Investment Mathematics for Finance and Treasury Professionals : A Practical Approach

For Finance and Treasury professionals to effectively pitch, sell, and comprehend the true appeal and relevance of a particular security, there is nothing more important than knowing how the value of said security has been determined. While punching numbers into a computer may provide the information needed, it is nevertheless essential to have a firm grasp of the valuation concepts in order to make the best, most informed decisions. Offering a straightforward, accessible approach not found anywhere else, this comprehensive new book provides a clear cut road map through the mathematical concepts associated with the investments sector of Treasury management. Written by an expert in the field, Investment Mathematics for Finance and Treasury Professionals explains the principles and formulae used in the fixed income cash markets. It presents an in depth, yet practical look at the applications associated with these money and capital markets instruments. The book also covers calculations and applications in the foreign exchange and equities markets. The same in depth coverage is applied to the various fixed income and foreign exchange derivatives markets used as both speculative and hedging tools. Spanning the spectrum from price/yield changes to risk/return, and packed with numerous examples that illustrate key concepts, this exhaustive resource includes:Yield spread analysis—methods of price/yield quotation, yield spreads by maturity, off the run vs. on the runPrice/yield sensitivity—hedge ratios, basis point value, dollar duration, convexityTerm structure of interest rates—different yield curve structures, zero coupon yield curve, Treasury trading StripsForeign exchange—crossrates, spot rates, forward points, covered interest arbitrageOptions—plain vanilla vs. exotic options, over the counter vs. exchange traded options, understanding option valuation models, and option hedging and trading strategiesInterest rate swaps, swaptions, caps, floors, collars, inverse floatersRisk/return—valuation theory, capital asset pricing model, value at riskComplete with supporting appendixes that contain statistical information on such essentials as historical interest rate patterns, conversion factors for Treasury bond futures, the standard normal distribution, and day count basis for different bonds, Investment Mathematics for Finance and Treasury Professionals is an indispensable reference for anyone involved with corporate and municipal treasury functions.