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| pricing financial instruments: Effective Product Control Peter Nash, 2017-09-22 Improve the Effectiveness of your Product Control Function Effective Product Control is a detailed how-to guide covering everything you need to know about the function. Considered essential reading for: New controllers entering the profession Auditors and regulators reviewing product control Established controllers wanting a refresher on the latest skills and core controls within the industry. Encompassing both a technical skills primer and key insights into core controls used to mitigate major risks emanating from trading desks, you will get expert advice on practical topics such as: The key IFRS and U.S. GAAP accounting standards for a trading desk How to approach the pricing of a financial instrument Market risk and how is it quantified The controls necessary for a trading desk Rogue trading and how it can be detected Valuation adjustments and why they are necessary How the prices used to value a trading portfolio are independently verified The financial accounting entries used to record financial instruments in the balance sheet and profit & loss statement Financial reporting and how the results of a trading desk are presented How a new financial product can be introduced in a controlled manner Complete with a wealth of insightful graphs, illustrations and real-world examples to enliven the covered material, the dependable answers you need are in Effective Product Control. |
| pricing financial instruments: Computational Finance George Levy, 2004-01-27 Accompanying CD-ROM contains ... working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book. -- d.j. |
| pricing financial instruments: Financial Instrument Pricing Using C++ Daniel J. Duffy, 2017-08-08 Financial Instrument Pricing Using C++ By Daniel J. Duffy |
| pricing financial instruments: Financial Instruments David M. Weiss, 2009-07-23 A comprehensive, current survey of investment products and instruments Thorough, accessible, and up to date, Financial Instruments is a guide to all of the financial products currently being traded in the world's markets. Through plain language and in a user-friendly format, David M. Weiss, author of After the Trade Is Made, outlines the many tools available and their unique functions, features, and structures. Weiss breaks financial instruments into four broad groups: equities, debt, derivatives, and mutual funds. Under each heading, he explores the many types of related products, including exotic investments such as: ? American Depositary Receipts ? Asset-Backed Securities ? Structured Debt ? Futures ? Swaps ? Unit Investment Trusts Financial Instruments is an indispensable tool for finance professionals-portfolio managers, brokers, financial planners, and institutional investors. It's also a definitive resource for sophisticated individual investors. |
| pricing financial instruments: Fundamentals of Financial Instruments Sunil K. Parameswaran, 2011-11-08 The essential guide to financial instruments, logically presented Fundamentals of Financial Instruments deals with the global financial markets and the instruments in which they trade. While most books on finance tend to be heavily mathematical, this book emphasizes the concepts in a logical, sequential fashion, introducing mathematical concepts only at the relevant times. As a result, the reader gains conceptual clarity reinforced by just the right level of technical detail to ensure a comprehensive exposure to the skills needed in the financial world. Establishes a strong foundation for understanding global markets Acts as an invaluable resource for those considering a career in the financial markets Offers an accessible yet in-depth treatise on modern financial instruments Presents a logical navigational path for a typical student of finance who is attempting to come to terms with the intricacies of the subject Covering the fundamentals of various types of assets in a single volume, Fundamentals of Financial Instruments is a compact yet comprehensive one-stop reference for students and professionals in finance and economics. |
| pricing financial instruments: Swing Pricing and Fragility in Open-end Mutual Funds Dunhong Jin, Marcin Kacperczyk, Bige Kahraman, Felix Suntheim, 2019-11-01 How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect. |
| pricing financial instruments: Financial Derivatives Jamil Baz, George Chacko, 2004-01-12 This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations. |
