论清华大学经管学院的金融工程英文版).ppt

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1、INTRODUCTIONTOFINANCIALENGINEERING©FredSongSeptember20011IntroductoryWhatisFinance?WhatisFinancialEngineering?What’stheroleofFinancialEngineeringinNewEconomy?NeweconomyFinancialengineeringande-commerce2WhatisFinance?Money&Banking—MonetaryEconomicsInternationalFinance—InternationalEco

2、nomics3CorporateFinanceCapitalMarket(Investments)FinancialEconomicsMultinationalCorporateFinanceInternationalFinancialMarketFinancialEngineering4WhatisFinancialEngineering?Generalizing:FinancialEngineeringinvolvesthedesign,thedevelopment,andtheimplementationofinnovativefinancialinstr

3、umentsandprocesses,andtheformulationofcreativesolutionstoproblemsinfinance.Specializing:FinancialEngineeringisriskmanagementviacreativestructuraltools.5FINANCEI.T.ENGINEERINGF.E.6CHAPTERONE:MMTheoryandNoArbitrageMMTheoryTwomeasurementsofvalueAccounting:bookvalue—historiccostFinance:m

4、arketvalue—netpresentvalue7Assets=Liabilities+EquityAccountingEquality:duelentitysystemBookvaluemeasurementFunduseFundsourceFinanceEquality:Funduse=FundsourceMarketvaluemeasurement8CorporateFinanceAssetsLiabilitiesandEquityAsset1Asset2LiabilitiesAsset3..Equity.AssetnTotalAssetsTotalL

5、iabilitiesandEquityAccounting:Yes!Finance:No!CapitalMarketRealEconomyNPVFirmValue+NPV9LiabilitiesValueEquityValueLiabilitiesValueAssetsValueCapitalStructureFinancialleverage:orHasachangeoffinancialleverageanyimpactonthefirmvalue?10M&MTheoryM&Massumptions:FrictionlessassumptionsNoinco

6、metaxesNotransactioncostsNoinformationasymmetryNocosttoresolveinterestconflictsamongstakeholdersAllliabilitiesarerisk-free11Notes:Amini-caseTwocompaniesEBITCapitalstructureFirmvalue$10millionp.abonds:$40million,8%shares:600,000A’sshareprice:$100pershareexpectedreturn:10%1millionshare

7、s$100millionB?AB’sbond:risk-freethesharenumberissupposedshareexpectedreturn:?12(Risk-free)NoPositionImmediateCashFlowCashFlowintheFutureReplicationofA’sStockUsingB’sStockandBondsB’sTotalPayments=B’sNetEarnings+InterestPayments=(EBIT-$3.2million)+$3.2million=EBITSupposepriceofB’sstock

8、=$90pershare