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Financial Engineering

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Table of Contents

Preface. DERIVATIVES: AN OVERVIEW. Derivatives: An Overview. FORWARDS AND FUTURES. Futures Markets. Stock Index Futures. Currency Forwards and Futures. Short-Term Interest Rate Futures. T-Bond Futures. OPTIONS AND SWAPS. Options Markets. Options Pricing. Hedging and Volatility. Option Spreads and Stock Options. Foreign Currency Options. Futures Options. Portfolio Insurance. Swaps. ADVANCED DERIVATIVES AND STOCHASTIC PROCESSES. Interest Rate Derivatives. Complex Derivatives. Asset Price Dynamics. Pricing Interest Rate Derivatives. Real Options (Alexander Workman, Co-Author). RISK AND REGULATION. Regulation of Financial Institutions. Regulatory Framework in the UK and US. Market Risk. VaR: Mapping Cash Flows. VaR: Statistical Issues. Credit Risk. Glossary. List of Symbols. List of 'Topic Boxes'. Internet Sites. References. Author Index. Subject Index.

About the Author

KEITH CUTHBERTSON is Professor of Finance at the Management School, Imperial College. He has been an advisor to the Bank of England and UK Treasury and a visitor at the Federal Reserve. He has held chairs at the University of Newcastle and City University Business School, as well as undertaking consultancy with financial institutions. DIRK NITSCHE is a lecturer in Finance at the Management School, Imperial College. He is also a Visiting Lecturer at City university Business School.

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