| pricing financial instruments: The Professional Risk Managers' Guide to Financial Instruments Professional Risk Managers' International Association (PRMIA), 2007-12-21 Techniques for pricing, hedging and trading The Professional Risk Managers' Guide to Financial Instruments will show you how manage the risk of the complex instruments offered to investors. Sponsored by PRMIA and edited by risk management experts Carol Alexander and Elizabeth Sheedy, this authoritative resource features contributions from eleven global experts who explore the major financial instruments, the valuation methods most appropriate for each, and strategies for assessing the associated market risks. The Professional Risk Managers' Guide to Financial Instruments offers step-by-step guidance in: The main types of bonds Futures and forward contracts Caps, floors, and interest rate options Swaps and swaptions Convertible bonds and other hybrid instruments Options, including exotic and path dependent pay-offs Using instruments for hedging and speculation |
| pricing financial instruments: Fixed-Income Synthetic Assets Perry H. Beaumont, 1992-11-11 The comprehensive guide to creating, valuing, and trading today'smost innovative fixed-income securities . Financial marketsworldwide are being flooded with a wealth of innovative andincreasingly complex securities. Now, more than ever, fixed-incomeprofessionals must understand how these synthetic instruments arestructured and traded, and how to profitably integrate them into anoverall financial strategy. Fixed-Income Synthetic Assets suppliesthis crucial working knowledge. This results-driven primer deliversthe proven tools and techniques for packaging, pricing, and tradingthese innovative products. From A-tranche CMOs to Zero couponbonds, this unique sourcebook guides both the novice and theprofessional through the full range of innovative syntheticstructures and their manifold uses. It's packed with easy-to-useformulas and charts, as well as clear, step-by-step discussions offinancial theory that promote clear understanding of the mostcomplex fixed-income financial engineering strategies andpractices. This timely sourcebook is designed to help traders,arbitrageurs, speculators, and financial executives profit from thefinancial markets of today, and successfully prepare for theopportunities of tomorrow. Perry H. Beaumont offers a logical,well organized book filled with examples. His step-by-stepexplanations make it easy to decipher some of today's mostsophisticated financial instruments. --Ira G. Kawaller VicePresident, Director of New York Office, Chicago Mercantile ExchangeFixed-Income Synthetic Assets is a practical guide tostate-of-the-art financial practice. An excellent tool for thefinancial manager trading in the markets and applying the latestfinancial techniques. --David Robison Vice President &Treasurer Chrysler Financial Corporation |
| pricing financial instruments: Accounting for Financial Instruments Cormac Butler, 2009-02-18 This practical book shows how to deal with the complicated area of accounting of financial instruments. Containing a huge number of sophisticated worked examples, the book treats this complex subject in a way that gives clear guidance on the subject. In an introductory, controversial overview of the subject, the book highlights the mistakes that both auditing firms and the accounting standard setters are making, and demonstrates the contribution the International Financial Reporting Standards have made to the current credit crisis. |
| pricing financial instruments: Accounting for Financial Instruments Emanuel Camilleri, Roxanne Camilleri, 2017-05-12 Accounting for Financial Instruments is about the accounting and regulatory framework associated with the acquisition and disposal of financial instruments; how to determine their value; how to manage the risk connected with them; and ultimately compile a business valuation report. Specifically, the book covers the following topics, amongst others: Accounting for Investments; Bills of exchange; Management of Financial Risks; Financial Analysis (including the Financial Analysis Report); Valuation of a business (including the Business Valuation Report) and Money laundering. Accounting for Financial Instruments fills a gap in the current literature for a comprehensive text that brings together relevant accounting concepts and valid regulatory framework, and related procedures regarding the management of financial instruments (investments), which are applicable in the modern business world. Understanding financial risk management allows the reader to comprehend the importance of analysing a business concern. This is achieved by presenting an analytical framework to illustrate that an entity’s performance is greatly influenced by its external and internal environments. The analysis of the external environment examines factors that impact an entity’s operational activities, strategic choices, and influence its opportunities and risks. The analysis of the internal environment applies accounting ratio analysis to an entity’s financial statements to examine various elements, including liquidity, profitability, asset utilisation, investment, working capital management and capital structure. The objective of the book is to provide a fundamental knowledge base for those who are interested in managing financial instruments (investments) or studying banking and finance or those who wish to make financial services, particularly banking and finance, their chosen career. Accounting for Financial Instruments is highly applicable to both professional accountants and auditors and students alike. |
