Islamic capital markets : theory and practice / Noureddine Krichene.  (Text) (Text)

Krichene, Noureddine
Call no.: HG5818.A3 K753 2013Series: Wiley finance series: Publication: Singapore : John Wiley & Sons Singapore Pte Ltd., c2013Description: xxv, 718 p. : illISBN: 9781118247136; 1118247132Subject(s): Investments -- Religious aspects -- IslamInvestments -- Islamic countriesBanks and banking -- Islamic countriesCapital market -- Islamic countriesFinancial instruments -- Islamic countriesFinance (Islamic law)Bonds -- Islamic countriesLOC classification: HG5818.A3 | K753 2013
Contents:PART ONE Islamic Capital Markets: Tools of Securities Investment, Asset Pricing, Risk Management, and Portfolio Performance -- CHAPTER 1 Capital Theory and Islamic Capital Markets -- On the Nature of Capital -- On the Nature of Interest and Profit -- Capital Theory in Islamic Finance -- Time Preference and Capital Markets -- Capital Productivity: The Intertemporal Production Opportunity Set -- General Equilibrium: Time Preference and Capital Productivity -- Model of Capital as a Subsistence Fund -- Capital as an Engine of Growth -- The Capital Market and the Economy -- The Intermediation Role of the Capital Market -- CHAPTER 2 Portfolio Theory and Risk-Return Tradeoff -- Market Uncertainty -- Portfolio Diversification Theory -- Portfolio Diversification in the Case of Two Risky Assets -- A Model of a Riskless Asset and a Risky Asset -- Asset Pricing Based on Risk-Return Tradeoff -- The Security Market Line -- Efficiency Frontier, Capital Market Line, Characteristic Line, and Security Market Line -- The Cost of Capital Based on the Capital Asset Pricing ModelCHAPTER 3 The Analytics of Sukuks -- Valuation of an Asset -- Valuation of Sukuks -- Yield to Maturity -- Reinvestment of Sukuk Coupons -- The Par Yield -- Spot Rates and Forward Rates -- The Term Structure of Rates of Return -- Sukuk Duration -- Sukuk Convexity -- Immunization of Sukuk Portfolio -- CHAPTER 4 Islamic Stocks -- Sharia Screening -- Islamic Indexes -- Speculation and Gambling -- Stock Yield -- Common Stock Valuation -- Forecasting Stock Prices -- Fundamental and Technical Analysis -- The Efficiency Hypotheses of Stock Markets -- Evaluating Companies -- Mechanics of Trading -- CHAPTER 5 The Cost of Capital -- Objective of the Firm: Market Value Maximization and the Cost of Capital -- Project Selection: The Hurdle Rate -- Defining Capital Cost: The Discount Rate -- The Net Cash Flow -- The Present Value Formula -- Relationship between Risk and the Cost of Capital -- Estimating the Cost of Equity Capital and Overall Cost of Capital -- Capital Asset Pricing Model (CAPM) -- Risk-Adjusted versus Certainty-Equivalent Discount Rates -- Applying the CAPM to Calculate Certainty-Equivalent Cash Flow -- The Valuation of Securities, Leverage, and the Cost of Capital: The Modigliani and Miller TheoryWeighted Average Cost of Capital -- Implications of the Capital Cost Analysis for the Theory of Investment: Capital Structure and Investment Policy -- The Agency Problem -- CHAPTER 6 Asset Pricing under Uncertainty -- Modeling Risk and Return -- Market Efficiency and Arbitrage-Free Pricing -- Basic Principles of Derivatives Pricing -- CHAPTER 7 The Consumption-Based Pricing Model -- Intertemporal Optimization and Implication to Asset Pricing -- Asset-Specific Pricing and Correction for Risk -- Relationship between Expected Return and Beta -- The Mean Variance (mv) Frontier -- Risk-Neutral Pricing Implied by the General Pricing Formula -- Consumption-Based Contingent Discount Factors -- Equity Premium and Interest Rate Puzzles -- CHAPTER 8 Futures Markets -- Institutional Aspects of Forward and Futures Contracts -- Valuation of Forward and Futures Contracts -- Foreign Currencies Futures and the Yield Rate Parity -- Hedging -- Rolling the Hedge Forward -- The Hedge Ratio -- Cross Hedging -- Speculating in Futures MarketsCHAPTER 9 Stock Index Futures -- Specifications of the Stock Index Futures Contract -- The Pricing of a Stock Index Futures Contract -- Hedging with Stock Index Futures -- The Minimum Risk Hedge Ratio -- Cross Hedging -- Target Beta and Capture Alpha with Stock Index Futures -- Constructing an Indexed Portfolio -- Asset Allocation -- Portfolio Insurance -- Index Arbitrage -- Program Trading -- CHAPTER 10 Interest-Rate Futures Markets and Applications to Sukuks -- Types of Interest-Rate Futures Contracts -- The Pricing of Sukuk Forward Contracts -- Hedging with Interest-Rate Futures -- Interest-Rate Futures in Sukuk