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Financial Engineering: The Evolution of a Profession

ISBN: 978-0-470-45581-4
616 pages
June 2011
Financial Engineering: The Evolution of a Profession (0470455810) cover image

FINANCIAL ENGINEERING

The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals. As part of the Robert W. Kolb Series in Finance, Financial Engineering aims to provide a comprehensive understanding of this important discipline by examining its fundamentals, the newest financial products, and disseminating cutting-edge research.

A contributed volume of distinguished practitioners and academics, Financial Engineering details the different participants, developments, and products of various markets—from fixed income, equity, and derivatives to foreign exchange. Also included within these pages are comprehensive case studies that reveal the various issues associated with financial engineering. Through them, you'll gain instant insights from the stories of Countrywide (mortgages), Société Générale and Barings (derivatives), the Allstate Corporation (fixed income), AIG, and many others. There is also a companion website with details from the editors' survey of financial engineering programs around the globe, as well as a glossary of key terms from the book.

Financial engineering is an evolving field in constant revision. Success, innovation, and profitability in such a dynamic area require being at the forefront of research as new products and models are introduced and implemented. If you want to enhance your understanding of this discipline, take the time to learn from the experts gathered here.

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Introduction (Tanya Beder and Cara Marshall).

Part I: Overview.

Chapter 1: The History of Financial Engineering from Inception to Today (Tanya Beder).

Chapter 2: Careers in Financial Engineering (Spencer Jones).

Chapter 3: A Profile of Programs and Curricula with a Financial Engineering Component (John Cornish).

Part II: Financial Engineering and the Evolution of Major Markets.

Chapter 4: The Fixed Income Market (Peruvemba Satish).

Chapter 5: The U.S. Mortgage Market (Bruce McNevin).

Chapter 6: The Equity Market (Gary L. Gastineau and John F. Marshall).

Chapter 7: The Foreign Exchange Market (Laurent L. Jacque).

Chapter 8: The Commodity Market (Helen Lu and Cara M. Marshall).

Chapter 9: The Credit Market (Frank Iacono).

Part III: Key Applications of Financial Engineering.

Chapter 10: Securitized Products (Konstantin Braun).

Chapter 11: Structured Products (Timothy A. Day).

Chapter 12: Thoughts on Retooling Risk Management (Tanya Beder and Spencer Jones).

Chapter 13: Financial Engineering and Macroeconomic Innovation (Cara Marshall and John O’Connell).

Chapter 14: Independent Valuation for Financially Engineered Products (Cindy Ma and Andrew MacNamara).

Chapter 15: Quantitative Trading in Equities (Kun Gao).

Chapter 16: Quantitative Trading in Foreign Currencies (Chris Attfield and Mel Mayne).

Part IV: Case Studies in Financial Engineering.

Chapter 17: Case Studies Introduction (Penny Cagan).

Chapter 18: Mortgage Case Studies: Countrywide and Northern Rock (Algorithmics Software LLC).

Chapter 19: Derivatives Case Studies: SocGen, Barings, and Allied Irish/Allfirst (Algorithmics Software LLC).

Chapter 20: Fixed Income Case Study, Swap Market: The Allstate Corporation (Algorithmics Software LLC).

Chapter 21: Lessons from Funds: LTCM, Florida, and Orange County (Algorithmics Software LLC).

Chapter 22: Credit Derivatives Case Studies: AIG and Merrill Lynch (Algorithmics Software LLC).

Part V: Special Topics in Financial Engineering.

Chapter 23: Performance Fees (Mark P. Kritzman

Chapter 24: Musings about Hedging (Ira Kawaller).

Chapter 25: Operational Risk (Monique Miller).

Chapter 26: Legal Risk (Jordana Krohley).

Chapter 27: Portable Alpha (Tanya Beder and Giovanni Beliossi).

Chapter 28: The No-Arbitrage Condition in Financial Engineering: Its Use and Misuse (Andrew Aziz).

Chapter 29: Influencing Financial Innovation: The Management of Systemic Risks and the Role of the Public Sector (Todd Groome, John Kiff, and Paul Mills).

Part VI: Appendices.

Appendix A: IT Tools for Financial Asset Management and Engineering (Lucas Bernard).

Appendix B: About the Companion Website.

About the Editors.

Index.

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Tanya S. Beder is Chairman of SBCC in New York. She has clients around the world and is a featured speaker in the areas of risk management, structured securities, strategy, governance and financial forensics. Beder is on the Board of Directors of American Century Mutual Funds, the National Board of Mathematics and Their Applications and is an Appointed Fellow of the International Center for Finance at Yale University. Previously, she was CEO of Tribeca, a $3 billion multi-strategy hedge fund and Managing Director of Caxton, a $10 billion investment firm. Beder is widely published, including in The Journal of Portfolio Management, Financial Analysts Journal, and Harvard Business Review. Her degrees are from Harvard and Yale Universities.

Cara M. Marshall is a professor of finance and risk management at Queens College of the City University of New York and consults to the financial services community as a training consultant. She has been published in the Global Finance Journal and contributed to Financial Derivatives: Pricing and Risk Management (also published by Wiley).

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