| pricing financial instruments: Transfer Pricing and Intra-group Financing A.J. Bakker, 2021 |
| pricing financial instruments: Pricing and Hedging Financial Derivatives Leonardo Marroni, Irene Perdomo, 2014-06-19 The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code |
| pricing financial instruments: Pricing, Risk, and Performance Measurement in Practice Wolfgang Schwerdt, Marcelle von Wendland, 2009-10-22 How can managers increase their ability to calculate price and risk data for financial instruments while decreasing their dependence on a myriad of specific instrument variants? Wolfgang Schwerdt and Marcelle von Wendland created a simple and consistent way to handle and process large amounts of complex financial data. By means of a practical framework, their approach analyzes market and credit risk exposure of financial instruments and portfolios and calculates risk adjusted performance measures. Its emphasis on standardization yields significant improvements in speed and accuracy.Schwerdt and von Wendland's focus on practical implementation directly addresses limitations imposed by the complex and costly processing time required for advanced risk management models and pricing hundreds of thousands of securities each day. Their many examples and programming codes demonstrate how to use standards to build financial instruments, how to price them, and how to measure the risk and performance of the portfolios that include them.Feature: The authors have designed and implemented a standard for the description of financial instrumentsBenefit: The reader can rely on accurate and valid information about describing financial instrumentsFeature: The authors have developed an approach for pricing and analyzing any financial instrument using a limited set of atomic instrumentsBenefit: The reader can use these instruments to define and set up even very large numbers of financial instruments.Feature: The book builds a practical framework for analysing the market and credit risk exposure of financial instruments and portfoliosBenefit: Readers can use this framework today in their work and identify and measure market and credit risk using a reliable method. |
| pricing financial instruments: Financial Instruments and Institutions Stephen G. Ryan, 2007-04-10 This book is an authoritative guide to the accounting and disclosure rules for financial institutions and instruments. It provides guidance from a “fair value” perspective and demonstrates the simplest and most natural measurement basis for reporting financial instruments, as is relevant for thrifts, mortgage banks, commercial banks, and property-casualty and life insurers. |
| pricing financial instruments: Hybrid Financial Instruments in International Tax Law Jakob Bundgaard, 2016-11-15 Financial innovation allows companies and other entities that wish to raise capital to choose from a myriad of possible instruments that can be tailored to meet the specific business needs of the issuer and investor. However, such instruments put increasing pressure on a question that is fundamental to the tax and financial systems of a country – the distinction between debt and equity. Focusing on hybrid financial instruments (HFIs) – which lie somewhere along the debt-equity continuum, but where exactly depends on the terms of the instrument as well as on applicable laws – this book analyses their treatment under both domestic law and tax treaties. Key jurisdictions, including the EU, some of its Member States, and the United States, are covered. Advocating for a broader scope of application of HFIs as part of the financing of companies in Europe alongside traditional sources of debt and equity financing, the book addresses such issues and topics as the following: • problems associated with the debt-equity distinction in international tax law; • cross-border tax arbitrage and linking rules; • drivers behind the use and design of HFIs; • tax law impact of perpetual and super maturity debt instruments, profit participating loans, convertible bonds, mandatory convertible bonds, contingent convertibles, preference shares and warrant loans on HFIs; • financial accounting treatment; • administrative guidance; • influence of the TFEU on Member States’ approaches to classification of HFIs; • interpretation of the Parent-Subsidiary Directive by the European Court of Justice; • applicability of the OECD Model Tax Convention; and • implications of the OECD Base Erosion and Profit Shifting (BEPS) project. Throughout this book, the analysis draws upon preparatory works, case law, and legal theory in English, German, and the Scandinavian languages. In conclusion, the author considers tax policy issues, and identifies and outlines possible high-level solutions. Actual or potential users of HFIs will greatly appreciate the clarity and insight offered here into the capacity and tax implications of HFIs. The book not only examines whether existing legislation is sufficient to handle the issues raised by international HFIs, but also provides an in-depth analysis of the interaction between corporate financing and tax law in the light of today’s financial innovation. Corporate executives and their counsel will find it indispensable in the international taxation landscape that is currently coming into view, and academics and policymakers will hugely augment their understanding of a complex and constantly changing area of tax law. |