Portfolio Management -- Immunization of Sukuk Portfolio with Interest-Rate Futures -- CHAPTER 11 Basic Principles of Options -- Options: Basic Definitions -- Trading Strategies -- Option Pricing -- Pricing the Put Option -- Call-Put Parity -- The Binomial Model: Extension to Two Periods -- The Option Delta -- Risk-Neutral Pricing -- The Black-Scholes (BS) Model -- Currency Options -- Caps and FloorsCHAPTER 12 Swaps -- Structure and Payoff of a Swap -- Motivations for the Swap -- The Valuation of Plain-Vanilla Swaps: The Swap Rate -- Currency Swaps -- Pricing a Currency Swap -- Equity Swap -- Credit Default Swap -- Total Return Swap -- Structured Notes: Inverse Floater and Bear Floater -- Options on Interest Rate Swaps: Swaptions -- Interest-Rate Swaps as Hedging Instruments -- CHAPTER 13 Mutual Funds -- How Does a Mutual Fund Work? -- Index Funds and Hedge Funds -- Types of Mutual Funds -- Fees and Expenses -- Regulations -- Mutual Fund Performance -- Mutual Fund Advantages and Risks -- CHAPTER 14 Portfolio Performance and Value-at-Risk -- Nature and Purpose of the Performance Evaluation -- Measuring Performance -- Methodologies for Evaluating Performance -- The Fama-French Three-Factor Model -- Performance Attribution Models -- Value-at-Risk (VaR) -- Methods for Calculating VaR -- Stress Testing and Back TestingCHAPTER 15 The Banking System -- On the Nature of Central Banking -- On the Nature of Money -- Fractional Banking and the Money Multiplier -- The Central Bank -- The Reserves Market: Demand and Supply of Reserves -- The Regulatory and Supervisory Role of the Central Bank -- The Debate over the Role of the Central Bank -- The Theory of Two Interest Rates -- Central Banking and Financial Markets -- Central Bank in Islamic Finance -- CHAPTER 16 The Demand for Money -- Motives for Holding Money -- Demand for Money as Affected by the Rate of Interest -- The Baumol-Tobin Model of Money Demand -- Equilibrium in the Market for Money -- Demand for Money as Influenced by the Price Level -- Other Determinants of the Demand for Money -- Effects of Changes in the Money Market -- The Quantity Theory of Money and Money Demand -- The Cambridge Transaction Approach -- The Restatement of the Quantity Theory as a Demand for Money FunctionCHAPTER 17 Capital Markets and the Macroeconomy -- Financial Crises and Approaches for Recovery -- The Income-Expenditure Sector -- The Monetary Sector -- Macroeconomic Equilibrium -- Macroeconomic Equilibrium under Keynesian Assumptions -- Classicists' Approaches to Recovery from Depression -- Islamic Approaches to Recovery from Depression -- Stagflation and Post-2008 Crisis Unemployment -- PART THREE Regulations and Institutions of Capital Markets and Islamic Structured Finance. CHAPTER 18 Institutions and Regulations of Capital Markets -- Regulatory Legislation -- The Securities and Exchange Commission -- The U.S. Commodity Futures Trading Commission -- The Stock Market -- Brokerage Firm -- Online Trading: A Form of Discount Brokerage -- Investment Advisers -- Clearinghouses -- Central Securities Depository -- Investment Banks -- Investment Companies -- Investment Funds -- Mutual Funds -- Exchange-Traded Funds -- Hedge Funds -- Money Market Funds -- Structured Investment VehiclesCHAPTER 19 Institutions and Instruments of Islamic Capital Markets -- The Sharia Advisory Council -- Islamic Modes of Financing and Islamic Instruments -- Islamic Funds -- Islamic Derivatives Markets -- Guidelines on the Offering of Islamic Securities -- CHAPTER 20 Sukuks -- Asset Securitization -- Structure and Legal Documentation of Islamic Private Debt Securities -- Types of Sukuk Structures -- Sukuk Issuance in Practice -- Risks Underlying Sukuks' Structures -- Managing the Financial Risks of Sukuk Structures -- CHAPTER 21 Islamic Structured Products -- Structured Finance -- Definition of Structured Products -- Features of Structured Products -- Risks and Benefits of Structured Products -- Types of Structured Products -- Financial Engineering of Structured Products -- Islamic Structured Products --Challenges for Islamic Structurers -- Examples of Structured Products.
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ประเภททรัพยากร ตำแหน่งปัจจุบัน กลุ่มข้อมูล ตำแหน่งชั้นหนังสือ เลขเรียกหนังสือ สถานะ วันกำหนดส่ง บาร์โค้ด การจองรายการ
Book Book Professor Direk Jayanama Library
General Books General Stacks HG5818.A3 K753 2013 (เรียกดูชั้นหนังสือ) พร้อมให้บริการ
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Includes bibliographical references and index.

