The Oxford guide to financial modeling: applications for capital markets, corporate finance, risk management, and financial institutions
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Oxford [u.a.]
Oxford Univ. Press
2004
|
| Schlagwörter: | |
| Links: | http://www.loc.gov/catdir/toc/ecip048/2003018741.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012802439&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012802439&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| Abstract: | Presents the financial models of stock and bond options, exotic options, investment-grade and high-yield bonds, convertible bonds, mortgage-backed securities, credit derivatives, liabilities of financial institutions, the business model, and the corporate model. It also describes the applications of the models to corporate finance and relates the models to fair value accounting, enterprise risk management, and asset/liability management with illiquid instruments. Each chapter introduces a practical problem and then the financial models that provide the business solutions. |
| Beschreibung: | Includes bibliographical references and index |
| Umfang: | XXV, 735 S. graph. Darst. |
| ISBN: | 019516962X |
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| 245 | 1 | 0 | |a The Oxford guide to financial modeling |b applications for capital markets, corporate finance, risk management, and financial institutions |c Thomas S. Y. Ho ; Sang Bin Lee |
| 246 | 1 | 3 | |a Financial modeling |
| 264 | 1 | |a Oxford [u.a.] |b Oxford Univ. Press |c 2004 | |
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| 500 | |a Includes bibliographical references and index | ||
| 520 | 3 | |a Presents the financial models of stock and bond options, exotic options, investment-grade and high-yield bonds, convertible bonds, mortgage-backed securities, credit derivatives, liabilities of financial institutions, the business model, and the corporate model. It also describes the applications of the models to corporate finance and relates the models to fair value accounting, enterprise risk management, and asset/liability management with illiquid instruments. Each chapter introduces a practical problem and then the financial models that provide the business solutions. | |
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| 650 | 4 | |a Derivative securities | |
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| 650 | 4 | |a Corporations |x Finance |v Case studies | |
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Datensatz im Suchindex
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| adam_text | /
great project. No one has yet done
anything quite like it,
—
Г
presents the financial models of stock
and bond options, exotic options, invest¬
ment-grade and high-yield bonds, con¬
vertible bonds, mortgage-backed securities,
credit derivatives, liabilities of financial
institutions, the business model, and the cor¬
porate model. It also describes the
applications of the models to corporate
finance and relates the models to fair value
accounting, enterprise risk management, and
asset/ liability management with illiquid
instruments. Each chapter introduces a prac¬
tical problem and then the financial models
that provide the business solutions.
The book is written for students in deriva¬
tives, investments, corporate finance, finan¬
cial institution and risk management, and
other course programs at both the undergrad-
uate and graduate
practitioners, incittciimg actuarial profession¬
als, bankers, risk managers, accounting
professionals,
these groups, this book offers a perspective
of each respective profession as an integral
part of die fmaace profession, not as aii iso¬
lated entity.
Thomas S. Y.
Thomas S. Y.
Company.
president of
a financial software company that had over
200
as a professor in finance at New York Uni¬
versity s Stern School of Business. He is an
associate editor of Journal of Investment
Management, International Journal of Theo¬
retical and Applied Finance, and Journal of
Derivatives. He received his Ph.D. in Mathe¬
matics from the University of Pennsylvania.
Sang Bin Lee is a professor of finance at the
School of Business Administration, Hanyang
University in Seoul, Korea, and president of
the Korean Securities Association. Previously,
he was an assistant director at the Korean
Ministry of Finance, and an independent
director and a member of the Risk Manage¬
ment Committee,
serves as a member of the Primary Dealers
Screening Committee at the Korean Ministry
of Finance, and as a member of the Unfair
Trading Examination Committee, Financial
Supervisory Service, Korea. Professor Lee
received his Ph.D. in Finance from New
York University s Stern School of Business.
Dr. Ho and Professor Lee have published exten¬
sively in major journals. They are the authors of
the Ho-Lee Model, the first
cited
COMPANION
The Oxford Guide to Financial Modeling is accompanied by a companion web site that serves as an inter¬
active workbook designed specifically for the book. This site is simple to use yet exceedingly robust with
regard to its technological efficiency and purposeful usability. It is designed to further enhance understand¬
ing of the use and applications of the models referred to in the book and it is accessible free of charge at
www.thomasho.com. This on-line workbook and resource tool contains more than
models. The models provide clear expositions of the mathematical formulations and can be used along with
the book. The companion web site is rich with a plethora of research and analytic tools designed for doing
finance on-line.
