Securities Valuation
Applications of Financial Modeling
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A termék adatai:
- Kiadás sorszáma 1
- Kiadó OUP USA
- Megjelenés dátuma 2005. április 28.
- ISBN 9780195172751
- Kötéstípus Puhakötés
- Terjedelem336 oldal
- Méret 180x256x23 mm
- Súly 594 g
- Nyelv angol
- Illusztrációk numerous figures and tables 0
Kategóriák
Rövid leírás:
A textbook that provides a coherent description of valuation models over a wide range of securities. Students can study both the theories and the practical implementations of the valuation models. Further, students can use the extensive Excel models applying to practical problems (the cases) and exercises. The book is the only textbook that is supported by a complete set of excel models enabling the students to use the models in 'real life' cases. This book combines the theories and case studies in one coherent treatment for the courses in securities valuation.
TöbbHosszú leírás:
Securities Valuation: Applications of Financial Modeling is a clear, concise guide to securities valuation and the principles of financial theory. It describes state-of-the-art methods for valuing a broad range of securities: equity, equity and interest rate options, swaps and swaptions, treasuries, corporate bonds with and without credit risks, mortgage-backed securities, collateralized mortgage obligations, credit derivative swaps, and more.
Thomas Ho and Sang Bin Lee use their combined fifty years of experience in academia, financial business, and public services to present students and general readers with twenty-six challenging cases. These cases describe the contexts in which financial models are used, the practical complications of these models, and ways to deal with their limitations.
Each chapter begins with a problem in valuation, formulates models for it, and then provides the solutions. The assumptions, input data, and output solutions for each model are clearly stated. The model is illustrated by a numerical example rendered in Excel. A Online Resource Centre-www.thomasho.com-contains more than 130 Excel files of all the financial models from this book and its three companion volumes. Users can download the models, analyze them on their spreadsheets, and use them to do practice exercises
Securities Valuation: Applications of Financial Modeling is ideal for undergraduate and graduate courses in finance and mathematical finance as well as for professional training programs. It is part of a series on financial modeling by the authors that also includes The Oxford Guide to Financial Modeling. Future titles in the series will focus on financial modeling for options, futures, and derivatives and financial modeling for financial institutions.
"The Oxford Guide to Financial Modeling, and its companion volume, Securities Valuation, are invaluable tools for understanding and developing financial models to solve real business problems. They blend cutting-edge financial theory with practical examples that are immediately useful. This approach enables the student and practitioner to develop the thinking processes needed to formulate and solve a broad range of contemporary financial problems. The Guide has been exceedingly useful in my own work."
--Dr. Robert Carow, Director of Corporate Compensation, AIG
Tartalomjegyzék:
Each chapter ends with Excel Exercises, Notes, and a Bibliography.
Preface
1. Introduction
Diversification
CAPM
Beta Systematic Risk
Dividend Discount Model
An Application of the Capital Asset Pricing Model to Investment Services
Excel Exercise 1.1. Diversification
Case: Managing the Risk of a Pension Fund
Excel Exercise 1.2. CAPM
Case: Quarterly Earnings Report of an Energy Storage Operator
Excel Exercise 1.3. Dividend Discount Model
Case: Valuing REIT
2. Equity Options
Option Description
Institutional Framework
Put Call Parity
The Main Insight of the Black-Scholes Model
The Option Behavior and Sensitivity Analysis
Applications of the Option Model
Excel Exercise 2.1. Cox Ross Rubinstein Model
Case: Private Wealth Management-Designing a Structured Product
Excel Exercise 2.2. Put Call Parity
Case: Proprietary Trading Desk
Excel Exercise 2.3. Black-Scholes Model
Case: Use of Put Options in Hedging
Excel Exercise 2.4. Risk Neutral and Market Probability
Case: Asset Allocation and the Expected Returns of an Option
3. Exotic Options
Options with Alternative Payoffs at Expiration
Options with Boundary Conditions
Early Exercise
Compound Options
Excel Exercise 3.1. American Stock Option
Case: Valuing Employee Stock Options
Excel Exercise 3.2. Compound Option
Case: Project Financing and Compound Options
Excel Exercise 3.3. Digital Option
Case: IPO Incentive Option and Executive Option Design
Excel Exercise 3.4. Greeks
Case: Valuing an Equity Structured Product from a Term Sheet
4. Bond Mathematics, Treasury Securities, and Swaps
Bond Mathematics
Bonds and Bond Markets
Swap Markets
Economics of the Yield Curve
The Bond Model
Duration and Convexity
Applications of the Bond Analytics
Excel Exercise 4.1. Effective Duration
Case: Interest Rate Bet Using Effective Duration
Excel Exercise 4.2. Par Curve and Spot Curve
Case: Law of One Price and Marking a Bond Position
Excel Exercise 4.3. Dollar Duration
Case: Transfer Pricing and Hedging at the Treasury Department
Excel Exercise 4.4. Swap
Case: A Hedging Program Designed by the Asset Liability Committee
5. Bond Options
Interest Rate Movements: Historical Experiences
Equilibrium Models
Arbitrage-Free Models
Key Rate Duration and Dynamic Hedging
Excel Exercise 5.1. Cox, Ingersoll, and Ross Model
Case: Building a Model by Knowing Your Clients
Excel Exercise 5.2. Vasicek Model
Case: Defined Benefits and Asset Management
Excel Exercise 5.3. Ho-Lee Model
Case: Using an Arbitrage-free Model to Determine the Profit Release
Excel Exercise 5.4. Black Bond Option
Case: Proprietary Trading Desk
Excel Exercise 5.5. Swaption
Case: Marking to Market an Illiquid Derivative Position
6. Corporate Bonds-Investment Grade
Descriptions of a Corporate Bond
Valuation of a Bond
Option Adjusted Spreads
Callable Bond
Sinking Fund Bond and Putable Bonds
Excel Exercise 6.1. Callable Bond
Case: Funding Working Capital with Debt
Excel Exercise 6.2. Sinking Fund Bond
Case: Securitization and Asset Backed Securities
7. Corporate Bonds-High Yield Bonds
An Example of a High Yield Bond
Institutional Framework of Bankruptcy and Bankruptcy Proceedings
The Fisher Model
An Actuarial Model
Historical Experiences and the Estimation of the Parameters of Default Models
The Reduced Form Model
The Structural Model
Excel Exercise 7.1. Credit Default Swap
Case: Credit Derivatives, Insurance Premium and Callable Bonds
Excel Exercise 7.2. Ho-Singer Model
Case: Reorganization and Debt Restructuring
8. Other Bonds: Convertible Bonds, MBS, CMO
Description of a Convertible Bond
Forced Conversion
Default Risk
Mortgage-Backed Securities (Pass Through Certificates)
Prepayment Modeling and Valuation
Collateralized Mortgage Obligations (CMO)
Excel Exercise 8.1. Convertible Bonds
Case: Hedging a Convertible Bond Issue
Excel Exercise 8.2. Mortgage-Backed Securities (Level Payment, PSA, IO & PO)
Case: Pricing Guaranteed Investment Contract and the Profit Spread
Index