PART ONE Islamic Capital Markets: Tools of Securities Investment, Asset Pricing, Risk Management, and Portfolio Performance -- CHAPTER 1 Capital Theory and Islamic Capital Markets -- On the Nature of Capital -- On the Nature of Interest and Profit -- Capital Theory in Islamic Finance -- Time Preference and Capital Markets -- Capital Productivity: The Intertemporal Production Opportunity Set -- General Equilibrium: Time Preference and Capital Productivity -- Model of Capital as a Subsistence Fund -- Capital as an Engine of Growth -- The Capital Market and the Economy -- The Intermediation Role of the Capital Market -- CHAPTER 2 Portfolio Theory and Risk-Return Tradeoff -- Market Uncertainty -- Portfolio Diversification Theory -- Portfolio Diversification in the Case of Two Risky Assets -- A Model of a Riskless Asset and a Risky Asset -- Asset Pricing Based on Risk-Return Tradeoff -- The Security Market Line -- Efficiency Frontier, Capital Market Line, Characteristic Line, and Security Market Line -- The Cost of Capital Based on the Capital Asset Pricing Model

CHAPTER 3 The Analytics of Sukuks -- Valuation of an Asset -- Valuation of Sukuks -- Yield to Maturity -- Reinvestment of Sukuk Coupons -- The Par Yield -- Spot Rates and Forward Rates -- The Term Structure of Rates of Return -- Sukuk Duration -- Sukuk Convexity -- Immunization of Sukuk Portfolio -- CHAPTER 4 Islamic Stocks -- Sharia Screening -- Islamic Indexes -- Speculation and Gambling -- Stock Yield -- Common Stock Valuation -- Forecasting Stock Prices -- Fundamental and Technical Analysis -- The Efficiency Hypotheses of Stock Markets -- Evaluating Companies -- Mechanics of Trading -- CHAPTER 5 The Cost of Capital -- Objective of the Firm: Market Value Maximization and the Cost of Capital -- Project Selection: The Hurdle Rate -- Defining Capital Cost: The Discount Rate -- The Net Cash Flow -- The Present Value Formula -- Relationship between Risk and the Cost of Capital -- Estimating the Cost of Equity Capital and Overall Cost of Capital -- Capital Asset Pricing Model (CAPM) -- Risk-Adjusted versus Certainty-Equivalent Discount Rates -- Applying the CAPM to Calculate Certainty-Equivalent Cash Flow -- The Valuation of Securities, Leverage, and the Cost of Capital: The Modigliani and Miller Theory

Weighted Average Cost of Capital -- Implications of the Capital Cost Analysis for the Theory of Investment: Capital Structure and Investment Policy -- The Agency Problem -- CHAPTER 6 Asset Pricing under Uncertainty -- Modeling Risk and Return -- Market Efficiency and Arbitrage-Free Pricing -- Basic Principles of Derivatives Pricing -- CHAPTER 7 The Consumption-Based Pricing Model -- Intertemporal Optimization and Implication to Asset Pricing -- Asset-Specific Pricing and Correction for Risk -- Relationship between Expected Return and Beta -- The Mean Variance (mv) Frontier -- Risk-Neutral Pricing Implied by the General Pricing Formula -- Consumption-Based Contingent Discount Factors -- Equity Premium and Interest Rate Puzzles -- CHAPTER 8 Futures Markets -- Institutional Aspects of Forward and Futures Contracts -- Valuation of Forward and Futures Contracts -- Foreign Currencies Futures and the Yield Rate Parity -- Hedging -- Rolling the Hedge Forward -- The Hedge Ratio -- Cross Hedging -- Speculating in Futures Markets

