEAS AND PRODUCTS
- ABOUT THE AUTHORS
-
Part IV: Case Studies in Financial Engineering: The Good, the Bad, and the Ugly
- Chapter 17: Case Studies Introduction
- Chapter 18: Mortgage Case Studies: Countrywide and Northern Rock
- Chapter 19: Derivatives Case Studies: SocGen, Barings, and Allied Irish/Allfirst
- Chapter 20: Fixed Income Case Study, Swap Market: The Allstate Corporation
- Chapter 21: Lessons from Funds: LTCM, Florida, and Orange County
- Chapter 22: Credit Derivatives Case Studies: AIG and Merrill Lynch
-
Part V: Special Topics in Financial Engineering
- Chapter 23: Performance Fees
- Chapter 24: Musings About Hedging
- Chapter 25: Operational Risk
- Chapter 26: Legal Risk
- Chapter 27: Portable Alpha
- Chapter 28: The No-Arbitrage Condition in Financial Engineering: Its Use and Misuse
- Chapter 29: Influencing Financial Innovation: The Management of Systemic Risks and the Role of the Public Sector
- Part VI: Appendices
- About the Editors
- Index
Product information
- Title: Financial Engineering: The Evolution of a Profession
- Author(s):
- Release date: June 2011
- Publisher(s): Wiley
- ISBN: 9780470455814
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