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Oxford Guide to Financial Modeling : Applications for Capital Markets, Corporate Finance, Risk Management and Financial Institutions.

Author: Thomas S Y Ho; Sang-bin Yi
Publisher: New York : Oxford University Press, USA, 2004.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
PART 1. DERIVATIVES VALUATION 1. Introduction: Discounted Cash Flow Method 2. Equity Market: the Capital Asset Pricing Model 3. Bond Markets: the Bond Model 4. Equity Options: the Black-Scholes Model 5. Interest Rate Derivatives: Interest Rate Models 6. Implied Volatility Surface: Calibrating the Models 7. Exotic Options: Bellman's Optimization, Filtration Model and n-Factor Model PART 2. CORPORATE LIABILITIES 8.  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Ho, Thomas S.Y.
Oxford Guide to Financial Modeling : Applications for Capital Markets, Corporate Finance, Risk Management and Financial Institutions.
New York : Oxford University Press, USA, ©2004
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Thomas S Y Ho; Sang-bin Yi
ISBN: 9780199727704 0199727708
OCLC Number: 1049807502
Notes: 6.3 Valuation of Interest Rate Derivatives Using Market Benchmark Prices.
Description: 1 online resource (762 pages)
Contents: Model List --
PART I: DERIVATIVES VALUATION --
1. Introduction: Discounted Cash Flow Method --
1.1 Examples of Financial Issues --
1.2 FinancialModels --
1.3 Basics of Modeling: Present Value and Measures of Risk --
1.4 Summary --
2. Equity Market: The Capital Asset Pricing Model --
2.1 Real and Financial Sectors --
2.2 Stocks and Stock Markets --
2.3 Perfect Capital Market --
2.4 Efficient Capital Market Hypothesis --
2.5 Diversification --
2.6 Capital Asset Pricing Model (CAPM) --
2.7 Beta-The Systematic Risk --
2.8 The Stock Model-Dividend Discount Model. 2.9 An Application of the Capital Asset Pricing Model in Investment Services --
2.10 Empirical Tests of the Capital Asset Pricing Model --
2.11 Summary --
Appendix A. Expectations and Standard Deviations --
Appendix B.A Summary of the CAPM --
3. Bond Markets: The Bond Model --
3.1 Bond Mathematics --
3.2 Bonds and Bond Markets --
3.3 Swap Markets --
3.4 Economics of the Yield Curve --
3.5 The Bond Model --
3.6 Forward Prices and Forward Rates --
3.7 Bond Analysis --
3.8 Applications of the Bond Analytics --
3.9 Law of One Price: An Arbitrage Trade and Fair Value Anlaysis --
3.10 Summary. Appendix A. Taylor Expansion --
Appendix B. The Derivation of Macaulay Duration and Convexity --
Appendix C. Duration and Convexity in Measuring Price Sensitivity --
4. Equity Options: the Black-Scholes Model --
4.1 Description of an Option --
4.2 Institutional Framework --
4.3 Put-Call Parity --
4.4 The Main Insight of the Black-Scholes Model --
4.5 Valuation Methods --
4.6 Relationships of Risk-Neutral and Market Binomial Lattices --
4.7 Option Behavior and the Sensitivity Analysis --
4.8 Extensions of the Black-Scholes Model --
4.9 Option Pricing Procedure and Analytic Framework. 4.10 Applications of Option Models --
4.11 Accounting for Employee Stock Options --
4.12 Intuitive Explanations of the Behavior of an Equity Option --
4.13 Summary --
Appendix A. Derivation of the Black-Scholes Continuous Time Model Using Different Numeraires --
Appendix B. The Relationship Between the Time Decay and the Gamma of a Delta-Neutral Portfolio --
Appendix C. Pathwise Valuation --
Appendix D. Derivation of Discrete Time Parameters --
Appendix E. Monte Carlo Simulation and Finite Difference Method --
5. Interest Rate Derivatives: Interest Rate Models. 5.1 Interest Rate Movements: Historical Experiences --
5.2 The Three-Factor Yield Curve Movement Model --
5.3 Equilibrium Models --
5.4 Arbitrage-Free Models --
5.5 A Comparison of Models --
5.6 Generalizations of Interest Rate Models --
5.7 Summary --
Appendix A. Yield Curve Movements Represented by the Principal Components --
Appendix B. Derivation of Ho-Lee, Extended Ho-Lee, and Ho-Lee Two-Factor Models --
6. Implied Volatility Surface: Calibrating the Models --
6.1 Implied Volatility Surface and Benchmark Securities --
6.2 Price Quotes of Benchmark Securities.

Abstract:

PART 1. DERIVATIVES VALUATION 1. Introduction: Discounted Cash Flow Method 2. Equity Market: the Capital Asset Pricing Model 3. Bond Markets: the Bond Model 4. Equity Options: the Black-Scholes Model 5. Interest Rate Derivatives: Interest Rate Models 6. Implied Volatility Surface: Calibrating the Models 7. Exotic Options: Bellman's Optimization, Filtration Model and n-Factor Model PART 2. CORPORATE LIABILITIES 8. Investment Grade Corporate Bonds: the Option Adjusted Spread 9. High Yield Corporate Bonds: the Structural Models 10. Convertibles, MBS/CMO, and Other Bonds: the Behavior.

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