Book description
The new rebranded and updated edition of the bestselling hands-on practitioner¿s guide to the maths behind every key financial instrument and technique.
Part of the renowned and hugely successful Mastering series.
This is the definitive guide to exploring today’s financial markets in a clear and comprehensive manner.
Written by Robert Steiner, one of the UK’s leading trainers for some of the world’s largest financial institutions.
The book includes essential course material and practice exercises for ACI qualifications
This book has practicality-not theory-at its heart and is packed with real-world cases, worked examples and calculations.
AUDIENCE: Practitioners are the primary market: traders, fund managers, corporate treasurers, programmers, accountants, and risk managers. Secondary are market students.
This book will appeal to a huge audience. 1 in 10 people work in either banking, finance or insurance.
Table of contents
- Copyright
- Author’s note
- The author
- Foreword
- Introduction
-
1. The Basics
-
1. Financial Arithmetic Basics
- Some Opening Remarks on Formulas
- Use of an HP Calculator
- Simple and Compound Interest
- Nominal and Effective Rates
- Future Value/Present Value; Time Value of Money
- Discount Factors
- Cashflow Analysis
- Annuities
- Using an HP Calculator for Cashflow Analysis
- Interpolation and Extrapolation
- Mean, Variance, Standard Deviation and Volatility
- Correlation and Covariance
- The ‘Normal’ Probability Function
- Exercises
-
1. Financial Arithmetic Basics
-
2. Interest Rate Instruments
- 2. The Money Market
- 3. Forward-Forwards and Forward Rate Agreements (FRAs)
- 4. Interest Rate Futures
-
5. Bond Market Calculations
- Overview of Capital Market Instruments
- Features and Variations
- Introduction to Bond Pricing
- Different Yield Measures and Price Calculations
- A Summary of the Various Approaches to Price/Yield
- Duration, Modified Duration and Convexity
- Bond Futures
- Cash-and-Carry Arbitrage
- Exercises
-
6. Repos, Buy/Sell-backs and Securities Lending
- Introduction
- Classic Repo
- Margin Calls
- General Collateral (GC) and Specials
- Other Features
- Buy/Sell-Back
- Close-Out and Repricing
- Securities Lending
- Comparison between the Different Transactions
-
Uses of Repo and Securities Lending
- Cash borrowing
- Funding a long bond position
- Covering a short bond position
- Secured cash investment
- Matched book dealing – taking a view on interest rates
- Matched book dealing – taking a view on specials
- Fund management – yield enhancement
- Fund managers – leverage
- Cash and carry arbitrage
- Hedging derivatives positions
- Central banks
- Exercises
- 7. Zero-coupon Rates and Yield Curves
- 3. Foreign Exchange
-
4. Swaps and Options
- 9. Interest Rate and Currency Swaps
- 10. Options
- 5. Gold and Other Commodities
- 6. Hints and Answers to Exercises
-
Appendices
- 1. Using an HP calculator
- 2. A summary of market day/year conventions for money markets and government bond markets
-
3. A summary of calculation procedures
- Notation
- Financial arithmetic basics (Chapter 1)
- The money market (Chapter 2)
- Forward-forwards and forward rate agreements (Chapter 3)
- Interest rate futures (Chapter 4)
- Bond market calculations (Chapter 5)
- Zero-coupon rates and yield curves (Chapter 7)
- Foreign exchange (Chapter 8)
- Interest rate swaps and currency swaps (Chapter 9)
- Options (Chapter 10)
- Gold and other commodities (Chapter 11)
- 4. Glossary
- 5. ISO (SWIFT) currency codes
- Select Bibliography
Product information
- Title: Mastering Financial Calculations: A step-by-step guide to the mathematics of financial market instruments, Second edition
- Author(s):
- Release date: October 2007
- Publisher(s): Pearson
- ISBN: 9780131370388
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