Home > Business and Economics > Finance and accounting > Finance and the finance industry > Investment and securities > Interest Rate Swaps and Their Derivatives: A Practitioner's Guide(Wiley Finance)
28%
Interest Rate Swaps and Their Derivatives: A Practitioner's Guide(Wiley Finance)

Interest Rate Swaps and Their Derivatives: A Practitioner's Guide(Wiley Finance)

          
5
4
3
2
1

Premium quality
Premium quality
Bookswagon upholds the quality by delivering untarnished books. Quality, services and satisfaction are everything for us!
Easy Return
Easy return
Not satisfied with this product! Keep it in original condition and packaging to avail easy return policy.
Certified product
Certified product
First impression is the last impression! Address the book’s certification page, ISBN, publisher’s name, copyright page and print quality.
Secure Checkout
Secure checkout
Security at its finest! Login, browse, purchase and pay, every step is safe and secured.
Money back guarantee
Money-back guarantee:
It’s all about customers! For any kind of bad experience with the product, get your actual amount back after returning the product.
On time delivery
On-time delivery
At your doorstep on time! Get this book delivered without any delay.
Quantity:
Add to Wishlist
X

About the Book

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 for rate swaps and swap derivatives Uses simple settings and illustrations to reveal key results Written by an experienced trader who has worked with swaps, options, and exotics With this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations.

Table of Contents:
Preface ix “Rates” Market ix Background ix Book Structure xi Acknowledgments xvii About the Author xix List of Symbols and Abbreviations xxi Part One Cash, Repo, and Swap Markets 1 Chapter 1 Bonds: It’s All About Discounting 3 Time Value of Money: Future Value, Present Value 3 Price-Yield Formula 5 PV01, PVBP, Convexity 11 Repo, Reverse Repo 16 Forward Price/Yield, Carry, Roll-Down 19 Chapter 2 Swaps: It’s Still About Discounting 25 Discount Factor Curve, Zero Curve 26 Forward Rate Curve 27 Par-Swap Curve 31 Construction of the Swap/Libor Curve 34 Chapter 3 Interest Rate Swaps in Practice 43 Market Instruments 43 Swap Trading—Rates or Spreads 48 Swap Spreads 51 Risk, PV01, Gamma Ladder 56 Calendar Rules, Date Minutiae 59 Chapter 4 Separating Forward Curve from Discount Curve 67 Forward Curves for Assets 67 Implied Forward Rates 69 Float/Float Swaps 70 Libor/Libor Basis Swaps 73 Overnight Indexed Swaps (OIS) 75 Part Two Interest-Rate Flow Options 77 Chapter 5 Derivatives Pricing: Risk-Neutral Valuation 79 European-Style Contingent Claims 80 One-Step Binomial Model 80 From One Time-Step to Two 84 From Two Time-Steps to 90 Relative Prices 91 Risk-Neutral Valuation: All Relative Prices Must be Martingales 92 Interest-Rate Options Are Inherently Difficult to Value 93 From Binomial Model to Equivalent Martingale Measures 94 Chapter 6 Black’s World 97 A Little Bit of Randomness 97 Modeling Asset Changes 103 Black-Scholes-Merton/Black Formulae 104 Greeks 112 Digitals 116 Call Is All You Need 117 Calendar/Business Days, Event Vols 120 Chapter 7 European-Style Interest-Rate Derivatives 123 Market Practice 124 Interest-Rate Option Trades 124 Caplets/Floorlets: Options on Forward Rates 125 European-Style Swaptions 129 Skews, Smiles 137 CMS Products 140 Bond Options 147 Part Three Interest-Rate Exotics 149 Chapter 8 Short-Rate Models 151 A Quick Tour 152 Dynamics to Implementation 153 Lattice/Tree Implementation 154 BDT Lattice Model 156 Hull-White, Black-Karasinski Models 168 Simulation Implementation 169 Chapter 9 Bermudan-Style Options 175 Bellman’s Equation—Backward Induction 176 Bermudan Swaptions 177 Bermudan Cancelable Swaps, Callable/Puttable Bonds 180 Bermudan-Style Options in Simulation Implementation 183 Chapter 10 Full Term-Structure Interest-Rate Models 185 Shifting Focus from Short Rate to Full Curve: Ho-Lee Model 186 Heath-Jarrow-Morton (HJM) Full Term-Structure Framework 186 Discrete-Time, Discrete-Tenor HJM Framework 188 Forward-Forward Volatility 191 Multifactor Models 197 HJM Framework Typically Leads to Nonrecombining Trees 199 Chapter 11 Forward-Measure Lens 201 Numeraires Are Arbitrary 201 Forward Measures 206 BGM/Jamshidian Results 208 Different Measures for Different Rates 210 “Classic” or “New Improved”: Pick Your Poison! 212 Chapter 12 In Search of “The” Model 215 Migration to Full-Term Structure Models 215 Implementation Era 216 Model versus Market: Liquidity and Concentration Risk 216 Complexity Risk 217 Remaining Challenges 218 Appendix A Taylor Series Expansion 219 Function of One Variable 219 Function of Several Variables 220 Ito’s Lemma: Taylor Series for Diffusions 220 Appendix B Mean-Reverting Processes 223 Normal Dynamics 224 Log-Normal Dynamics 226 Appendix C Girsanov’s Theorem and Change of Numeraire 229 Continuous-Time, Instantaneous-Forwards HJM Framework 230 BGM Result 232 Notes 235 Index 239


