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An Engine, Not a Camera
In An Engine, Not a Camera , Donald MacKenzie argues that the emergence of modern economic theories of finance affected financial markets in fundamental ways.These new, Nobel Prize-winning theories, based on elegant mathematical models of markets, were not simply external analyses but intrinsic parts of economic processes.
eBook
Forecasting volatility in the financial markets
A collection of cutting-edge volatility forecasting techniques.
eBook
Counterparty Credit Risk
The first decade of the 21st Century has been disastrous forfinancial institutions, derivatives and risk management.Counterparty credit risk has become the key element of financialrisk management, highlighted by the bankruptcy of the investmentbank Lehman Brothers and failure of other high profile institutionssuch as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The suddenrealisation of extensive counterparty risks has severelycompromised the health of global financial markets. Counterpartyrisk is now a key problem for all financial institutions. This book explains the emergence of counterparty risk during therecent credit crisis. The quantification of firm-wide creditexposure for trading desks and businesses is discussed alongsiderisk mitigation methods such as netting and collateral management(margining). Banks and other financial institutions have beenrecently developing their capabilities for pricing counterpartyrisk and these elements are considered in detail via acharacterisation of credit value adjustment (CVA). The implicationsof an institution valuing their own default via debt valueadjustment (DVA) are also considered at length. Hedging aspects,together with the associated instruments such as credit defaultsswaps (CDSs) and contingent CDS (CCDS) are described in full. A key feature of the credit crisis has been the realisation ofwrong-way risks illustrated by the failure of monoline insurancecompanies. Wrong-way counterparty risks are addressed in detail inrelation to interest rate, foreign exchange, commodity and, inparticular, credit derivative products. Portfolio counterparty riskis covered, together with the regulatory aspects as defined by theBasel II capital requirements. The management of counterparty riskwithin an institution is also discussed in detail. Finally, thedesign and benefits of central clearing, a recent development
toattempt to control the rapid growth of counterparty risk, isconsidered. This book is unique in being practically focused but alsocovering the more technical aspects. It is an invaluable completereference guide for any market practitioner with any responsibilityor interest within the area of counterparty credit risk.
eBook
Financial Engineering and Computation
Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more.
eBook
Fourier transform methods in finance
This is the first book written on the application of Fourier transform to finance. Written by an academic and practitioner team, it is an accessible and practical guide to the subject providing an introduction to the mathematics and applications of Fourier transform.
eBook