Principles of Financial Engineering
- 4th Edition - June 1, 2029
- Latest edition
- Authors: Robert Kosowski, Salih N. Neftci
- Language: English
- Paperback ISBN:9 7 8 - 0 - 1 2 - 8 1 9 0 4 1 - 8
- eBook ISBN:9 7 8 - 0 - 1 2 - 8 1 9 0 4 2 - 5
Principles of Financial Engineering, Fourth Edition presents 5 significantly revised chapters and revisions throughout. It introduces new important derivative products and regul… Read more
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Principles of Financial Engineering, Fourth Edition presents 5 significantly revised chapters and revisions throughout. It introduces new important derivative products and regulatory changes that affect derivatives markets while maintaining the consistency of its pedagogical philosophy. It explores the discontinuation of IBOR (Inter-bank offered rates) such as LIBOR and its implications. Increased pedagogical elements - such as solutions, case studies, spreadsheets, sample exams, and slides - help instructors design courses appropriate for their students. At the same time it provides freely-accessible solutions to all exercises in every chapter and additional password-protected materials for instructors. Written for students and practitioners who want to learn the practicalities of the financial markets, not their theories; it is fundamentally practical.
- Favors accessibility and clarity without sacrificing mathematical rigor
- Assumes the perspective of a market maker (a dealer trading securities on his own account), creating a natural link to the concepts of pricing and replication
- Emphasizes problem solving and the topicality of subjects through use of actual data and news stories
Beginning graduate students, professors, and practitioners worldwide working in finance and financial economics. The book targets courses on derivatives and financial engineering at the MSc, MBA Finance, and executive education levels
1. Introduction2. Institutional Aspects of Derivatives Markets - An Introduction to Some Concepts and Definitions3. Cash Flow Engineering, Interest Rate Forwards and Futures4. Introduction to Swap Engineering5. Repo Market Strategies in Financial Engineering6. Cash Flow Engineering and FX Contracts7. Cash Flow Engineering and Alternative Classes (Commodities and Hedge Funds)8. Dynamic Replication Methods and Synthetics9. Mechanics of Options10. Engineering Convexity Positions11. Options Engineering with Applications12. Pricing Tools in Financial Engineering13. Some Applications of the Fundamental Theorem14. Fixed-Income Engineering15. Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading16. Correlation as an Asset Class and the Smile17. Caps/Floors and Swaptions with an Application to Mortgages18. Engineering of Equity Instruments: Pricing and Replication19. Credit Markets: CDS Engineering20. Essentials of Structured Product Engineering21. Essentials of Credit Structured Product Engineering22. Default Correlation Pricing and Trading23. Principal Protection Techniques24. Counter-Party Risk, Multiple Curves, CVA, DVA, FVA, OIS
- Edition: 4
- Latest edition
- Published: June 1, 2029
- Language: English
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Robert Kosowski
Robert Kosowski is Associate Professor in the Finance Group of Imperial College Business School, Imperial College London, and Director of the Risk Management Lab and Centre for Hedge Fund Research. Robert is an associate member of the Oxford-Man Institute of Quantitative Finance at Oxford University and a member of AIMA's research committee. His research interests include asset management, asset pricing, and financial econometrics with a focus on hedge and mutual funds, performance measurement, asset allocation, business cycles, and derivative trading strategies.
Robert's research has been featured in "The Financial Times" and "The Wall Street Journal" and was awarded the European Finance Association 2007 Best Paper Award, an INQUIRE UK 2008 best paper award, an INQUIRE Europe 2009/10 and 2012/13 best paper award, and the British Academy's mid-career fellowship (2011-2012). Robert's research has been published in top peer-reviewed finance journals such as "The Journal of Finance," "The Journal of Financial Economics" and the "Review of Financial Studies."
Prior to joining Imperial College London Robert was an Assistant Professor of Finance at INSEAD, where he taught in the MBA, Executive Education, and Ph.D. programs. Robert was a visiting scholar at the UCSD Economics Department (2000) and the International Monetary Fund (2008). At Imperial Robert teaches in the MSc Finance. He won teaching prizes at Imperial College Business School in 2009 and 2014.
Robert holds a BA (First Class Honours) and MA in Economics from Trinity College, Cambridge University, and a MSc in Economics and Ph.D. from the London School of Economics. He has consulted for private and public sector organizations and has worked for Goldman Sachs, the Boston Consulting Group, and Deutsche Bank. His policy related advisory work includes: Specialist Adviser to UK House of Lords (2009-2010) and Expert Technical Consultant (International Monetary Fund, USA, 2008).
Affiliations and expertise
Associate Professor of Finance and Director of the Risk Management Lab and Centre for Hedge Fund Research, Imperial College, London, UKSN
Salih N. Neftci
Professor Neftci completed his Ph.D. at the University of Minnesota and was head of the FAME Certificate program in Switzerland. He taught at the Graduate School, City University of New York; ICMA Centre, University of Reading; and at the University of Lausanne. He was also a Visiting Professor in the Finance Department at Hong Kong University of Science and Technology. Known his books and articles, he was a regular columnist for CBN daily, the most influential financial newspaper in China.
Salih Neftci was already suffering from gliosarcoma, a malignant brain cancer, while writing the second edition. It published just 5 months before his death on April 15, 2009.
Affiliations and expertise
Late of the Global Finance Master’s Program, New School for Social Research, New York, NY, USA