Securities Valuation: Applications of Financial Modeling
Securities Valuation: Applications of Financial Modeling is a clear, concise guide to securities valuation and the principles of financial theory. It describes state-of-the-art methods for valuing a broad range of securities: equity, equity and interest rate options, swaps and swaptions, treasuries, corporate bonds with and without credit risks, mortgage-backed securities, collateralized mortgage obligations, credit derivative swaps, and more.
Thomas Ho and Sang Bin Lee use their combined fifty years of experience in academia, financial business, and public services to present students and general readers with twenty-six challenging cases. These cases describe the contexts in which financial models are used, the practical complications of these models, and ways to deal with their limitations.
Each chapter begins with a problem in valuation, formulates models for it, and then provides the solutions. The assumptions, input data, and output solutions for each model are clearly stated. The model is illustrated by a numerical example rendered in Excel. A companion website-www.thomasho.com-contains more than 130 Excel files of all the financial models from this book and its three companion volumes. Users can download the models, analyze them on their spreadsheets, and use them to do practice exercises
Securities Valuation: Applications of Financial Modeling is ideal for undergraduate and graduate courses in finance and mathematical finance as well as for professional training programs. It is part of a series on financial modeling by the authors that also includes The Oxford Guide to Financial Modeling. Future titles in the series will focus on financial modeling for options, futures, and derivatives and financial modeling for financial institutions.
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American call option American option arbitrage arbitrage-free assume backward substitution binomial lattice Black-Scholes model bond option bond price bond value calculate call price callable bond cash flow cash ﬂows compound option continuously compounding convertible bond corporate bond coupon rate credit risk default risk determine digital option discount function dividend early exercise embedded options equity European call option European option exercise price expected return expiration date face value Figure Financial ﬁrst ﬁxed forward rate hedge interest rate model investment investors Journal of Finance junior key rate duration lognormal mortgage mortgagors node numerical example one-period optimal option expiration payoff period position premium prepayment present value principal put option put-call parity rate of return risk-free rate risky assets securities senior debt spot curve spot yield curve standard deviation stock price stock volatility strike price swap rate swaption term structure trading Treasury underlying stock valuation yield to maturity zero-coupon bond