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MASTERING INVESTMENT BANKING A PRACTICAL GUIDE


KOZUL N. / TO STRUCTURES PRODUCTS PRICING AND CALCULATIONS

wydawnictwo: PEARSON , rok wydania 2011, wydanie I

cena netto: 494.00 Twoja cena  469,30 zł + 5% vat - dodaj do koszyka

Mastering Investment Banking Securities

A Practical Guide to Structures, Products, Pricing and Calculations


Securities are the fundamental tools and products of investment banking. They can be broadly categorized into debt - including banknotes, bonds and debentures, equity and derivative financial instruments that range from options and swaps to very complex and risky trading strategies. It is a multi-billion dollar business based on sophisticated financial models and pricing techniques.

Mastering Investment Banking Securitiesis a comprehensive guide to these trading instruments, their trading practices, pricing techniques and associated risks. It includes:

  • An introduction to investment bank structures, divisions and their roles
  • All commonly traded money market and capital market instruments
  • The most popular interest rate, equity, commodity and credit- linked financial instruments
  • A wide range of derivative securities
  • Details of pricing and valuation tools and the key pricing techniques
  • The fundamentals of credit risk and market risk
  • A glossary of key terms

Table of Contents

Foreword

The aim of the book

Introduction

PART I - STRUCTURES

1. Investment Bank Divisions

Mergers and acquisitions (M&A)

Capital markets (CM)

Securitisation

Sales and trading

2. Investment Bank Organisational Structure

Front office

Middle office

Back office

PART II – MONEY MARKETS AND CAPITAL MARKETS INSTRUMENTS

3. Money Market Products

Time value of money

Nominal and effective rates

Cashflow analysis

Overview of money market products

Money market calculations

4. Capital Markets Instruments

Overview of capital markets instruments

Bond pricing fundamentals

Other bond markets

PART III – FINANCIAL DERIVATIVES

5. Speculative Financial Instruments - Derivatives

Overview of derivatives markets

Users of derivatives

Interest rate derivatives

Equity derivatives

Commodity derivatives

Credit derivatives

6. Financial Futures and Forward Rate Agreements (FRAs)

Financial futures

Forward rate agreements (FRAs)

Futures vs. FRAs

7. Swaps

Basic swap concepts and applications

Types of swaps

Swap pricing fundamentals

Pricing currency swaps

Equity swap valuation

8. Foreign Exchange

Spot exchange rates

Direct and cross-rates

Forward exchange rates

9. Options

Motivation behind option trading

Option contract specifications

Types of option contracts

Option contract risks and benefits

Ideas behind option pricing

Put-call parity

Option value sensitivities – ‘option Greeks’

Option pricing: practical implementation

10. Bond and Equity Derivatives

Introduction to bond derivatives

Background on equity markets

11. Commodity and Credit Derivatives

Background on commodity derivatives

Introduction to credit derivatives

12. OTC Derivatives and Hybrid Securities

OTC derivatives

Hybrid securities

PART IV – PRICING AND VALUATION TOOLS

13. Probability and Statistics

Definition of probability

The main concepts of probability

The concept of probability distribution

Types of probability distribution

Binomial distribution

Normal distribution

Log-normal distribution

Other probability distributions

Binomial trees

14. Yield Curves

Choice of financial instruments for yield curve construction

Yield curve construction methodology

The three-month yield curve construction

Bootstrapping the swap strip

Interpolation methods

The one-month curve construction

The basis curve construction

Shape of the yield curve

15. Quantitative Analytics

Role of quantitative analytics

Classification of pricing models

Numerical methods

Analytical methods

16. Summary of Pricing Formulae

Time value of money

Money markets calculations

Capital markets instruments

Financial futures

Forward rate agreements (FRAs)

Interest rate swaps

Foreign exchange

Option characteristics

Option pricing

Bond derivatives

Equity derivatives

Probability and statistics

Yield curves

PART V – RISK MANAGEMENT

17. Credit Risk on Derivatives

Counterparty risk

Product risk

Credit risk of specific financial instruments

Credit ratings

Credit risk management

Credit risk management best practice guidelines

18. Market Risk on Derivatives

Balance sheet vs. off-balance sheet instruments

Market risk on specific financial instruments

Market risk management

Market risk management best practice guidelines

Value at risk (VAR)

Appendix 1 - Glossary

Appendix 2 - Option Strategies

Appendix 3 – ISO (SWIFT) Currency Codes

Bibliography

Index


328 pages, Paperback

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