Financial engineering and arbitrage in the financial markets / Robert Dubil.
By: Dubil, Robert.Material type: BookSeries: Wiley finance series: Publisher: Chichester, West Sussex, UK ; Hoboken, NJ : John Wiley, 2011Description: 1 online resource (xii, 367 pages).Content type: text Media type: computer Carrier type: online resourceISBN: 9781119950622; 1119950627; 9781118467343; 1118467345.Subject(s): Financial engineering | Arbitrage | Capital market | Investments -- Mathematics | Arbitrage | Capital market | Financial engineering | Investments -- Mathematics | BUSINESS & ECONOMICS -- Finance | Arbitrage | Capital market | Financial engineering | Investments -- MathematicsGenre/Form: Electronic books.Additional physical formats: Print version:: Financial engineering and arbitrage in the financial markets.DDC classification: 332/.041 Online resources: Wiley Online Library
Includes bibliographical references and index.
Print version record.
Financial Engineering and Arbitragein the Financial Markets; Contents; Introduction; 1 Purpose and Structure of Financial Markets; 1.1 Overview of Financial Markets; 1.2 Risk Sharing; 1.3 Transactional Structure of Financial Markets; 1.4 Arbitrage: Pure Versus Relative Value; 1.5 Financial Institutions: Transforming Intermediaries vs Broker-Dealers; 1.6 Primary (Issuance) and Secondary (Resale) Markets; 1.7 Market Players: Hedgers vs Speculators; 1.8 Preview of the Book; PART I RELATIVE VALUE BUILDING BLOCKS; 2 Spot Markets; 2.1 Bonds and Annual Bond Math; 2.1.1 Zero-Coupon Bond.
A whole is worth the sum of its parts. Even the most complex structured bond, credit arbitrage strategy or hedge trade can be broken down into its component parts, and if we understand the elemental components, we can then value the whole as the sum of its parts. We can quantify the risk that is hedged and the risk that is left as the residual exposure. If we learn to view all financial trades and securities as engineered packages of building blocks, then we can analyze in which structures some parts may be cheap and some may be rich. It is this relative value arbitrage principle that drives a.