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Securities Valuation

Securities Valuation Applications of Financial Modeling, First Edition

Name: Securities Valuation
Brand: Oxford University Press USA
SKU: 9780195172751
Price: 921.50 HKD
Availability: OutOfStock
Author: Thomas S.Y. Ho; Sang Bin Lee
ISBN: 9780195172751

Edited by Thomas S.Y. Ho · Sang Bin Lee

Oxford University Press USA February 2005

Specifications

ISBN-13: 9780195172751
Publisher: Oxford University Press USA
Publication: February 2005
Format: Paperback , 336 pages
Jurisdiction: U.S. ? Countri(es) for reference only

Details

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 Online Resource Centre-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.

Readership: Undergraduate and graduate courses in finance and mathematical finance as well as for professional training programs.

Each chapter ends with Excel Exercises, Notes, and a Bibliography.
Preface
1. Introduction
1.1.: Diversification
1.2.: CAPM
1.3.: Beta Systematic Risk
1.4.: Dividend Discount Model
1.5.: An Application of the Capital Asset Pricing Model to Investment Services
Excel Exercise 1.1. Diversification
Case: Managing the Risk of a Pension Fund
Excel Exercise 1.2. CAPM
Case: Quarterly Earnings Report of an Energy Storage Operator
Excel Exercise 1.3. Dividend Discount Model
Case: Valuing REIT
2. Equity Options
2.1.: Option Description
2.2.: Institutional Framework
2.3.: Put Call Parity
2.4.: The Main Insight of the Black-Scholes Model
2.5.: The Option Behavior and Sensitivity Analysis
2.6.: Applications of the Option Model
Excel Exercise 2.1. Cox Ross Rubinstein Model
Case: Private Wealth Management-Designing a Structured Product
Excel Exercise 2.2. Put Call Parity
Case: Proprietary Trading Desk
Excel Exercise 2.3. Black-Scholes Model
Case: Use of Put Options in Hedging
Excel Exercise 2.4. Risk Neutral and Market Probability
Case: Asset Allocation and the Expected Returns of an Option
3. Exotic Options
3.1.: Options with Alternative Payoffs at Expiration
3.2.: Options with Boundary Conditions
3.3.: Early Exercise
3.4.: Compound Options
Excel Exercise 3.1. American Stock Option
Case: Valuing Employee Stock Options
Excel Exercise 3.2. Compound Option
Case: Project Financing and Compound Options
Excel Exercise 3.3. Digital Option
Case: IPO Incentive Option and Executive Option Design
Excel Exercise 3.4. Greeks
Case: Valuing an Equity Structured Product from a Term Sheet
4. Bond Mathematics, Treasury Securities, and Swaps
4.1.: Bond Mathematics
4.2.: Bonds and Bond Markets
4.3.: Swap Markets
4.4.: Economics of the Yield Curve
4.5.: The Bond Model
4.6.: Duration and Convexity
4.7.: Applications of the Bond Analytics
Excel Exercise 4.1. Effective Duration
Case: Interest Rate Bet Using Effective Duration
Excel Exercise 4.2. Par Curve and Spot Curve
Case: Law of One Price and Marking a Bond Position
Excel Exercise 4.3. Dollar Duration
Case: Transfer Pricing and Hedging at the Treasury Department
Excel Exercise 4.4. Swap
Case: A Hedging Program Designed by the Asset Liability Committee
5. Bond Options
5.1.: Interest Rate Movements: Historical Experiences
5.2.: Equilibrium Models
5.3.: Arbitrage-Free Models
5.4.: Key Rate Duration and Dynamic Hedging
Excel Exercise 5.1. Cox, Ingersoll, and Ross Model
Case: Building a Model by Knowing Your Clients
Excel Exercise 5.2. Vasicek Model
Case: Defined Benefits and Asset Management
Excel Exercise 5.3. Ho-Lee Model
Case: Using an Arbitrage-free Model to Determine the Profit Release
Excel Exercise 5.4. Black Bond Option
Case: Proprietary Trading Desk
Excel Exercise 5.5. Swaption
Case: Marking to Market an Illiquid Derivative Position
6. Corporate Bonds-Investment Grade
6.1.: Descriptions of a Corporate Bond
6.2.: Valuation of a Bond
6.3.: Option Adjusted Spreads
6.4.: Callable Bond
6.5.: Sinking Fund Bond and Putable Bonds
Excel Exercise 6.1. Callable Bond
Case: Funding Working Capital with Debt
Excel Exercise 6.2. Sinking Fund Bond
Case: Securitization and Asset Backed Securities
7. Corporate Bonds-High Yield Bonds
7.1.: An Example of a High Yield Bond
7.2.: Institutional Framework of Bankruptcy and Bankruptcy Proceedings
7.3.: The Fisher Model
7.4.: An Actuarial Model
7.5.: Historical Experiences and the Estimation of the Parameters of Default Models
7.6.: The Reduced Form Model
7.7.: The Structural Model
Excel Exercise 7.1. Credit Default Swap
Case: Credit Derivatives, Insurance Premium and Callable Bonds
Excel Exercise 7.2. Ho-Singer Model
Case: Reorganization and Debt Restructuring
8. Other Bonds: Convertible Bonds, MBS, CMO
8.1.: Description of a Convertible Bond
8.2.: Forced Conversion
8.3.: Default Risk
8.4.: Mortgage-Backed Securities (Pass Through Certificates)
8.5.: Prepayment Modeling and Valuation
8.6.: Collateralized Mortgage Obligations (CMO)
Excel Exercise 8.1. Convertible Bonds
Case: Hedging a Convertible Bond Issue
Excel Exercise 8.2. Mortgage-Backed Securities (Level Payment, PSA, IO & PO)
Case: Pricing Guaranteed Investment Contract and the Profit Spread
Index

About the Author

Thomas S.Y. Ho and Sang Bin Lee, Professor of Finance, Hanyang University, Seoul, Korea

Reviews

""The Oxford Guide to Financial Modeling, and its companion volume, Securities Valuation, are invaluable tools for understanding and developing financial models to solve real business problems. They blend cutting-edge financial theory with practical examples that are immediately useful. This approach enables the student and practitioner to develop the thinking processes needed to formulate and solve a broad range of contemporary financial problems. The Guide has been exceedingly useful in my own work." --Dr. Robert Carow, Director of Corporate Compensation, AIG"

""This book showcases Dr. Ho's tireless journey into the frontier of finance over the years. It clearly demonstrates how various rigorous financial models can be practically incorporated into companies' strategic decision making and enterprise risk management. The book challenges our conventional thinking in capital structure theory, interest rate behavior and default risk pricing. It should provoke debate for many years to come."--Tony Kao, Managing Director of Global Fixed Income, General Motors Asset Management"

""Securities Valuation provides a hands-on, yet highly analytic, approach to the valuation of securities, ranging from equities to options to fixed income securities. Ho and Lee have written a superb textbook that combines academic rigor and real-world applicability. The book is well-suited for derivatives and fixed income courses."--Hans R. Stoll, The Anne Marie and Thomas B. Walker Professor of Finance, Owen Graduate School of Management, Vanderbilt University"

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