Features:
•
•
corporate finance, insurance, securities valuation, bond analysis, and financial services.
•
sources for market research products applicable to insurance organizations, corporate finance, finan¬
cial institutions, and valuation applications in general.
Contents
Model List xxiii
PART
1.
1.1
1.2
1.3
1.4
2.
2.1
2.2
2.3
2.4
2.5
2.6
2.7
2.8
2.9
in Investment Services
2.10
2.11
Appendix A. Expectations and Standard Deviations
Appendix B. A Summary of the CAPM
3.
3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8
3.9
3.10
XV
xvi CONTENTS
Appendix A. Taylor Expansion
Appendix B. The Derivation ofMacaulay Duration and Convexity
Appendix
4.
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
4.9
4.10
4.11
4.12
4.13
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.
5.1
5.2
5.3
5.4
5.5
5.6
5.7
Appendix A. Yield Curve Movements Represented by the
Principal Components
Appendix
Ho-Lee Two-Factor Models
6.
6.1
6.2
6.3
Market Benchmark Prices
6.4
CONTENTS xvii
6.5
6.6
6.7
(the
6.8
6.9
6.10
6.11
6.12
6.13
6.14
7.
and the
7.1
7.2
7.3
Bellman Optimization
7.4
7.5
7.6
7.7
7.8
7.9
7.10
7.11
7.12
7.13
Appendix A. Optimal Early Exercise Using Simulations
Appendix B. N-Factor Lattice Model
Appendix C. A Numerical Example of Dynamic Programming
PART II. CORPORATE LIABILITIES
8.
8.1
8.2
8.3
8.4
8.5
8.6
8.7
8.8
8.9
on a Solemn Occasion
xviii CONTENTS
8.10
Appendix.
9.
9.1
9.2
9.3
9.4
9.5
of Default Models
9.6
9.7
9.8
9.9
9.10
9.11
9.12
9.13
10.
10.1
10.2
10.3
10.4
10.5
10.6
10.7
11.
11.1
11.2
11.3
11.4
11.5
11.6
11.7
11.8
11.9
11.10
PART III. CORPORATE FINANCE
12.
12.1
12.2
12.3
CONTENTS xix
12.4 Miller-Modigliani Theories 421
12.5
12.6 Business Model 430
12.7
12.8
12.9
12.10
Appendix A. The MM Propositions
Appendix B. The Miller Model
13.
13.1
13.2
13.3
13.4
13.5
13.6
13.7
13.8
Approach
13.9
13.10
13.11
13.12
13.13
Appendix. The Business Model
14.
14.1
14.2
14.3
14.4
14.5
14.6
14.7
14.8
14.9
Appendix. The Firm Model
15.
15.1
15.2
15.3
15.4
15.5
xx CONTENTS
15.6
15.7
15.8
15.9
15.10
15.11
15.12
Appendix A. Selected Historical Financial Losses
Appendix B. Lessons Learned from the Historical Financial Losses
16.
16.1
16.2
16.3
16.4
16.5
16.6
16.7
16.8
16.9
Appendix A. What Actions Have Commercial Banks Taken?
Appendix B. Capital Requirements and Risk-based Capital
17.
17.1
17.2
17.3
17.4
17.5
17.6
17.7
17.8
Appendix A. Total Return Swap Terms and Conditions as of
fanuary
Appendix B. Indonesian Rupiah-LinkedNotes Final Terms and
AppendixC. The Put-Call Parity
18.