| pricing financial instruments: Credit Risk Pricing Models Bernd Schmid, 2012-11-07 This new edition is a greatly extended and updated version of my earlier monograph Pricing Credit Linked Financial Instruments (Schmid 2002). Whereas the first edition concentrated on the re search which I had done in the context of my PhD thesis, this second edition covers all important credit risk models and gives a general overview of the subject. I put a lot of effort in explaining credit risk factors and show the latest results in default probability and recovery rate modeling. There is a special emphasis on correlation issues as well. The broad range of financial instruments I consider covers not only defaultable bonds, defaultable swaps and single counterparty credit derivatives but is further extended by multi counterparty in struments like index swaps, basket default swaps and collateralized debt obligations. I am grateful to Springer-Verlag for the great support in the realiza tion of this project and want to thank the readers of the first edition for their overwhelming feedback. Last but not least I want to thank Uli Göser for ongoing patience, en couragement, and support, my family and especially my sister Wendy for being there at all times. BemdSchmid Stuttgart, November 2003 Cpntents 1. Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 1 Motivation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 2 Objectives, Structure, and S:ummary . . . . . . . . . . . . . . . . . . . . . . 5 2. Modeling Credit Risk Factors. . . . . . . . . . . . . . . . . . . . . . . 13 . . . . . . 2. 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 2. 2 Definition and Elements of Credit Risk . . . . . . . . . . . . . . .. 13 . . . . 2. 3 Modeling Transition and Default Probabilities. . . . . . . . . . . . . 14 . 2. 3. 1 The Historical Method . . . . . . . . . . . . . . . . . . . . . . 15 . . . . . . |
| pricing financial instruments: Pricing Derivative Securities Eliezer Z. Prisman, 2000 |
| pricing financial instruments: Financial Mathematics, Derivatives and Structured Products Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li, 2024-06-12 This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. This second edition substantially extends, updates and clarifies the previous edition. New materials and enhanced contents include, but not limited to, the role of central counterparties for derivatives transactions, the reference rates to replace LIBOR, risk-neutral modelling for futures and forward, discussions and analysis on risk-neutral framework and numéraires, discrete dividend modelling, variance reduction techniques for Monte Carlo method, finite difference method analysis, tree method, FX modelling, multi-name credit derivatives modelling, local volatility model, forward variance model and local-stochastic volatility model to reflect market practice. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level) |
| pricing financial instruments: Pricing Derivatives Ambar Sengupta, 2005 Irwin Library of Investment and Finance Pricing Derivatives provides investors with a clear understanding of derivative pricing models by first focusing on the underlying mathematics and financial concepts upon which the models were originally built. Trading consultant Professor Ambar Sengupta uses short, to-the-point chapters to examine the relation between price and probability as well as pricing structures of all major derivative instruments. Other topics covered include foundations of stochastic models of pricing, along with methods for establishing optimal prices in terms of the max-min principles that underlie game theory. |
