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1、PrinciplesofFinancialEngineeringThispageintentionallyleftblankPRINCIPLESOFFINANCIALENGINEERINGSecondEditionSalihN.NeftciGlobalFinanceProgramNewSchoolforSocialResearchNewYork,NewYorkandDepartmentofFinanceHongKongUniversityofScienceandTechnologyHongKongandICMACentreUniversityofRe
2、adingReading,UKAMSTERDAM?BOSTON?HEIDELBERG?LONDONNEWYORK?OXFORD?PARIS?SANDIEGOSANFRANCISCO?SINGAPORE?SYDNEY?TOKYOAcademicPressisanimprintofElsevierAcademicPressisanimprintofElsevier30CorporateDrive,Suite400,Burlington,MA01803,USA525BStreet,Suite1900,SanDiego,California92101-449
3、5,USA84Theobald’sRoad,LondonWC1X8RR,UKCopyrightc2008,ElsevierInc.Allrightsreserved.Nopartofthispublicationmaybereproducedortransmittedinanyformorbyanymeans,electronicormechanical,includingphotocopy,recording,oranyinformationstorageandretrievalsystem,withoutpermissioninwritingf
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5、port&Contact”then“CopyrightandPermission”andthen“ObtainingPermissions.”LibraryofCongressCataloging-in-PublicationDataApplicationsubmitted.BritishLibraryCataloguing-in-PublicationDataAcataloguerecordforthisbookisavailablefromtheBritishLibrary.ISBN:978-0-12-373574-4Forinformation
6、onallAcademicPresspublications,visitourWebsiteat:http://www.books.elsevier.comPrintedinCanada080910987654321Dedicatedtothefollowing?nanceprofessionalsofthefuture:EmreNeftci,MerveNeftci,KayaNeftci,andKaanNeftci.And,ofcourse,tothewonderfulmemoriesofmyson,OguzNeftci.Thispageintent
7、ionallyleftblankContentsPrefacexvCHAPTER1Introduction11.AUniqueInstrument12.AMoneyMarketProblem83.ATaxationExample114.SomeCaveatsforWhatIstoFollow145.TradingVolatility156.Conclusions18SuggestedReading19CaseStudy20CHAPTER2AnIntroductiontoSomeConceptsandDe?nitions231.Introduction
8、232.Markets233.Players274.TheMechanicsofDeals275.Marke
