Book description
Written in plain English and based on successful client engagements, Data Modeling of Financial Derivatives: A Conceptual Approach introduces new and veteran data modelers, financial analysts, and IT professionals to the fascinating world of financial derivatives. Covering futures, forwards, options, swaps, and forward rate agreements, finance and modeling expert Robert Mamayev shows you step-by-step how to structure and describe financial data using advanced data modeling techniques.
The book introduces IT professionals, in particular, to various financial and data modeling concepts that they may not have seen before, giving them greater proficiency in the financial language of derivatives—and greater ability to communicate with financial analysts without fear or hesitation. Such knowledge will be especially useful to those looking to pick up the necessary skills to become productive right away working in the financial sector. Financial analysts reading this book will come to grips with various data modeling concepts and therefore be in better position to explain the underlying business to their IT audience.
Data Modeling of Financial Derivatives—which presumes no advanced knowledge of derivatives or data modeling—will help you:
Learn the best entity–relationship modeling method out there—Barker's CASE methodology—and its application in the financial industry
Understand how to identify and creatively reuse data modeling patterns
Gain an understanding of financial derivatives and their various applications
Learn how to model derivatives contracts and understand the reasoning behind certain design decisions
Resolve derivatives data modeling complexities parsimoniously so that your clients can understand them intuitively
Packed with numerous examples, diagrams, and techniques, this book will enable you to recognize the various design patterns that you are most likely to encounter in your professional career and apply them successfully in practice. Anyone working with financial models will find it an invaluable tool and career booster.
What you'll learn
You will learn how to:
Recognize and identify financial derivatives
Reuse data modeling patterns and apply them to create something new
Data model simple and complex options
Data model SWAPS
Data model futures and forward contracts
Who this book is for
Data modelers, financial analysts, IT professionals, and anyone with an interest in data modeling and business analysis.
Table of contents
- Title Page
- Apress Business: The Unbiased Source of Business Information
- Dedication
- Contents
- About the Author
- Acknowledgments
- Preface
- CHAPTER 1: Introduction
-
CHAPTER 2: Barker’s Notation
- Different Types of Data Models
- Entity
- Subtypes and Supertypes
- Representing Subtypes/Supertypes in a Data Model
- Subtype/Supertype Rules
- Attributes
- Relationships
- Rules Governing Relationships
- Relationships between Subtypes
- Modeling Recursive Relationships
- Recursive One-to-Many Relationships
- Recursive Many-to-Many Relationships
- Recursive One-to-One Relationships
- Redundant Relationships
- Exclusivity Arc
- Barker’s Positional Convention
- Conclusion
- Recommended Readings
-
CHAPTER 3: Financial Contracts
- What Is a Contract?
- Maintaining a Contract Participation History
- Differentiating between a Contract and a Contract Type
- Assets and Asset Types
- The Importance of Ownership Recognition
- Modeling Contract Asset Allocations
- Contract Structure and Contract Type Structure
- Contract Variables and Their Assignment
- Business Strategy
- Collateral
- Contract Delivery
- Contract Regulations
- Conclusion
- Recommended Readings
-
CHAPTER 4: Modeling Forward Contracts
- Defining a Forward Contract
- Forward Contract Specifications
- Subtyping Contract Type
- Forward Contract Data Modeling Basics
- Associating Forward Contracts with Asset Types
- Forward Contracts and Variable Assignment
- Associating Forward Contracts with Business Strategies
- Forward Contracts and Delivery
- Forward Contracts and Cash Settlements
- Offsetting Forward Contracts
- Forward Contract Termination
- Lawsuits and Violations
- Conclusion
-
CHAPTER 5: Modeling Futures Contracts
- Modeling Employment
- Subtyping Futures Contracts
- Modeling Futures Contracts Participation
- Associating Futures Contracts with Paper Assets (Asset Types)
- Futures Contracts and Variable Assignment (Complete Model)
- Futures Contracts and Variable Assignment (Simplified Model)
- Futures Contracts and Variable Observations
- Margin Accounts
- Futures Contracts Delivery
- Rolling Forward Futures Contracts
- Summary of the Differences between Futures and Forward Contracts
- Conclusion
-
CHAPTER 6: Modeling Options
- Option Positions
- Offsetting Orders
- Underlying Assets
- Associating Option Contracts with Buyers and Sellers
- Modeling an Option Asset Type
- Modeling Options as Physical Assets
- Modeling Option Asset Allocation
- The Importance of Mathematical Models
- Calculating Volatility from Historical Data
- Option Contract Variable Assignment
- Option Contract Settlement Type
- Automatic Option Exercise
- Closing Out Option Contract
- Naked Options
- Modeling an Option’s Delivery Subject Area
- FLEX Options
- Conclusion
- CHAPTER 7: Modeling Advanced Options Strategies
-
CHAPTER 8: Swaps and Forward Rate Agreements
- Defining a Swap
- Plain Vanilla Interest Rate Swaps
- Fixed-for-Fixed Currency Rate Swaps
- International Swaps and Derivative Organization
- Subtyping the Swap Agreement Type
- Interest Rate and Interest Rate Type
- Fixed and Floating Rate Player Roles
- Modeling Swap Contract Participation
- Modeling Swap Contract Asset Allocation and Payoff Schedules
- Swap Contract Payments
- Forward Rate Agreements
- FRA Contract Type
- Modeling FRA Contract Participation
- Modeling FRA Asset Allocation and Payoff Schedules
- Modeling FRA Asset Delivery
- Modeling ISDA Documentation and Confirmations
- Conclusion
-
CHAPTER 9: Parting Thoughts
- What to Do When You Get Stuck
- Implementing Subtype/Supertype in a Physical Data Model
- Rolling Down Supertype Structure into the Associated Subtypes
- Rolling Up Subtypes into the Associated Supertype
- Preserving Supertype/Subtype Structures in a Physical Model
- Which Option Should You Choose?
- Ways to Treat Derived Data
- Taking Action
- Conclusion
- Recommended Reading
- Index
Product information
- Title: Data Modeling of Financial Derivatives: A Conceptual Approach
- Author(s):
- Release date: December 2013
- Publisher(s): Apress
- ISBN: 9781430265894
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