| pricing financial instruments: Pricing Financial Instruments Domingo Tavella, Curt Randall, 2000-04-21 Numerical methods for the solution of financial instrument pricingequations are fast becoming essential for practitioners of modernquantitative finance. Among the most promising of these newcomputational finance techniques is the finite differencemethod-yet, to date, no single resource has presented a quality,comprehensive overview of this revolutionary quantitative approachto risk management. Pricing Financial Instruments, researched and written by DomingoTavella and Curt Randall, two of the chief proponents of the finitedifference method, presents a logical framework for applying themethod of finite difference to the pricing of financialderivatives. Detailing the algorithmic and numerical proceduresthat are the foundation of both modern mathematical finance and thecreation of financial products-while purposely keeping mathematicalcomplexity to a minimum-this long-awaited book demonstrates how thetechniques described can be used to accurately price simple andcomplex derivative structures. From a summary of stochastic pricing processes and arbitragepricing arguments, through the analysis of numerical schemes andthe implications of discretization-and ending with case studiesthat are simple yet detailed enough to demonstrate the capabilitiesof the methodology- Pricing Financial Instruments explores areasthat include: * Pricing equations and the relationship be-tween European andAmerican derivatives * Detailed analyses of different stability analysisapproaches * Continuous and discrete sampling models for path dependentoptions * One-dimensional and multi-dimensional coordinatetransformations * Numerical examples of barrier options, Asian options, forwardswaps, and more With an emphasis on how numerical solutions work and how theapproximations involved affect the accuracy of the solutions,Pricing Financial Instruments takes us through doors opened wide byBlack, Scholes, and Merton-and the arbitrage pricing principlesthey introduced in the early 1970s-to provide a step-by-stepoutline for sensibly interpreting the output of standard numericalschemes. It covers the understanding and application of today'sfinite difference method, and takes the reader to the next level ofpricing financial instruments and managing financial risk. Praise for Pricing Financial Instruments Pricing Financial Instruments is the first broad and accessibletreatment of finite difference methods for pricing derivativesecurities. The authors have taken great care to clearly explainboth the origins of the pricing problems in a financial setting, aswell as many practical aspects of their numerical methods. The bookcovers a wide variety of applications, such as American options andcredit derivatives. Both financial analysts and academicasset-pricing specialists will want to own a copy.-Darrell Duffie,Professor of Finance Stanford University In my experience, finite difference methods have proven to be asimple yet powerful tool for numerically solving the evolutionaryPDEs that arise in modern mathematical finance. This book shouldfinally dispel the widely held notion that these methods aresomehow difficult or abstract. I highly recommend it to anyoneinterested in the implementation of these methods in the financialarena.-Peter Carr, Principal Bank of America Securities A very comprehensive treatment of the application of finitedifference techniques to derivatives finance. Practitioners willfind the many extensive examples very valuable and students willappreciate the rigorous attention paid to the many subtleties offinite difference techniques.-Francis Longstaff, Professor TheAnderson School at UCLA The finite difference approach is central to the numerical pricingof financial securities. This book gives a clear and succinctintroduction to this important subject. Highly recommended.-MarkBroadie, Associate Professor School of Business, ColumbiaUniversity For updates on new and bestselling Wiley Finance books:wiley.com/wbns |
| pricing financial instruments: Hybrid Securities Kamil Liberadzki, Marcin Liberadzki, 2016-04-08 Hybrid capital securities or 'hybrids' offer various benefits. They offer flexibility equity without shareholder dilution, provide protection to senior creditors, are a stable source of long-term funding for healthy companies, and help insurers and banks meet regulatory and rating agency capital requirements. Risks and features of hybrid securities are expressed in the credit spread of some relatively new financial instruments, but no structural fundamentals exist for to price hybrids precisely. This book proposes a model for the pricing of hybrids. It begins by explaining the concept of hybrids as well as their equity- and debt-like characteristics. Different types of hybrids are presented, including preference shares, convertible bonds, contingent convertibles (CoCos) and bail-in bonds. The authors then present analysis of regulatory regimes' impact on hybrids. They discuss the types of hybrid bonds that are contemplated in the Capital Requirements Regulation (CRR) and Banking Union mechanism. They then present an in-depth examination of hybrids pricing and risk assessment techniques. The book provides a comprehensive analysis from mathematical, legal and financial perspectives in order to look at relatively new financial instruments and address problems with the pricing models of hybrids which are as yet unsolved. |
| pricing financial instruments: Financial Calculus Martin Baxter, Andrew Rennie, 1996-09-19 A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities. |
