Book description
The new rebranded and updated edition of the bestselling handson 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 practicalitynot theoryat its heart and is packed with realworld 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. ForwardForwards 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
 CashandCarry Arbitrage
 Exercises

6. Repos, Buy/Sellbacks and Securities Lending
 Introduction
 Classic Repo
 Margin Calls
 General Collateral (GC) and Specials
 Other Features
 Buy/SellBack
 CloseOut 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. Zerocoupon 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)
 Forwardforwards and forward rate agreements (Chapter 3)
 Interest rate futures (Chapter 4)
 Bond market calculations (Chapter 5)
 Zerocoupon 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 stepbystep 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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