Mastering Financial Calculations [Paperback]A Step-by-step Guide to the Mathematics of Financial Marketsby Bob Steiner
Usually ships within 2 to 4 working days Description of Mastering Financial Calculations"Mastering Financial Calculations" starts by introducing the fundamentals of financial market arithmetic, including the core concepts of discounting, net present value, effective yields and cashflow analysis, and then shows you step-by-step how to master the essential calculations and financial techniques for using the full range of products in the markets. The links between the different instruments and the resulting arbitrage opportunities are fully explored, together with the practical difficulties. Making use of many worked examples and practical exercises, the book goes on to explain concepts such as forward pricing, duration analysis, the different approaches to bond yield calculations, zero-coupon and yield curve analysis, swap valuation and option pricing in a clear and accessible way, at each stage illustrating their application using a programmable calculator. Whether you are a trader, fund manager, corporate treasurer, programmer, accountant, risk manager or market student, this book will give you the ability to manipulate and apply the relevant techniques with speed and confidence in your marketplace.The book includes essential course material and practice exercises for ACI qualifications. Title Information
Write a review of this book Customer Reviews from AmazonContents of Mastering Financial CalculationsPART I: The Basics1. Financial Arithmetic Basics Some opening remarks on formulas Use of HP calculator Simple and compound interest Nominal and effective rates Future value/present value; time value of money Discount factors Cashflow analysis Interpolation and extrapolation Exercises PART 2: Interest Rate Instruments 2. The Money Market Overview Day/year conventions Money market instruments Money Market calculations Discount instruments CDs paying more than one coupon Exercises 3. Forward-forward and Forward Rate Agreements (FRAs) Forward-forwards, FRAs and futures Applications of FRAs Exercises 4. Interest Rate Futures Overview Exchange structure and margins Futures compared with FRAs Pricing and hedging FRAs with futures Trading with interest rate futures Exercises 5. Bond Market Calculations Overview of capital markets instruments Features and variations Introduction to bond pricing Different yield measures and price calculations A summary to the various approaches to price / yield Duration, modified duration and convexity Bond futures Cash-and-carry arbitrage Exercises 6. Zero-Coupon Rates and Yield Curves Zero-coupon yields a and par yields Forward-forward yields Longer-dated FRAs Exercises PART 3: Foreign Exchange 7. Foreign Exchange Introduction Spot exchange rates Forward exchange rates Cross-rate Forwards Short dates Calculation summary Value dates Forward-forwards Time options Long-dated forwards Synthetic agreements for forward exchange (SAFEs) Arbitraging and creating FRAs Discounting future foreign exchange risk Exercises PART 4: Swaps and Options 8. Interest Rate and Currency Swaps Basic concepts and applications Pricing Valuing swaps Hedging an interest rate swap Amortising and forward-start swaps Currency swaps Exercises 9. Options Overview The ideas behind option pricing Pricing models OTC options vs. exchange-traded options The Greek letters Hedging with options Some 'packaged' options Some trading strategies Some less straightforward options Some less straightforward options Exercises PART 5: Practice ACI Exam, Hints and Answers 10. A Complete Practice Exam 11. Hints and Answers to Exercises and Practice Exam Hints on exercises Answers to exercises Answers to practice exam Appendix 1: Using an HP calculator Appendix 2: A summary of market day/year conventions Appendix 3: A summary of calculation procedures Appendix 4: Glossary Appendix 5: ISO (SWIFT) codes for currencies Select bibliography Index |
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