Principles Of Financial Engineering by Robert Kosowski

Principles Of Financial Engineering

byRobert Kosowski, Salih N. NeftciEditorRobert Kosowski

Hardcover | December 3, 2014

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Three new chapters, numerous additions to existing chapters, and an expanded collection of questions and exercises make this third edition of Principles of Financial Engineering essential reading. Between defining swaps on its first page and presenting a case study on its last, Robert Kosowski and Salih Neftci's introduction to financial engineering shows readers how to create financial assets in static and dynamic environments. Poised among intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. The Third Edition presents three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics. Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act The solutions manual enhances the text by presenting additional cases and solutions to exercises

About The Author

Robert Kosowski is Associate Professor in the Finance Group of Imperial College Business School, Imperial College London, and Director of the Risk Management Lab and Centre for Hedge Fund Research. Robert is an associate member of the Oxford-Man Institute of Quantitative Finance at Oxford University and a member of AIMA's research comm...

Details & Specs

Title:Principles Of Financial EngineeringFormat:HardcoverDimensions:896 pages, 10.25 × 7.25 × 0.98 inPublished:December 3, 2014Publisher:Academic PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0123869684

ISBN - 13:9780123869685

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Extra Content

Table of Contents

CHAPTER 1 Introduction
CHAPTER 2 Institutional Aspects of Derivatives Markets - An Introduction to Some Concepts and Definitions
CHAPTER 3 Cash Flow Engineering, Interest Rate Forwards and Futures
CHAPTER 4 Introduction to Swap Engineering
CHAPTER 5 Repo Market Strategies in Financial Engineering
CHAPTER 6 Cash Flow Engineering and FX Contracts
CHAPTER 7 Cash Flow Engineering and Alternative Classes (Commodities and Hedge Funds)
CHAPTER 8 Dynamic Replication Methods and Synthetics
CHAPTER 9 Mechanics of Options
CHAPTER 10 Engineering Convexity Positions
CHAPTER 11 Options Engineering with Applications
CHAPTER 12 Pricing Tools in Financial Engineering
CHAPTER 13 Some Applications of the Fundamental Theorem
CHAPTER 14 Fixed-Income Engineering
CHAPTER 15 Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
CHAPTER 16 Correlation as an Asset Class and the Smile
CHAPTER 17 Caps/Floors and Swaptions with an Application to Mortgages
CHAPTER 18 Engineering of Equity Instruments: Pricing and Replication
CHAPTER 19 Credit Markets: CDS Engineering
CHAPTER 20 Essentials of Structured Product Engineering
CHAPTER 21 Essentials of Credit Structured Product Engineering
CHAPTER 22 Default Correlation Pricing and Trading
CHAPTER 23 Principal Protection Techniques
CHAPTER 24 Counter-Party Risk, Multiple Curves, CVA, DVA, FVA, OIS

Editorial Reviews

"This is the first comprehensive hands-on introduction to financial engineering. Neftci is enjoyable to read and finds a natural balance between theory and practice."
--Darrell Duffie, James I. Miller Professor of Finance
The Graduate School of Business, Stanford University