Principles of Financial Engineering, Third Edition
Robert Kosowski
Preference :
This book is an introduction. It deals with a broad array of topics that fit together through a certain logic that we generally call Financial Engineering. The book is intended for beginning graduate students and practitioners in financial markets. The approach uses a combination of simple graphs, elementary mathematics, and real-world examples. The discussion concerning details of instruments, markets, and financial market practices is somewhat limited. The pricing issue is treated in an informal way, using simple examples. In contrast, the engineering dimension of the topics under consideration is emphasized.
Content :
- 1. Introduction
- 2. Institutional Aspects of Derivative Markets
- 3. Cash Flow Engineering, Interest Rate Forwards and Futures
- 4. Introduction to Interest-Rate Swap Engineering
- 5. Repo Market Strategies in Financial Engineering
- 6. Cash Flow Engineering in Foreign Exchange Markets
- 7. Cash Flow Engineering and Alternative Classes (Commodities and Hedge Funds)
- 8. Dynamic Replication Methods and Synthetics Engineering
- 9. Mechanics of Options
- 10. Engineering Convexity Positions
- 11. Options Engineering with Applications
- 12. Pricing Tools in Financial Engineering
- 13. Some Applications of the Fundament
- 14. Fixed Income Engineering
- 15. Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
- 16. Correlation as an Asset Class and the Smile
- 17. Caps/Floors and Swaptions with an Application to Mortgages
- 18. Credit Markets: CDS Engineering
- 19. Engineering of Equity Instruments and Structural Models of Default
- 20. Essentials of Structured Product Engineering
- 21. Securitization, ABSs, CDOs, and Credit Structured Products
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