Financial Risk Manager Handbook

Financial Risk Manager Handbook 简介： Financial Risk Manager Handbook为http://www.pxzj8.com整理发布，类型为危机管理，本站还有更多关于企业危机管理,公共危机管理,危机管理理论,危机管理培训，企业管理培训 - 危机管理的资料。 正文： Contents
Prefacexix
Introductionxxi
Ch.1BondFundamentals3
Ch.2FundamentalsofProbability31
PartI:QuantitativeAnalysis1
vii
1.1DiscountingPresentandFutureValue3
1.2Price-YieldRelationship6
1.2.1Valuation6
1.2.2TaylorExpansion7
1.2.3BondPriceDerivatives.9
1.2.4InterpretingDurationandConvexity16
1.2.5PortfolioDurationandConvexity23
1.3AnswerstoChapterExamples.26
2.1CharacterizingRandomVariables.31
2.1.1UnivariateDistributionFunctions.32
2.1.2Moments33
2.2MultivariateDistributionFunctions37
2.3FunctionsofRandomVariables40
2.3.1LinearTransformationofRandomVariables41
2.3.2SumofRandomVariables.42
2.3.3PortfoliosofRandomVariables.42
2.3.4ProductofRandomVariables43
2.3.5DistributionsofTransformationsofRandomVariables44
2.4ImportantDistributionFunctions.46
2.4.1UniformDistribution46
2.4.2NormalDistribution.47
2.4.3LognormalDistribution.51
2.4.4Student抯Distribution.54
2.4.5BinomialDistribution56
2.5AnswerstoChapterExamples.57
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Ch.3FundamentalsofStatistics63
Ch.4MonteCarloMethods83
Ch.5IntroductiontoDerivatives105
PartII:CapitalMarkets103
viii
3.1RealData63
3.1.1MeasuringReturns.64
3.1.2TimeAggregation65
3.1.3PortfolioAggregation66
3.2ParameterEstimation69
3.3RegressionAnalysis71
3.3.1BivariateRegression72
3.3.2Autoregression.74
3.3.3MultivariateRegression.74
3.3.4Example.75
3.3.5PitfallswithRegressions77
3.4AnswerstoChapterExamples.80
4.1SimulationswithOneRandomVariable83
4.1.1SimulatingMarkovProcesses84
4.1.2TheGeometricBrownianMotion84
4.1.3SimulatingYields88
4.1.4BinomialTrees.89
4.2ImplementingSimulations.93
4.2.1SimulationforVAR.93
4.2.2SimulationforDerivatives.93
4.2.3Accuracy94
4.3MultipleSourcesofRisk96
4.3.1TheCholeskyFactorization.97
4.4AnswerstoChapterExamples.99
5.1OverviewofDerivativesMarkets105
5.2ForwardContracts.107
5.2.1Definition107
5.2.2ValuingForwardContracts.110
5.2.3ValuinganOff-MarketForwardContract112
5.2.4ValuingForwardContractswithIncomePayments.113
5.3FuturesContracts117
5.3.1DefinitionsofFutures117
5.3.2ValuingFuturesContracts.119
5.4SwapContracts.119
5.5AnswerstoChapterExamples.120
CONTENTS
FinancialRiskManagerHandbookSecondEdition
Ch.6Options123
Ch.7Fixed-IncomeSecurities153
Ch.8Fixed-IncomeDerivatives187
ix
6.1OptionPayoffs.123
6.1.1BasicOptions123
6.1.2Put-CallParity126
6.1.3CombinationofOptions128
6.2ValuingOptions132
6.2.1OptionPremiums132
6.2.2EarlyExerciseofOptions134
6.2.3Black-ScholesValuation.136
6.2.4Marketvs.ModelPrices.142
6.3OtherOptionContracts.143
6.4ValuingOptionsbyNumericalMethods146
6.5AnswerstoChapterExamples.149
7.1OverviewofDebtMarkets.153
7.2Fixed-IncomeSecurities.156
7.2.1InstrumentTypes156
7.2.2MethodsofQuotation158
7.3AnalysisofFixed-IncomeSecurities160
7.3.1TheNPVApproach.160
7.3.2Duration.163
7.4SpotandForwardRates165
7.5Mortgage-BackedSecurities.170
7.5.1Description.170
7.5.2PrepaymentRisk174
7.5.3FinancialEngineeringandCMOs177
7.6AnswerstoChapterExamples.183
8.1ForwardContracts.187
8.2Futures.190
8.2.1EurodollarFutures.190
8.2.2T-bondFutures.193
8.3Swaps195
8.3.1Definitions.195
8.3.2Quotations.197
8.3.3Pricing197
8.4Options.201
8.4.1CapsandFloors.202
8.4.2Swaptions204
8.4.3Exchange-TradedOptions206
8.5AnswerstoChapterExamples.207
CONTENTS
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