| pricing financial instruments: Algebraic Structures and Applications Sergei Silvestrov, Anatoliy Malyarenko, Milica Rančić, 2020-06-18 This book explores the latest advances in algebraic structures and applications, and focuses on mathematical concepts, methods, structures, problems, algorithms and computational methods important in the natural sciences, engineering and modern technologies. In particular, it features mathematical methods and models of non-commutative and non-associative algebras, hom-algebra structures, generalizations of differential calculus, quantum deformations of algebras, Lie algebras and their generalizations, semi-groups and groups, constructive algebra, matrix analysis and its interplay with topology, knot theory, dynamical systems, functional analysis, stochastic processes, perturbation analysis of Markov chains, and applications in network analysis, financial mathematics and engineering mathematics. The book addresses both theory and applications, which are illustrated with a wealth of ideas, proofs and examples to help readers understand the material and develop new mathematical methods and concepts of their own. The high-quality chapters share a wealth of new methods and results, review cutting-edge research and discuss open problems and directions for future research. Taken together, they offer a source of inspiration for a broad range of researchers and research students whose work involves algebraic structures and their applications, probability theory and mathematical statistics, applied mathematics, engineering mathematics and related areas. |
| pricing financial instruments: Financial Instruments International Accounting Standards Committee, 2000 |
| pricing financial instruments: Managing Financial Information in the Trade Lifecycle Martijn Groot, 2010-07-28 Information is the oxygen supply of the financial markets. Financial information, or data, is so important that companies such as Barclays and Citigroup now have executive positions of Chief Data Officer or Head of Data Acquisition. This book, by a long-time industry insider at one of the leading data management vendors, discusses the present and future of financial data management by focusing on the lifecycle of the financial instruments (stocks, bonds, options, derivatives) that generate and require data to keep the markets moving. This book is a concise reference manual of the financial information supply chain and how to maximize effectiveness and minimize cost. - First book fully dedicated to financial information supply chain and how to manage it effectively - Addresses hot topics that readers need to know: regulatory reporting regulations, data pooling, hubs, and data exchanges - Draws from actual lessons learned and presents many real-life scenarios of the business |
| pricing financial instruments: Financial Derivatives Rob Quail, James A. Overdahl, 2003-03-20 Financial Derivatives - Jetzt neu in der 3. komplett überarbeiteten Auflage! Dieses umfassende Nachschlagewerk bietet eine gründliche Einführung in das Thema Finanzderivate und ihre Bedeutung für das Risikomanagement im Unternehmensumfeld. Es vermittelt fundierte Kenntnisse zum Thema Finanzderivate, und zwar mit einem verständlich gehaltenen Minimum an Finanzmathematik, was Preisbildung und Bewertung angeht. Mit einer breitgefächerten Übersicht über die verschiedenen Arten von Finanzderivaten. Mit neuem Material zu Kreditderivaten und zur Kreditrisikobewertung bei Derivaten. Mit neuen und ausführlicheren Informationen zu den Themen Finanztechnik und strukturierte Finanzprodukte. Financial Derivatives - Ein unverzichtbarer Ratgeber für alle Finanzexperten im Bereich Risikomanagement. |
| pricing financial instruments: Hybrid Financial Instruments, Double Non-Taxation and Linking Rules Félix Daniel Martínez Laguna, 2019-06-12 Double non-taxation stemming from hybrid financial instruments and the solutions provided by the OECD and the European Union for tackling such an outcome are the target of this publication. It focuses on the economic and legal features of debt and equity instruments as well as hybrid financial instruments from an interdisciplinary perspective where economics, corporate law, financial accounting law, regulatory law and tax law are present. The different qualification of hybrid financial instruments within and without jurisdictions may lead to double non-taxation across borders, which is one of the main issues of concern to the international tax community. |
