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1、PrinciplesofFinancialEngineeringThispageintentionallyleftblankPRINCIPLESOFFINANCIALENGINEERINGSecondEditionSalihN.NeftciGlobalFinanceProgramNewSchoolforSocialResearchNewYork,NewYorkandDepartmentofFinanceHongKongUniversityofScienceandTechnologyHongKongandICMACe
2、ntreUniversityofReadingReading,UKAMSTERDAM•BOSTON•HEIDELBERG•LONDONNEWYORK•OXFORD•PARIS•SANDIEGOSANFRANCISCO•SINGAPORE•SYDNEY•TOKYOAcademicPressisanimprintofElsevierAcademicPressisanimprintofElsevier30CorporateDrive,Suite400,Burlington,MA01803,USA525BStreet,Su
3、ite1900,SanDiego,California92101-4495,USA84Theobald’sRoad,LondonWC1X8RR,UKCopyrightc2008,ElsevierInc.Allrightsreserved.Nopartofthispublicationmaybereproducedortransmittedinanyformorbyanymeans,electronicormechanical,includingphotocopy,recording,oranyinformatio
4、nstorageandretrievalsystem,withoutpermissioninwritingfromthepublisher.PermissionsmaybesoughtdirectlyfromElsevier’sScience&TechnologyRightsDepartmentinOxford,UK:phone:(+44)1865843830,fax:(+44)1865853333,E-mail:permissions@elsevier.com.Youmayalsocompleteyourrequ
5、estonlineviatheElsevierhomepage(http://www.elsevier.com),byselecting“Support&Contact”then“CopyrightandPermission”andthen“ObtainingPermissions.”LibraryofCongressCataloging-in-PublicationDataApplicationsubmitted.BritishLibraryCataloguing-in-PublicationDataAcatal
6、oguerecordforthisbookisavailablefromtheBritishLibrary.ISBN:978-0-12-373574-4ForinformationonallAcademicPresspublications,visitourWebsiteat:http://www.books.elsevier.comPrintedinCanada080910987654321Dedicatedtothefollowingfinanceprofessionalsofthefuture:EmreNeft
7、ci,MerveNeftci,KayaNeftci,andKaanNeftci.And,ofcourse,tothewonderfulmemoriesofmyson,OguzNeftci.ThispageintentionallyleftblankContentsPrefacexvCHAPTER1Introduction11.AUniqueInstrument12.AMoneyMarketProblem83.ATaxationExample114.SomeCaveatsforWhatIstoFollow145.Tr
8、adingVolatility156.Conclusions18SuggestedReading19CaseStudy20CHAPTER2AnIntroductiontoSomeConceptsandDefinitions231.Introduction232.Markets233.Players274.TheMechanicsofDeals275.Marke
