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Mastering Financial Calculations A Step-by-Step Guide to the Mathematics of Financial Market Instruments

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ISBN-10: 0273750585

ISBN-13: 9780273750581

Edition: 3rd 2012 (Revised)

Authors: Bob Steiner

List price: $49.99
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Book details

List price: $49.99
Edition: 3rd
Copyright year: 2012
Publisher: Pearson Education, Limited
Publication date: 1/26/2012
Binding: Paperback
Pages: 616
Size: 6.75" wide x 9.50" long x 1.50" tall
Weight: 1.298
Language: English

Bob Steiner is the founder/managing director of Markets International, an independent training company. A former treasury officer and financial consultant he's also the author of Mastering Financial Calculations, now in its second edition.

Foreword
Introduction
The Basics
Financial Arithmetic Basics
Some opening remarks on formulas
Use of an HP calculator
Simple and compound interest
Nominal and effective rates
Future value / present value; time value of money
Discount factors
Cashflow analysis, NPV, IRR and time-weighted rate of returns
Annuities
Using an HP calculator for cashflow analysis
Interpolation and extrapolation
Exercises
Statistics Basics
Averages - arithmetic and geometric means, weighted averages, median and mode
Variance, standard deviation and volatility
Correlation and covariance
Histograms, probability density and the normal probability function
Confidence levels and the normal probability table
Exercises
Interest Rate Instruments
The Money Market
Overview
Day/year conventions
Money market instruments
Money market calculations
Discount instruments
CDs paying more than one coupon
Value dates
Exercises
Forward-Forward Interest Rates and Forward Rate Agreements (FRAs)
Forward-forwards, FRAs and futures
Applications of FRAs
Exercises
Interest Rate Futures
Overview
Exchange structure and margins
Futures compared with FRAs
Pricing and hedging FRAs with futures
Trading with interest rate futures
Exercises
Bond Market Calculations
Overview of capital market instruments
Features and variations
Introduction to bond pricing
Different yield measures and price calculations
A summary of the various approaches to price / yield
Duration, modified duration and convexity
Bond futures
Cash-and-carry arbitrage
Exercises
Repos, Buy/Sell-backs and Securities Lending
Introduction
Classic repo
Margin calls
General collateral (GC) and specials
Other features
Buy/Sell-back
Close-out and repricing
Securities lending
Comparison between the different transactions
Uses of repo and securities lending
Exercises
Zero-coupon Rates and Yield Curves
Zero-coupon yields, par yields and bootstrapping
Forward-forward yields
Summary
Longer-dated FRAs
Exercises
Foreign Exchange
Foreign Exchange
Introduction
Spot exchange rates
Forward exchange rates
Cross-rate forwards
Short dates
Calculation summary
Value dates
Forward-forwards
Non-deliverable forwards (NDFs)
Time options
Long-dated forwards
Arbitraging and creating FRAs
Discounting future foreign exchange risk
Exercises
Swaps and Options
Interest Rate and Currency Swaps
Basic concepts and applications
Overnight index swap (OIS)
Pricing
Valuing swaps
Hedging an interest rate swap
Amortising and forward-start swaps
Currency swaps
Exercises
Options
Overview
The ideas behind option pricing
Pricing models
OTC options vs. exchange-traded options
Value dates for FX options
Trading with calls and puts
More trading strategies
Hedging with options
Some "packaged" options
The Greek letters
Some exotic options
Credit derivatives, synthetic CDOs and first-to-default baskets
Exercises
Equities
Equities
Introduction
Ratios
Valuation
Stock splits and rights issues
Stock indices
Single stock futures
Stock index futures
Exercises
Gold and Other Commodities
Gold and Other Commodities
Gold
Gold borrowing, forwards, swaps and GOFO
Other commodities
Forward pricing and convenience yield
Commodity futures and EFP (Exchange For Physical)
FRAs, swaps and options
Exercises
Hints and Answers to Exercises
Hints and Answers to Exercises
Hints on exercises
Answers to exercises
Using an HP calculator
A summary of market day/year conventions and government bond markets
A summary of calculation procedures
Glossary
ISO (SWIFT) currency codes
Select Bibliography
Index