| pricing financial instruments: Brazilian Derivatives and Securities Marcos C. S. Carreira, Richard J. Brostowicz Jr., 2016-07-11 The Brazilian financial markets operate in a very different way to G7 markets. Key differences include onshore and offshore markets, exponential rates, business days day-counts, and price formation from the futures markets (instead of the cash markets). This book provides a quantitative, applied guide to the offshore and onshore Brazilian markets, with a focus on the financial instruments unique to the region. It offers a comprehensive introduction to the key financial 'archaeology' in the Brazil context, exploring interest rates, FX and inflation and key differences from G7 market finance. It explores the core industry investment banking business in detail, from FX to interest rates and cash and inflation. Finally it introduces the region's unique financial instruments, as well as their pricing and risk management needs. Covering both introductory and complex topics, this book provides existing practitioners in Brazil, as well as those interested in becoming involved inthese markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available. |
| pricing financial instruments: Derivatives and Internal Models H. Deutsch, 2003-12-17 The successful first edition provided an introduction to the valuation and risk management of modern financial instruments, formulated in a precise mathematical expression and comprehensively covering all relevant topics using consistent and exact notation. In this edition, Deutsch continues with this philosophy covering new and more advanced topics including risk adjusted performance and portfolio optimization. This edition also includes a CD-ROM in the form of Excel workbooks giving detailed models of the concepts discussed in the book. |
| pricing financial instruments: Financial Markets, Instruments, and Institutions Anthony M. Santomero, David F. Babbel, 1997 |
| pricing financial instruments: Pricing Money Julian A. Wiseman, 2001-11-28 Pricing Money provides a highly practical introduction to the principles of bonds and fixed income and is aimed at readers who have little prior knowledge. The book is written in a style that is not overly mathematical or theoretical but takes a practical approach focusing on the aspects of pricing and trading fixed-income securities that are most relevant to the day-to-day activities of people working in the markets. Starting at a basic level the author explains the concepts and principles behind fixed income in an informative way using every day examples that can be understood by the layman. It includes a listing of the terms used; the rules and conventions; the techniques for valuation and pricing and a description of the different roles within the industry. This book will be an excellent training tool for new recruits to the financial markets. |
| pricing financial instruments: Money and Capital Markets Michael Sherris, 2023-05-31 Money and Capital Markets provides the most up-to-date, practical coverage of the pricing and analysis of financial instruments and transactions available for Australian and international capital markets. Here you have the underlying tools and techniques for the valuation and risk management of short-term money market and capital market securities and their derivatives. In a clear and direct way, Michael Sherris covers fixed interest securities, forwards, futures, swaps, options and interest rate derivatives (new in the Second Edition). Everything - from yield calculations to tax and horizon effects to interest rate risk measures - is lucidly explained and extensively illustrated with examples. An invaluable reference for money market professionals, Money and Capital Markets is essential reading for tertiary students of finance, accounting and actuarial studies. |
| pricing financial instruments: Asset Pricing John H. Cochrane, 2009-04-11 Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea—price equals expected discounted payoff—that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model—consumption based, CAPM, multifactor, term structure, and option pricing—is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics. |
| pricing financial instruments: From Opinion Mining to Financial Argument Mining Chung-Chi Chen, Hen-Hsen Huang, Hsin-Hsi Chen, 2021-05-20 Opinion mining is a prevalent research issue in many domains. In the financial domain, however, it is still in the early stages. Most of the researches on this topic only focus on the coarse-grained market sentiment analysis, i.e., 2-way classification for bullish/bearish. Thanks to the recent financial technology (FinTech) development, some interdisciplinary researchers start to involve in the in-depth analysis of investors' opinions. These works indicate the trend toward fine-grained opinion mining in the financial domain. When expressing opinions in finance, terms like bullish/bearish often spring to mind. However, the market sentiment of the financial instrument is just one type of opinion in the financial industry. Like other industries such as manufacturing and textiles, the financial industry also has a large number of products. Financial services are also a major business for many financial companies, especially in the context of the recent FinTech trend. For instance, many commercial banks focus on loans and credit cards. Although there are a variety of issues that could be explored in the financial domain, most researchers in the AI and NLP communities only focus on the market sentiment of the stock or foreign exchange. This open access book addresses several research issues that can broaden the research topics in the AI community. It also provides an overview of the status quo in fine-grained financial opinion mining to offer insights into the futures goals. For a better understanding of the past and the current research, it also discusses the components of financial opinions one-by-one with the related works and highlights some possible research avenues, providing a research agenda with both micro- and macro-views toward financial opinions. |
