Financial Engineering and Arbitrage in the Financial Markets

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9780470746011: Financial Engineering and Arbitrage in the Financial Markets
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A whole is worth the sum of its parts. Even the most complexstructured bond, credit arbitrage strategy or hedge trade can bebroken down into its component parts, and if we understand theelemental components, we can then value the whole as the sum of itsparts. We can quantify the risk that is hedged and the risk that isleft as the residual exposure. If we learn to view all financialtrades and securities as engineered packages of building blocks,then we can analyze in which structures some parts may be cheap andsome may be rich. It is this relative value arbitrage principlethat drives all modern trading and investment.

This book is an easy-to-understand guide to the complex world oftoday’s financial markets teaching you what money and capitalmarkets are about through a sequence of arbitrage-based numericalillustrations and exercises enriched with institutional detail.Filled with insights and real life examples from the trading floor,it is essential reading for anyone starting out in trading.

Using a unique structural approach to teaching the mechanics offinancial markets, the book dissects markets into their commonbuilding blocks: spot (cash), forward/futures, and contingent(options) transactions. After explaining how each of these isvalued and settled, it exploits the structural uniformity acrossall markets to introduce the difficult subjects of financiallyengineered products and complex derivatives.

The book avoids stochastic calculus in favour of numeric cashflow calculations, present value tables, and diagrams, explainingoptions, swaps and credit derivatives without any use ofdifferential equations.

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From the Inside Flap:

Financial engineering and arbitrage in the financial markets

Professor Dubil does it again by writing a book inwhich theory and practice meet and work seamlessly together in avery balanced fashion. Readers will benefit from Dubil’sability for abstract thinking and his prior trading experience asthis book takes up difficult and esoteric financial concepts andmakes them approachable by people with minimal technical and mathbackground. As such, this book is likely to be very useful tostudents who wish to delve in to the world of financialengineering, as well as practitioners of the trade for whom thisbook will be a useful reference.

George Handjinicolaou, CEO, T Bank

Increasing sophistication among market participants,coupled with an expansion of capital in pursuit of arbitrage posesignificant challenges for relative-value traders. To uncover theserare opportunities, it is essential to understand the buildingblocks governing the valuation of financial instruments. Arbitrageopportunities are identified by applying these principles to valueembedded features of financial contracts often overlooked orignored. To train any new relative value trader, FinancialEngineering and Arbitrage in the Financial Markets should berequired reading.

Douglas Dachille, CEO First Principles Capital Management andFormer Head of Proprietary Trading at JP Morgan

Robert leverages his strong academic and first handtrading experience to give us a book that is an excellentintroduction for those who want to learn about trading in financialmarkets in a rigorous and accessible way. One gets a goodunderstanding of the basic concepts that allow one to functioneffectively across products without getting lost in theinstitutional detail of individual product markets.

Varun Gosain, co-founder, Constellation CapitalManagement

About the Author:

ROBERT DUBIL has been an Associate Professor in the finance department at the University of Utah since 2005. Prior to this he was Chief Strategist at HedgeStreet where he also wrote a blog as Dr Bob, and has held positions at UBS as Head of Quantitative Research and Fixed Income Options Trading; Chase Manhattan as Head of Exotics; Merrill Lynch as a Fixed Income Derivatives Trader, and latter as Director of Analytics in the Corporate Risk Management Group; Nomura; and J.P. Morgan. Professor Dubil holds a PhD and MBA from the University of Connecticut and an MA from Wharton. He published An Arbitrage Guide to Financial Markets (John Wiley & Sons, Ltd) in 2004 and has written a number of book chapters and articles on liquidity, derivatives and personal finance that have appeared in the Journal of Applied Finance, Financial Services Review, Journal of Wealth Management, Journal of Investing, and the Journal of Financial Planning. In Robert’s spare time he enjoys piano, skiing the greatest snow on earth and tennis. His second serve could use a lot of improvement though.

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Book Description John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Condition: New. 2nd Edition. Language: English. Brand new Book. 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 all modern trading and investment. This book is an easy-to-understand guide to the complex world of today's financial markets teaching you what money and capital markets are about through a sequence of arbitrage-based numerical illustrations and exercises enriched with institutional detail. Filled with insights and real life examples from the trading floor, it is essential reading for anyone starting out in trading.Using a unique structural approach to teaching the mechanics of financial markets, the book dissects markets into their common building blocks: spot (cash), forward/futures, and contingent (options) transactions. After explaining how each of these is valued and settled, it exploits the structural uniformity across all markets to introduce the difficult subjects of financially engineered products and complex derivatives. The book avoids stochastic calculus in favour of numeric cash flow calculations, present value tables, and diagrams, explaining options, swaps and credit derivatives without any use of differential equations. Seller Inventory # AAH9780470746011

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Book Description John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Condition: New. 2nd Edition. Language: English . Brand New Book. 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 all modern trading and investment. This book is an easy-to-understand guide to the complex world of today s financial markets teaching you what money and capital markets are about through a sequence of arbitrage-based numerical illustrations and exercises enriched with institutional detail. Filled with insights and real life examples from the trading floor, it is essential reading for anyone starting out in trading. Using a unique structural approach to teaching the mechanics of financial markets, the book dissects markets into their common building blocks: spot (cash), forward/futures, and contingent (options) transactions. After explaining how each of these is valued and settled, it exploits the structural uniformity across all markets to introduce the difficult subjects of financially engineered products and complex derivatives. The book avoids stochastic calculus in favour of numeric cash flow calculations, present value tables, and diagrams, explaining options, swaps and credit derivatives without any use of differential equations. Seller Inventory # AAH9780470746011

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Book Description John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Condition: New. 2nd Edition. Language: English. Brand new Book. 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 all modern trading and investment. This book is an easy-to-understand guide to the complex world of today's financial markets teaching you what money and capital markets are about through a sequence of arbitrage-based numerical illustrations and exercises enriched with institutional detail. Filled with insights and real life examples from the trading floor, it is essential reading for anyone starting out in trading.Using a unique structural approach to teaching the mechanics of financial markets, the book dissects markets into their common building blocks: spot (cash), forward/futures, and contingent (options) transactions. After explaining how each of these is valued and settled, it exploits the structural uniformity across all markets to introduce the difficult subjects of financially engineered products and complex derivatives. The book avoids stochastic calculus in favour of numeric cash flow calculations, present value tables, and diagrams, explaining options, swaps and credit derivatives without any use of differential equations. Seller Inventory # BTE9780470746011

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