Best Sellers


Product Details
  • ISBN-13: 9780470443941
  • Publisher: John Wiley & Sons Inc
  • Publisher Imprint: John Wiley & Sons Inc
  • Depth: 25
  • Language: English
  • Returnable: N
  • Spine Width: 25 mm
  • Weight: 453 gr
  • ISBN-10: 0470443944
  • Publisher Date: 11 Sep 2009
  • Binding: Hardback
  • Height: 231 mm
  • No of Pages: 272
  • Series Title: Wiley Finance
  • Sub Title: A Practitioner's Guide
  • Width: 158 mm


Similar Products

How would you rate your experience shopping for books on Bookswagon?

Add Photo
Add Photo

Customer Reviews

REVIEWS           
Click Here To Be The First to Review this Product
Interest Rate Swaps and Their Derivatives: A Practitioner's Guide(Wiley Finance)
John Wiley & Sons Inc -
Interest Rate Swaps and Their Derivatives: A Practitioner's Guide(Wiley Finance)
Writing guidlines
We want to publish your review, so please:
  • keep your review on the product. Review's that defame author's character will be rejected.
  • Keep your review focused on the product.
  • Avoid writing about customer service. contact us instead if you have issue requiring immediate attention.
  • Refrain from mentioning competitors or the specific price you paid for the product.
  • Do not include any personally identifiable information, such as full names.

Interest Rate Swaps and Their Derivatives: A Practitioner's Guide(Wiley Finance)

Required fields are marked with *

Review Title*
Review
    Add Photo Add up to 6 photos
    Would you recommend this product to a friend?
    Tag this Book
    Read more
    Does your review contain spoilers?
    What type of reader best describes you?
    I agree to the terms & conditions
    You may receive emails regarding this submission. Any emails will include the ability to opt-out of future communications.

    CUSTOMER RATINGS AND REVIEWS AND QUESTIONS AND ANSWERS TERMS OF USE

    These Terms of Use govern your conduct associated with the Customer Ratings and Reviews and/or Questions and Answers service offered by Bookswagon (the "CRR Service").


    By submitting any content to Bookswagon, you guarantee that:
    • You are the sole author and owner of the intellectual property rights in the content;
    • All "moral rights" that you may have in such content have been voluntarily waived by you;
    • All content that you post is accurate;
    • You are at least 13 years old;
    • Use of the content you supply does not violate these Terms of Use and will not cause injury to any person or entity.
    You further agree that you may not submit any content:
    • That is known by you to be false, inaccurate or misleading;
    • That infringes any third party's copyright, patent, trademark, trade secret or other proprietary rights or rights of publicity or privacy;
    • That violates any law, statute, ordinance or regulation (including, but not limited to, those governing, consumer protection, unfair competition, anti-discrimination or false advertising);
    • That is, or may reasonably be considered to be, defamatory, libelous, hateful, racially or religiously biased or offensive, unlawfully threatening or unlawfully harassing to any individual, partnership or corporation;
    • For which you were compensated or granted any consideration by any unapproved third party;
    • That includes any information that references other websites, addresses, email addresses, contact information or phone numbers;
    • That contains any computer viruses, worms or other potentially damaging computer programs or files.
    You agree to indemnify and hold Bookswagon (and its officers, directors, agents, subsidiaries, joint ventures, employees and third-party service providers, including but not limited to Bazaarvoice, Inc.), harmless from all claims, demands, and damages (actual and consequential) of every kind and nature, known and unknown including reasonable attorneys' fees, arising out of a breach of your representations and warranties set forth above, or your violation of any law or the rights of a third party.


    For any content that you submit, you grant Bookswagon a perpetual, irrevocable, royalty-free, transferable right and license to use, copy, modify, delete in its entirety, adapt, publish, translate, create derivative works from and/or sell, transfer, and/or distribute such content and/or incorporate such content into any form, medium or technology throughout the world without compensation to you. Additionally,  Bookswagon may transfer or share any personal information that you submit with its third-party service providers, including but not limited to Bazaarvoice, Inc. in accordance with  Privacy Policy


    All content that you submit may be used at Bookswagon's sole discretion. Bookswagon reserves the right to change, condense, withhold publication, remove or delete any content on Bookswagon's website that Bookswagon deems, in its sole discretion, to violate the content guidelines or any other provision of these Terms of Use.  Bookswagon does not guarantee that you will have any recourse through Bookswagon to edit or delete any content you have submitted. Ratings and written comments are generally posted within two to four business days. However, Bookswagon reserves the right to remove or to refuse to post any submission to the extent authorized by law. You acknowledge that you, not Bookswagon, are responsible for the contents of your submission. None of the content that you submit shall be subject to any obligation of confidence on the part of Bookswagon, its agents, subsidiaries, affiliates, partners or third party service providers (including but not limited to Bazaarvoice, Inc.)and their respective directors, officers and employees.

    Accept

    New Arrivals


    Inspired by your browsing history


    Your review has been submitted!

    You've already reviewed this product!
    ASK VIDYA