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1、PRINCIPLESOFFINANCIALENGINEERINGSecondEditionSalihN.NeftciGlobalFinanceProgramNewSchoolforSocialResearchNewYork,NewYorkandDepartmentofFinanceHongKongUniversityofScienceandTechnologyHongKongandICMACentreUniversityofReadingReading,UKAMSTERDAM•BOSTON•HEIDELBERG•LONDONNEWYORK•OX
2、FORD•PARIS•SANDIEGOSANFRANCISCO•SINGAPORE•SYDNEY•TOKYOAcademicPressisanimprintofElsevierAcademicPressisanimprintofElsevier30CorporateDrive,Suite400,Burlington,MA01803,USA525BStreet,Suite1900,SanDiego,California92101-4495,USA84Theobald’sRoad,LondonWC1X8RR,UKCopyrightc2008,El
3、sevierInc.Allrightsreserved.Nopartofthispublicationmaybereproducedortransmittedinanyformorbyanymeans,electronicormechanical,includingphotocopy,recording,oranyinformationstorageandretrievalsystem,withoutpermissioninwritingfromthepublisher.PermissionsmaybesoughtdirectlyfromEls
4、evier’sScience&TechnologyRightsDepartmentinOxford,UK:phone:(+44)1865843830,fax:(+44)1865853333,E-mail:permissions@elsevier.com.YoumayalsocompleteyourrequestonlineviatheElsevierhomepage(http://www.elsevier.com),byselecting“Support&Contact”then“CopyrightandPermission”andthen“O
5、btainingPermissions.”LibraryofCongressCataloging-in-PublicationDataApplicationsubmitted.BritishLibraryCataloguing-in-PublicationDataAcataloguerecordforthisbookisavailablefromtheBritishLibrary.ISBN:978-0-12-373574-4ForinformationonallAcademicPresspublications,visitourWebsitea
6、t:http://www.books.elsevier.comPrintedinCanada080910987654321ContentsPrefacexvCHAPTER1Introduction11.AUniqueInstrument12.AMoneyMarketProblem83.ATaxationExample114.SomeCaveatsforWhatIstoFollow145.TradingVolatility156.Conclusions18SuggestedReading19CaseStudy20CHAPTER2AnIntrodu
7、ctiontoSomeConceptsandDefinitions231.Introduction232.Markets233.Players274.TheMechanicsofDeals275.MarketConventions306.Instruments377.Positions378.TheSyndicationProcess419.Conclusions42SuggestedReading42Appendix2-1:TheHedgeFundIndustry42Exercises46CHAPTER3CashFlowEngineeringa
8、ndForwardContracts471.Introduction472.WhatIsaSynthetic?473.ForwardContracts
