The Oxford Guide to Financial Modeling

Erscheinungsjahr 2004
ISBN: 978-0-19-516962-1
Verlag: ACADEMIC

Buch, Englisch, 768 Seiten, Format (B × H): 183 mm x 260 mm, Gewicht: 1602 g

The essential premise of this book is that theory and practice are equally important in describing financial modeling. In it the authors try to strike a balance in their discussions between theories that provide foundations for financial models and the institutional details that provide the context for applications of the models. The book presents the financial models of stock and bond options, exotic options, investment grade and high-yield bonds, convertible bonds, mortgage-backed securities, liabilities of financial institutions -- the business model and the corporate model. It also describes the applications of the models to corporate finance. Furthermore, it relates the models to financial statements, risk management for an enterprise, and asset/liability management with illiquid instruments. The financial models are progressively presented from option pricing in the securities markets to firm valuation in corporate finance, following a format to emphasize the three aspects of a model: the set of assumptions, the model specification, and the model applications. Generally, financial modeling books segment the world of finance as "investments," "financial institutions," "corporate finance," and "securities analysis," and in so doing they rarely emphasize the relationships between the subjects. This unique book successfully ties the thought processes and applications of the financial models together and describes them as one process that provides business solutions. Created as a companion website to the book readers can visit www.thomasho.com to gain deeper understanding of the book's financial models. Interested readers can build and test the models described in the book using Excel, and they can submit their models to the site. Readers can also use the site's forum to discuss the models and can browse server based models to gain insights into the applications of the models. For those using the book in meetings or class settings the site provides Power Point descriptions of the chapters. Students can use available question banks on the chapters for studying.

Zielgruppe

Scholars and Students of Risk Management, Theory of Finance, Quantitative Finance, Upper level and graduate finance and Professionals (especially managers of structured securities finance, regulators, rating agencies and academicians

Autoren/Hrsg.

Ho

Ho, Thomas S. Y.

Lee, Sang Bin

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing

Inhaltsverzeichnis

- PART 1. DERIVATIVES VALUATION

- 1: Introduction: Discounted Cash Flow Method

- 2: Equity Market: the Capital Asset Pricing Model

- 3: Bond Markets: the Bond Model

- 4: Equity Options: the Black-Scholes Model

- 5: Interest Rate Derivatives: Interest Rate Models

- 6: Implied Volatility Surface: Calibrating the Models

- 7: Exotic Options: Bellman's Optimization, Filtration Model and n-Factor Model

- PART 2. CORPORATE LIABILITIES

- 8: Investment Grade Corporate Bonds: the Option Adjusted Spread

- 9: High Yield Corporate Bonds: the Structural Models

- 10: Convertibles, MBS/CMO, and Other Bonds: the Behavioral Models

- 11: Financial Institutions' Liabilities: Required Option Adjusted Spread

- PART 3. CORPORATE FINANCE

- 12: Valuation of a Firm: the Business Model

- 13: Strategic Value of a Firm: Real Option

- 14: Optimal Corporate Financial Decisions: Corporate Model

- 15: Risk Management

- 16: Financial Institutions: Applications of Financial Models

- 17: Equity Options: the Black-Scholes Model

- 18: Concluding Thoughts

- 19: Epilogue: Market Model and Binomial Lattices

- Notation

Über Autor(innen)

Thomas S.Y. Ho,is president of Thomas Ho Company. Previously he was Executive Vice President of BARRA, Inc. He founded GAT, a financial software company that had over 200 institutional clients globally. He served as a professor in finance at New York University's Stern School of Business. He is an associate editor of the Journal of Investment Management, International Journal of Theoretical and Applied Finance, and Journal of Derivatives. He received his Ph.D. in Mathematics from the University of Pennsylvania. Sang Bin Lee, is a professor of finance at the School of Busines Administration, Hangyang University in Seoul, Korea and President of the Korean Securities Association. Previously, he was an assistant director Ministry of Finance, Korea and an Independent Director and a member of Risk Management Committee, Hana Bank. Currently, he serves as a member of Primary Dealers Screening Committee, Ministry of Finance, Korea and a member of Unfair Trading Examination Committee,

Financial Supervisory Service, Korea. Professor Lee received his Ph.D. in Finance from New York University's Stern School of Business. Dr. Ho and Professor Lee have published extensively in major journals. They are the authors of the Ho-Lee Model, the first and widely cited arbitrage-free interst rate model.