CHAPTER 9 Stock Index Futures -- Specifications of the Stock Index Futures Contract -- The Pricing of a Stock Index Futures Contract -- Hedging with Stock Index Futures -- The Minimum Risk Hedge Ratio -- Cross Hedging -- Target Beta and Capture Alpha with Stock Index Futures -- Constructing an Indexed Portfolio -- Asset Allocation -- Portfolio Insurance -- Index Arbitrage -- Program Trading -- CHAPTER 10 Interest-Rate Futures Markets and Applications to Sukuks -- Types of Interest-Rate Futures Contracts -- The Pricing of Sukuk Forward Contracts -- Hedging with Interest-Rate Futures -- Interest-Rate Futures in Sukuk Portfolio Management -- Immunization of Sukuk Portfolio with Interest-Rate Futures -- CHAPTER 11 Basic Principles of Options -- Options: Basic Definitions -- Trading Strategies -- Option Pricing -- Pricing the Put Option -- Call-Put Parity -- The Binomial Model: Extension to Two Periods -- The Option Delta -- Risk-Neutral Pricing -- The Black-Scholes (BS) Model -- Currency Options -- Caps and Floors

CHAPTER 12 Swaps -- Structure and Payoff of a Swap -- Motivations for the Swap -- The Valuation of Plain-Vanilla Swaps: The Swap Rate -- Currency Swaps -- Pricing a Currency Swap -- Equity Swap -- Credit Default Swap -- Total Return Swap -- Structured Notes: Inverse Floater and Bear Floater -- Options on Interest Rate Swaps: Swaptions -- Interest-Rate Swaps as Hedging Instruments -- CHAPTER 13 Mutual Funds -- How Does a Mutual Fund Work? -- Index Funds and Hedge Funds -- Types of Mutual Funds -- Fees and Expenses -- Regulations -- Mutual Fund Performance -- Mutual Fund Advantages and Risks -- CHAPTER 14 Portfolio Performance and Value-at-Risk -- Nature and Purpose of the Performance Evaluation -- Measuring Performance -- Methodologies for Evaluating Performance -- The Fama-French Three-Factor Model -- Performance Attribution Models -- Value-at-Risk (VaR) -- Methods for Calculating VaR -- Stress Testing and Back Testing

CHAPTER 15 The Banking System -- On the Nature of Central Banking -- On the Nature of Money -- Fractional Banking and the Money Multiplier -- The Central Bank -- The Reserves Market: Demand and Supply of Reserves -- The Regulatory and Supervisory Role of the Central Bank -- The Debate over the Role of the Central Bank -- The Theory of Two Interest Rates -- Central Banking and Financial Markets -- Central Bank in Islamic Finance -- CHAPTER 16 The Demand for Money -- Motives for Holding Money -- Demand for Money as Affected by the Rate of Interest -- The Baumol-Tobin Model of Money Demand -- Equilibrium in the Market for Money -- Demand for Money as Influenced by the Price Level -- Other Determinants of the Demand for Money -- Effects of Changes in the Money Market -- The Quantity Theory of Money and Money Demand -- The Cambridge Transaction Approach -- The Restatement of the Quantity Theory as a Demand for Money Function

CHAPTER 17 Capital Markets and the Macroeconomy -- Financial Crises and Approaches for Recovery -- The Income-Expenditure Sector -- The Monetary Sector -- Macroeconomic Equilibrium -- Macroeconomic Equilibrium under Keynesian Assumptions -- Classicists' Approaches to Recovery from Depression -- Islamic Approaches to Recovery from Depression -- Stagflation and Post-2008 Crisis Unemployment -- PART THREE Regulations and Institutions of Capital Markets and Islamic Structured Finance. CHAPTER 18 Institutions and Regulations of Capital Markets -- Regulatory Legislation -- The Securities and Exchange Commission -- The U.S. Commodity Futures Trading Commission -- The Stock Market -- Brokerage Firm -- Online Trading: A Form of Discount Brokerage -- Investment Advisers -- Clearinghouses -- Central Securities Depository -- Investment Banks -- Investment Companies -- Investment Funds -- Mutual Funds -- Exchange-Traded Funds -- Hedge Funds -- Money Market Funds -- Structured Investment Vehicles

CHAPTER 19 Institutions and Instruments of Islamic Capital Markets -- The Sharia Advisory Council -- Islamic Modes of Financing and Islamic Instruments -- Islamic Funds -- Islamic Derivatives Markets -- Guidelines on the Offering of Islamic Securities -- CHAPTER 20 Sukuks -- Asset Securitization -- Structure and Legal Documentation of Islamic Private Debt Securities -- Types of Sukuk Structures -- Sukuk Issuance in Practice -- Risks Underlying Sukuks' Structures -- Managing the Financial Risks of Sukuk Structures -- CHAPTER 21 Islamic Structured Products -- Structured Finance -- Definition of Structured Products -- Features of Structured Products -- Risks and Benefits of Structured Products -- Types of Structured Products -- Financial Engineering of Structured Products -- Islamic Structured Products --Challenges for Islamic Structurers -- Examples of Structured Products.

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