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Financial Engineering

  • Textbook
  • © 2000

Overview

Authors:
  1. Brian A. Eales
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  • The first real textbook on Financial Engineering
    Includes a diskette in the book that contains an EXCEL spreadsheet (the industry standard). Their operation is clearly described and integrated into the main body of the text. The reader is able to run examples that include: the pricing of a variety of exotic options in binomial and Black Scholes frameworks, value equity and other special swap structures etc.

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Table of contents (10 chapters)

  1. Front Matter

    Pages ii-x
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  2. Introduction

    • Brian A. Eales
    Pages 1-30

  3. The Building Blocks: Exchange-Based Contracts

    • Brian A. Eales
    Pages 31-77

  4. Forward Rate Agreements and Interest Rate Swaps

    • Brian A. Eales
    Pages 78-103

  5. Forward Exchange Rates and Currency Swaps

    • Brian A. Eales
    Pages 104-120

  6. Equity Swaps

    • Brian A. Eales
    Pages 121-139

  7. Regular and Exotic Options

    • Brian A. Eales
    Pages 140-177

  8. Alternative Pricing Approaches

    • Brian A. Eales
    Pages 178-196

  9. Fixed Income Securities

    • Brian A. Eales
    Pages 197-220

  10. Convertible Bonds

    • Brian A. Eales
    Pages 221-244

  11. Applications

    • Brian A. Eales
    Pages 245-284

  12. Back Matter

    Pages 285-292
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Keywords

About this book

Financial Engineering provides a wide-ranging and in-depth coverage of the instruments used in the construction of financial products. Beginning with a description of the fundamental instruments used in financial engineering and their valuation, the text proceeds to analyse how those instruments can be combined to create synthetic structures. Later chapters cover more advanced financial products discussing their composition, valuation and risk hedging considerations.

Included with this book is a free diskette containing EXCEL spreadsheets that are used to explore the more advanced topics. These allow the reader to experiment with: pricing a variety of exotic options in binomial and Black & Scholes frameworks, value equity and other special swap structures, analysing option hedging positions incorporating bid-ask spreads and volatility smiles and frowns. The operation of the computer software is clearly described and integrated into the main body of the text.

About the author

BRIAN EALES is a Principal Lecturer in Financial Economics in the Department of Economics at London Guildhall University. He has capital markets experience through his work at Commerzbank and extensive City consultancy work. He also has a strong record of practitioner oriented research and has published findings and reviews widely. He is the author of Financial Risk Management.

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