Interest rate swaps and their derivatives : a practitioner's guide / Amir Sadr.

Format:

Book

Author/Creator:

Sadr, Amir, 1963-

Series:

Wiley finance series.

Wiley finance series

Language:

English

Subjects (All):

Interest rate swaps.

Interest rate futures.

Derivative securities.

Physical Description:

1 online resource (274 p.)

Edition:

1st edition

Place of Publication:

Hoboken, NJ : Wiley, c2009.

Language Note:

English

System Details:

text file

Summary:

An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main ""rates"" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market.Provides a balance of relevant theory and real-world trading instruments

Contents:

Interest Rate Swaps and their Derivatives: A Practitioner's Guide; Contents; Preface; "RATES" MARKET; BACKGROUND; BOOK STRUCTURE; ACKNOWLEDGMENTS; About the Author; List of Symbols and Abbreviations; Part I: Cash, Repo, and Swap Markets; Chapter 1 :Bonds: It's All About Discounting; Chapter 2: Swaps: It's Still About Discounting; Chapter 3: Interest Rate Swaps in Practice; Chapter 4: Separating Forward Curve from Discount Curve; Part II: Interest-Rate Flow Options; Chapter 5: Derivatives Pricing: Risk-Neutral Valuation; Chapter 6: Black's World

Chapter 7: European-Style Interest-Rate DerivativesPart III: Interest-Rate Exotics; Chapter 8: Short-Rate Models; Chapter 9: Bermudan-Style Options; Chapter 10: Full Term-Structure Interest-Rate Models; Chapter 11: Forward-Measure Lens; Chapter 12: In Search of "The" Model; Appendix A: Taylor Series Expansion; FUNCTION OF ONE VARIABLE; FUNCTION OF SEVERAL VARIABLES; ITO'S LEMMA: TAYLOR SERIES FOR DIFFUSIONS; Appendix B: Mean-Reverting Processes; NORMAL DYNAMICS; LOG-NORMAL DYNAMICS; Appendix C: Girsanov's Theorem and Change of Numeraire; CONTINUOUS-TIME, INSTANTANEOUS-FORWARDS HJM FRAMEWORK

BGM RESULTNotes; Index

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786612369148

9781282369146

1282369148

9781118267967

1118267966

9780470526088

0470526084

OCLC:

497041417