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Financial mathematics, derivatives and structured products

This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales...

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Main Author: Chan, Raymond Hon Fu,
Other Authors: Guo, Yves ZY.,, Lee, Spike T.,, Li, Xun,, SpringerLink (Online Service)
Format: eBook
Language: English
Published: Singapore : Springer, [2024]
Physical Description: 1 online resource (xxvii, 480 pages) : illustrations.
Edition: Second edition.
Subjects:
Business mathematics.
Distribution (Probability theory)
Financial engineering.
Table of Contents:
  • Intro
  • Preface
  • Acknowledgments
  • Contents
  • Acronyms
  • Notation
  • Part I Financial Markets
  • 1 Introduction to Financial Markets
  • 1.1 Investable Assets and Financial Instruments
  • 1.2 Investment Returns and Risks
  • 1.3 Investment Performance Measures
  • 1.4 Financial Markets
  • 1.5 Central Counterparty (CCP)
  • 1.6 Securities Lending and Repo
  • 1.7 Derivatives Activities
  • Exercises
  • 2 Financial Transactions and Counterparty Risk Management*
  • 2.1 Concepts in the Life Cycle of a Financial Transaction
  • 2.2 Margining Methods for Mitigating Counterparty Risk.
  • 2.3 Exchange-Traded Derivatives*
  • 2.4 OTC Derivatives*
  • 2.4.1 OTC Derivatives Documentation*
  • 2.4.2 Centralized Clearing*
  • 2.4.3 Non-Centrally Cleared Derivatives*
  • 2.5 Risk Management for Investment Financing*
  • Exercises
  • 3 Interest Rate Instruments: I
  • 3.1 Interest Rate Conventions
  • 3.1.1 Day Count Convention
  • 3.1.2 Business Day Convention
  • 3.2 Interest Rate Types and Zero Coupon Bond
  • 3.2.1 Simple Rate
  • 3.2.2 Compound Rate
  • 3.2.3 Continuous Rate
  • 3.2.4 Conversion of Interest Rates
  • 3.2.5 Zero Coupon Bond
  • 3.3 Money Market Instruments.
  • 3.4 Reference (Floating) Rates in Financial Market
  • 3.4.1 Front-Fixed Reference Rates
  • IBOR (Interbank Offered Rate)
  • Repo Rate
  • 3.4.2 Rear-Fixed Reference Rates
  • Overnight Reference Rates
  • Rear-Fixed Term Reference Rates
  • 3.5 Bonds
  • 3.5.1 Bond Features and Types
  • 3.5.2 Bond Quotation and Yield to Maturity
  • 3.5.3 Duration, Modified Duration, BPV, DV01 and Convexity
  • 3.6 Credit Rating
  • 3.7 Main Risks for a Debt Security
  • Exercises
  • 4 Interest Rate Instruments: II
  • 4.1 Forward Rate Agreement and Single-Period Swap
  • 4.2 Interest Rate Futures.
  • 4.2.1 Short-Term Interest Rate (STIR) Futures
  • 4.2.2 Treasury Bond Futures*
  • 4.3 Interest Rate Swap (IRS)
  • 4.3.1 Asset Swap as an IRS Application
  • 4.3.2 IRS Valuation
  • 4.3.3 Overnight Indexed Swap (OIS)
  • 4.3.4 Other Interest Rate Swaps*
  • 4.3.5 Swap Clearing*
  • 4.3.6 Swap Futures*
  • 4.4 Yield Curve Construction
  • 4.4.1 Yield Curve
  • 4.4.2 Interpolation Method for Yield Curve
  • 4.4.3 Bootstrapping Method
  • 4.4.4 Illustration Example for Yield Curve Construction
  • 4.5 Multiple Zero-Coupon Curves*
  • Exercises
  • 5 Equities and Equity Indices
  • 5.1 Equity.
  • 5.2 Corporate Actions
  • 5.2.1 Stock Dividend
  • 5.2.2 Stock Split, Reverse Stock Split, Rights Issue*
  • 5.2.3 Impact of Corporate Actions*
  • 5.2.4 No-Arbitrage Condition for Derivatives Price and Contract Terms Adjustment*
  • 5.2.5 Total Return Asset*
  • 5.2.6 Historical Price Adjustment due to CorporateActions*
  • 5.3 Equity Index
  • 5.4 Equity Forward and Cash and Carry Strategy
  • 5.5 Equity Index Futures
  • 5.6 Equity Swap*
  • Exercises
  • 6 Foreign Exchange Instruments
  • 6.1 Quotation Conventions
  • 6.2 FX Spot, Forward, Swap, Non-deliverable Forward (NDF)

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