For Finance and Treasury professionals to effectively pitch, sell,and comprehend the true appeal and relevance of a particularsecurity, there is nothing more important than knowing how thevalue of said security has been determined. While punching numbersinto a computer may provide the information needed, it isnevertheless essential to have a firm grasp of the valuationconcepts in order to make the best, most informed decisions.Offering a straightforward, accessible approach not found anywhereelse, this comprehensive new book provides a clear-cut road mapthrough the mathematical concepts associated with the investmentssector of Treasury management. Written by an expert in the field, Investment Mathematics forFinance and Treasury Professionals explains the principles andformulae used in the fixedincome cash markets. It presents anin-depth, yet practical look at the applications associated withthese money and capital markets instruments. The book also coverscalculations and applications in the foreign exchange and equitiesmarkets. The same in-depth coverage is applied to the variousfixed-income and foreign exchange derivatives markets used as bothspeculative and hedging tools. Spanning the spectrum fromprice/yield changes to risk/return, and packed with numerousexamples that illustrate key concepts, this exhaustive resourceincludes: * Yield spread analysis–methods of price/yield quotation,yield spreads by maturity, off-the-run vs. on-the-run * Price/yield sensitivity–hedge ratios, basis point value,dollar duration, convexity * Term structure of interest rates different yield curvestructures, zero coupon yield curve, Treasury trading STRIPS * Foreign exchange–crossrates, spot rates, forward points,covered interest arbitrage * Options–plain vanilla vs. exotic options,over-the-counter vs. exchange-traded options, understanding optionvaluation models, and option hedging and trading strategies * Interest rate swaps, swaptions, caps, floors, collars, inversefloaters * Risk/return–valuation theory, capital asset pricingmodel, value at risk Complete with supporting appendixes that contain statisticalinformation on such essentials as historical interest ratepatterns, conversion factors for Treasury bond futures, thestandard normal distribution, and day count basis for differentbonds, Investment Mathematics for Finance and TreasuryProfessionals is an indispensable reference for anyone involvedwith corporate and municipal treasury functions. Providing Finance and Treasury professionals the fundamentalinformation necessary to understand the mathematical concepts andapplications used in investment decisions, this in-depth andaccessible resource explains and clarifies the concepts behindinvestment mathematics. With numerous examples and comprehensiveappendixes containing important statistical data, InvestmentMathematics for Finance and Treasury Professionals coverseverything from price/yield changes and yield spread analysis toterm structure of interest rates, derivatives, and risk/return.
Book Details:
- Author: Gregory Kitter
- ISBN: 9780470307342
- Year Published: 1999
- Pages: 288
- BISAC: BUS017000, BUSINESS & ECONOMICS/Corporate Finance / General
About the Book and Topic:
For Finance and Treasury professionals to effectively pitch, sell,and comprehend the true appeal and relevance of a particularsecurity, there is nothing more important than knowing how thevalue of said security has been determined. While punching numbersinto a computer may provide the information needed, it isnevertheless essential to have a firm grasp of the valuationconcepts in order to make the best, most informed decisions.Offering a straightforward, accessible approach not found anywhereelse, this comprehensive new book provides a clear-cut road mapthrough the mathematical concepts associated with the investmentssector of Treasury management. Written by an expert in the field, Investment Mathematics forFinance and Treasury Professionals explains the principles andformulae used in the fixedincome cash markets. It presents anin-depth, yet practical look at the applications associated withthese money and capital markets instruments. The book also coverscalculations and applications in the foreign exchange and equitiesmarkets. The same in-depth coverage is applied to the variousfixed-income and foreign exchange derivatives markets used as bothspeculative and hedging tools. Spanning the spectrum fromprice/yield changes to risk/return, and packed with numerousexamples that illustrate key concepts, this exhaustive resourceincludes: * Yield spread analysis–methods of price/yield quotation,yield spreads by maturity, off-the-run vs. on-the-run * Price/yield sensitivity–hedge ratios, basis point value,dollar duration, convexity * Term structure of interest rates different yield curvestructures, zero coupon yield curve, Treasury trading STRIPS * Foreign exchange–crossrates, spot rates, forward points,covered interest arbitrage * Options–plain vanilla vs. exotic options,over-the-counter vs. exchange-traded options, understanding optionvaluation models, and option hedging and trading strategies * Interest rate swaps, swaptions, caps, floors, collars, inversefloaters * Risk/return–valuation theory, capital asset pricingmodel, value at risk Complete with supporting appendixes that contain statisticalinformation on such essentials as historical interest ratepatterns, conversion factors for Treasury bond futures, thestandard normal distribution, and day count basis for differentbonds, Investment Mathematics for Finance and TreasuryProfessionals is an indispensable reference for anyone involvedwith corporate and municipal treasury functions. Providing Finance and Treasury professionals the fundamentalinformation necessary to understand the mathematical concepts andapplications used in investment decisions, this in-depth andaccessible resource explains and clarifies the concepts behindinvestment mathematics. With numerous examples and comprehensiveappendixes containing important statistical data, InvestmentMathematics for Finance and Treasury Professionals coverseverything from price/yield changes and yield spread analysis toterm structure of interest rates, derivatives, and risk/return.
Investment Mathematics for Treasury Professionals will provide readers with the fundamental information necessary to understand the concepts and applications used in investment decisions. With the revival of the U.S. economy in the 1990s, there has been an abundance of cash among many corporations. They are taking this cash and investing it in various financial markets. Many of the professionals making these decisions do not completely understand the mathematics behind their decisions (i.e., they plug numbers into a computer and it provides them with the analysis they need). However, all professionals want to understand the dynamics behind these calculations if they do not have to pull out calculus and statistic textbooks.
The concepts behind investment mathematics-in plain English. * Provides practical applications and strategies usable in theinvestment, funding, and risk management processes. * Includes historical interest rate, currency, and other relatedstatistics.
About the Author
GREGORY KITTER has thirty years’ experience in financial markets, having worked in economic analysis, auditing, marketing, and trading cash and derivatives. Greg is the President of VSG Consulting LLC, a firm specializing in financial markets marketing, product development, and training.