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Interest Rate Swaps And Other Derivatives

Interest Rate Swaps and Other Derivatives PDF
Author: Howard Corb
Publisher: Columbia University Press
Release: 2012
Size: 25.26 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 599
View: 7057

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The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them. Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.

Swaps And Other Derivatives

Swaps and Other Derivatives PDF
Author: Richard R. Flavell
Publisher: John Wiley & Sons
Release: 2010-01-26
Size: 74.18 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 392
View: 889

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"Richard Flavell has a strong theoretical perspective on swaps with considerable practical experience in the actual trading of these instruments. This rare combination makes this welcome updated second edition a useful reference work for market practitioners." —Satyajit Das, author of Swaps and Financial Derivatives Library and Traders and Guns & Money: Knowns and Unknowns in the Dazzling World of Derivatives Fully revised and updated from the first edition, Swaps and Other Derivatives, Second Edition, provides a practical explanation of the pricing and evaluation of swaps and interest rate derivatives. Based on the author’s extensive experience in derivatives and risk management, working as a financial engineer, consultant and trainer for a wide range of institutions across the world this book discusses in detail how many of the wide range of swaps and other derivatives, such as yield curve, index amortisers, inflation-linked, cross-market, volatility, diff and quanto diffs, are priced and hedged. It also describes the modelling of interest rate curves, and the derivation of implied discount factors from both interest rate swap curves, and cross-currency adjusted curves. There are detailed sections on the risk management of swap and option portfolios using both traditional approaches and also Value-at-Risk. Techniques are provided for the construction of dynamic and robust hedges, using ideas drawn from mathematical programming. This second edition has expanded sections on the credit derivatives market – its mechanics, how credit default swaps may be priced and hedged, and how default probabilities may be derived from a market strip. It also prices complex swaps with embedded options, such as range accruals, Bermudan swaptions and target accrual redemption notes, by constructing detailed numerical models such as interest rate trees and LIBOR-based simulation. There is also increased discussion around the modelling of volatility smiles and surfaces. The book is accompanied by a CD-ROM where all the models are replicated, enabling readers to implement the models in practice with the minimum of effort.

Understanding Interest Rate Swaps

Understanding Interest Rate Swaps PDF
Author: Mary S. Schaeffer
Publisher: McGraw Hill Professional
Release: 1993-05-22
Size: 18.99 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 302
View: 2667

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Shows what goes on in the daily operations of large Swap dealers and on the corporate user side as well. Highlights the potential trouble spots government regulators are zeroing in on. Shows how to master all the methodologies used in the international Swap market.

An Introduction To Derivatives

An Introduction to Derivatives PDF
Author: Don M. Chance
Publisher: Harcourt Brace College Publishers
Release: 1995
Size: 41.52 MB
Format: PDF, ePub
Category : Derivative securities
Languages : en
Pages : 625
View: 3039

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Provides a solid foundation in the principles of derivatives.

Annual Report

Annual report PDF
Author: UFJ Holdings, Inc
Release: 2004
Size: 75.90 MB
Format: PDF, Docs
Category : Corporations
Languages : en
Pages :
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