| pricing financial instruments: Quantitative Modeling of Derivative Securities Marco Avellaneda, Peter Laurence, 2017-11-22 Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a financial engineering approach, the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice. More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature. |
| pricing financial instruments: Regulation of Derivative Financial Instruments Ronald H. Filler, Jerry W. Markham, 2014 As a result of the Dodd-Frank Act Wall Street Reform and Consumer Protection Act of 2010, derivatives regulation has become a hot topic on Wall Street and is, therefore, of much interest to law firms with financial institutions as clients. An increasing number of classes on this subject are being taught at law schools around the country, but, to date, there has been no casebook on the subject. This casebook explores the regulation of swaps, futures and options by the Commodity Futures Trading Commission and the Securities and Exchange Commission. It examines the regulatory history of derivative instruments and traces the development of modern market structures while addressing the role of the exchanges, the clearinghouses, and market participants, such as futures commission merchants, swap dealers, and hedge funds that act as commodity pool operators. Structured in a traditional format, this casebook uses cases to teach students important points of law and industry practices needed to understand the role played by derivative instruments in modern finance. The cases are accompanied by commentary from the authors expanding on the points raised in the cases. |
| pricing financial instruments: Quantitative Methods in Derivatives Pricing Domingo Tavella, 2002 This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies. Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley. |
| pricing financial instruments: Financial Instruments with Characteristics of Equity , 2018 |
| pricing financial instruments: Fair Value Measurements International Accounting Standards Board, 2006 |
Pricing Strategies & Models: An In-Depth Look at How to Price …
Mar 18, 2025 · Whether you’re a beginner or a pricing pro, these pricing strategies and models will help you find the right prices for your audience and revenue goals.
What Is a Pricing Strategy? Common Types + How To Choose One
May 27, 2025 · Pricing strategies offer different approaches to—and rationales for—pricing a company's products or services. Each strategy can be useful for certain situations, industries, …
Pricing - Wikipedia
Pricing is the process whereby a business sets and displays the price at which it will sell its products and services and may be part of the business's marketing plan.
13 Types of Pricing Strategies (Higher Revenue + Profits)
Jan 21, 2024 · Pricing is a key criterion of every business set-up, and choosing the right strategy can impact your business positively. Here are 13 different types of pricing strategies with their …
What is Pricing? Definition, Types, Strategies & Examples
Jul 24, 2023 · Pricing is a method used by businesses, companies, or manufacturers for deciding the best price for their products or services. A method to decide on price will help you choose …
Pricing Strategies & Models: An In-Depth Look at How to Price …
Mar 18, 2025 · Whether you’re a beginner or a pricing pro, these pricing strategies and models will help you find the right prices for your audience and revenue goals.
What Is a Pricing Strategy? Common Types + How To Choose One
May 27, 2025 · Pricing strategies offer different approaches to—and rationales for—pricing a company's products or services. Each strategy can be useful for certain situations, industries, …
Pricing - Wikipedia
Pricing is the process whereby a business sets and displays the price at which it will sell its products and services and may be part of the business's marketing plan.
13 Types of Pricing Strategies (Higher Revenue + Profits)
Jan 21, 2024 · Pricing is a key criterion of every business set-up, and choosing the right strategy can impact your business positively. Here are 13 different types of pricing strategies with their …
What is Pricing? Definition, Types, Strategies & Examples
Jul 24, 2023 · Pricing is a method used by businesses, companies, or manufacturers for deciding the best price for their products or services. A method to decide on price will help you choose …
