Part I
Overview
Chapter 1. The History of Financial Engineering from Inception to Today
Chapter 2. Careers in Financial Engineering
Chapter 3. A Profile of Programs and Curricula with a Financial Engineering Component
Part I: Overview
by Cara M. Marshall, Tanya Beder
Financial Engineering: The Evolution of a Profession
- Cover
- Series
- Title Page
- Copyright
- Dedication
- Introduction
- THEME 1: DERIVATIVES WILL CONTINUE TO PLAY A CRITICAL, VALUABLE, AND PERMANENT ROLE IN THE GLOBAL CAPITAL MARKETS
- THEME 2: RISK MEASUREMENT AND MANAGEMENT WILL CHANGE SUBSTANTIALLY FOLLOWING LESSONS LEARNED FROM THE MELTDOWN THAT MANIFESTED IN 2007
- THEME 3: FINANCIALLY-ENGINEERED SECURITIES AND STRATEGIES WILL EVOLVE TO INCLUDE MORE TRANSPARENCY AND BETTER WARNING LABELS
- THEME 4: THE DEGREE TO WHICH INCREASED REGULATION WILL STYMIE FINANCIAL ENGINEERING AND INNOVATION IS UNCERTAIN
- Part I: Overview
- Part II: Financial Engineering and the Evolution of Major Markets
- Chapter 4: The Fixed Income Market
- Chapter 5: The U.S. Mortgage Market
- INTRODUCTION
- A BRIEF HISTORY OF THE ORIGIN OF THE MARKET FOR MORTGAGE-BACKED SECURITIES
- AGENCY MORTGAGE PASS-THROUGH SECURITIES
- PRICING MORTGAGE-BACKED SECURITIES
- BEYOND PASS-THROUGHS: COLLATERALIZED MORTGAGE OBLIGATIONS (CMOS)
- THE NON-AGENCY MARKET
- FINANCIAL ENGINEERING AND THE FUTURE OF THE SECONDARY MORTGAGE MARKET
- A NOTE ON THE GLOBAL GROWTH OF THE MORTGAGE MARKET
- ABOUT THE AUTHOR
- Chapter 6: The Equity Market
- INTRODUCTION
- CASH MARKET—ORIGINS
- EQUITY DERIVATIVES
- DECLINING TRADING COSTS INCREASE FINANCIAL ENGINEERING OPPORTUNITIES, AND FINANCIAL ENGINEERING OFTEN REDUCES TRADING COSTS
- ARBITRAGE COMPLEXES
- EQUITY STRUCTURED PRODUCTS AND EXCHANGE-TRADED FUNDS (ETFS)
- PORTFOLIO TRADING AND STOCK INDEX FUTURES CONTRACTS
- SHAREHOLDER PROTECTION
- TAX EFFICIENCY
- THOUGHTS ON IMPROVING ETFS
- ABOUT THE AUTHORS
- Chapter 7: The Foreign Exchange Market
- Chapter 8: The Commodity Market
- HISTORICAL PERSPECTIVE
- EXCHANGE-TRADED VERSUS OTC COMMODITY PRODUCTS
- FUTURES CONTRACTS
- RISK MANAGEMENT WITH COMMODITY FUTURES/OPTIONS
- COMMODITY SWAPS
- COMMODITY OPTIONS
- FINANCIAL ENGINEERING IN COMMODITIES MARKETS
- COMMODITY ETFS
- REGULATION OF COMMODITY MARKETS
- A FINANCIAL ENGINEERING EXERCISE: SYNTHESIZING BARTER
- ABOUT THE AUTHORS
- Chapter 9: Credit Markets
- Part III: Key Applications of Financial Engineering
- Chapter 10: Securitized Products
- Chapter 11: Structured Products
- Chapter 12: Thoughts on Retooling Risk Management
- Chapter 13: Financial Engineering and Macroeconomic Innovation
- Chapter 14: Independent Valuation for Financially-Engineered Products
- Chapter 15: Quantitative Trading in Equities
- Chapter 16: Systematic Trading in Foreign Exchange
- INTRODUCTION
- IS SYSTEMATIC TRADING JUST FOR GEEKS AND QUANTS?
- WHAT CAN SYSTEMATIC TRADING ANALYSIS DO FOR ME?
- ADVANTAGES AND LIMITATIONS OF SYSTEMATIC TRADING
- WHAT IS NECESSARY FOR A SYSTEM TO WORK?
- WHAT CAN I REASONABLY EXPECT?
- USES OF SYSTEMATIC TRADING METHODS
- EVALUATION OF SYSTEMATIC TRADING IDEAS AND PRODUCTS
- ABOUT THE AUTHORS
- Part IV: Case Studies in Financial Engineering: The Good, the Bad, and the Ugly
- Chapter 17: Case Studies Introduction
- Chapter 18: Mortgage Case Studies: Countrywide and Northern Rock
- Chapter 19: Derivatives Case Studies: SocGen, Barings, and Allied Irish/Allfirst
- Chapter 20: Fixed Income Case Study, Swap Market: The Allstate Corporation
- Chapter 21: Lessons from Funds: LTCM, Florida, and Orange County
- Chapter 22: Credit Derivatives Case Studies: AIG and Merrill Lynch
- Part V: Special Topics in Financial Engineering
- Chapter 23: Performance Fees
- Chapter 24: Musings About Hedging
- Chapter 25: Operational Risk
- Chapter 26: Legal Risk
- Chapter 27: Portable Alpha
- Chapter 28: The No-Arbitrage Condition in Financial Engineering: Its Use and Misuse
- Chapter 29: Influencing Financial Innovation: The Management of Systemic Risks and the Role of the Public Sector
- Part VI: Appendices
- About the Editors
- Index
-
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