18.1
18.2
18.3
18.4
18.5
18.6
CONTENTS xxi
19. Technical Matters: Market Model
19.1 Building
19.2
19.3
Time and Continuous Time
Appendix A. Continuous Time Versions of the Ho-Lee Models
Appendix B. Summary of Continuous Time Interest Rate Models
Appendix C. Recombining Lattice
Glossary of Notations
Glossary of Terms
Index
|
| any_adam_object | 1 |
| author | Ho, Thomas S. Y. Yi, Sang-bin 1952- |
| author_GND | (DE-588)131552643 (DE-588)131552627 |
| author_facet | Ho, Thomas S. Y. Yi, Sang-bin 1952- |
| author_role | aut aut |
| author_sort | Ho, Thomas S. Y. |
| author_variant | t s y h tsy tsyh s b y sby |
| building | Verbundindex |
| bvnumber | BV019337740 |
| callnumber-first | H - Social Science |
| callnumber-label | HG173 |
| callnumber-raw | HG173.H583 2004 |
| callnumber-search | HG173.H583 2004 |
| callnumber-sort | HG 3173 H583 42004 |
| callnumber-subject | HG - Finance |
| classification_rvk | QP 700 |
| ctrlnum | (OCoLC)52937300 (DE-599)BVBBV019337740 |
| dewey-full | 332/.01/122 332/.01/1 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.01/1 22 332/.01/1 |
| dewey-search | 332/.01/1 22 332/.01/1 |
| dewey-sort | 3332 11 11 222 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| genre | (DE-588)4522595-3 Fallstudiensammlung gnd-content |
| genre_facet | Fallstudiensammlung |
| id | DE-604.BV019337740 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T11:58:22Z |
| institution | BVB |
| isbn | 019516962X |
| language | English |
| lccn | 2003018741 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-012802439 |
| oclc_num | 52937300 |
| open_access_boolean | |
| owner | DE-703 DE-1102 DE-19 DE-BY-UBM DE-355 DE-BY-UBR DE-521 DE-188 |
| owner_facet | DE-703 DE-1102 DE-19 DE-BY-UBM DE-355 DE-BY-UBR DE-521 DE-188 |
| physical | XXV, 735 S. graph. Darst. |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Oxford Univ. Press |
| record_format | marc |
| spellingShingle | Ho, Thomas S. Y. Yi, Sang-bin 1952- The Oxford guide to financial modeling applications for capital markets, corporate finance, risk management, and financial institutions Derivaten (financiën) gtt Finances Finances - Cas, Études de Financiële instellingen gtt Instruments dérivés (Finances) Instruments dérivés (Finances) - Cas, Études de Portfolio-theorie gtt Risk management gtt Sociétés - Finances Sociétés - Finances - Cas, Études de Wiskundige modellen gtt Finance Finance Case studies Derivative securities Derivative securities Case studies Corporations Finance Corporations Finance Case studies Mathematisches Modell (DE-588)4114528-8 gnd Finanzierungstheorie (DE-588)4154418-3 gnd Finanzierung (DE-588)4017182-6 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4154418-3 (DE-588)4017182-6 (DE-588)4381572-8 (DE-588)4017195-4 (DE-588)4135346-8 (DE-588)4522595-3 |
| title | The Oxford guide to financial modeling applications for capital markets, corporate finance, risk management, and financial institutions |
| title_alt | Financial modeling |
| title_auth | The Oxford guide to financial modeling applications for capital markets, corporate finance, risk management, and financial institutions |
| title_exact_search | The Oxford guide to financial modeling applications for capital markets, corporate finance, risk management, and financial institutions |
| title_full | The Oxford guide to financial modeling applications for capital markets, corporate finance, risk management, and financial institutions Thomas S. Y. Ho ; Sang Bin Lee |
| title_fullStr | The Oxford guide to financial modeling applications for capital markets, corporate finance, risk management, and financial institutions Thomas S. Y. Ho ; Sang Bin Lee |
| title_full_unstemmed | The Oxford guide to financial modeling applications for capital markets, corporate finance, risk management, and financial institutions Thomas S. Y. Ho ; Sang Bin Lee |
| title_short | The Oxford guide to financial modeling |
| title_sort | the oxford guide to financial modeling applications for capital markets corporate finance risk management and financial institutions |
| title_sub | applications for capital markets, corporate finance, risk management, and financial institutions |
| topic | Derivaten (financiën) gtt Finances Finances - Cas, Études de Financiële instellingen gtt Instruments dérivés (Finances) Instruments dérivés (Finances) - Cas, Études de Portfolio-theorie gtt Risk management gtt Sociétés - Finances Sociétés - Finances - Cas, Études de Wiskundige modellen gtt Finance Finance Case studies Derivative securities Derivative securities Case studies Corporations Finance Corporations Finance Case studies Mathematisches Modell (DE-588)4114528-8 gnd Finanzierungstheorie (DE-588)4154418-3 gnd Finanzierung (DE-588)4017182-6 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Derivaten (financiën) Finances Finances - Cas, Études de Financiële instellingen Instruments dérivés (Finances) Instruments dérivés (Finances) - Cas, Études de Portfolio-theorie Risk management Sociétés - Finances Sociétés - Finances - Cas, Études de Wiskundige modellen Finance Finance Case studies Derivative securities Derivative securities Case studies Corporations Finance Corporations Finance Case studies Mathematisches Modell Finanzierungstheorie Finanzierung Derivat Wertpapier Finanzmathematik Optionspreistheorie Fallstudiensammlung |
| url | http://www.loc.gov/catdir/toc/ecip048/2003018741.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012802439&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012802439&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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