Interest Rate Markets
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Interest Rate Markets
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Author : Siddhartha Jha
language : en
Publisher: John Wiley & Sons
Release Date : 2011-03-28
Interest Rate Markets written by Siddhartha Jha and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-28 with Business & Economics categories.
How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models
Interest Rate Swaps And Other Derivatives
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Author : Howard Corb
language : en
Publisher: Columbia University Press
Release Date : 2012-08-28
Interest Rate Swaps And Other Derivatives written by Howard Corb and has been published by Columbia University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-28 with Business & Economics categories.
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.
Interest Rate Futures Markets And Capital Market Theory
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Author : Klaus Kobold
language : en
Publisher: Walter de Gruyter
Release Date : 2011-07-22
Interest Rate Futures Markets And Capital Market Theory written by Klaus Kobold and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-22 with Business & Economics categories.
Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk.
Financial Market Rates And Flows
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Author : James C. Van Horne
language : en
Publisher:
Release Date : 2001
Financial Market Rates And Flows written by James C. Van Horne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business & Economics categories.
This book explores the behavior of interest rates as they relate to changing market conditions, and examines how risk can be managed. It successfully bridges the gap between interest-rate theory and its application to fixed-income security portfolio management.Coverage includes the function of financial markets, the flow-of-funds system, foundations for interest rates, inflation and returns, derivative securities, the influence of taxes, and the social l allocation of capital.For those in the financial community, in business, and in government, who are concerned with investing in or issuing fixed-income securities.
Interest Rate Derivatives Explained
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Author : J. Kienitz
language : en
Publisher: Springer
Release Date : 2014-12-05
Interest Rate Derivatives Explained written by J. Kienitz and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-05 with Business & Economics categories.
Aimed at practitioners who need to understand the current fixed income markets and learn the techniques necessary to master the fundamentals, this book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments.
Interest Rate Swaps And Their Derivatives
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Author : Amir Sadr
language : en
Publisher: John Wiley & Sons
Release Date : 2009-09-09
Interest Rate Swaps And Their Derivatives written by Amir Sadr and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-09 with Business & Economics categories.
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.
Fixed Income And Interest Rate Derivative Analysis
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Author : Mark Britten-Jones
language : en
Publisher: Elsevier
Release Date : 1998-10-15
Fixed Income And Interest Rate Derivative Analysis written by Mark Britten-Jones and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-10-15 with Business & Economics categories.
Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts. Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding. Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance. A comprehensive and accessible explanation of underlying theory, and its practical application Case studies and worked examples from around the world's capital markets How to use spreadsheet modelling in fixed income and interest rate derivative valuation
Modern Interest Rate Markets And Models
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Author : Marco Bianchetti
language : en
Publisher:
Release Date : 2015-04-01
Modern Interest Rate Markets And Models written by Marco Bianchetti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-01 with Business & Economics categories.
Interest Rate Management
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Author : Rudi Zagst
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Interest Rate Management written by Rudi Zagst and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Business & Economics categories.
This book combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook on financial markets for graduate and PhD students in mathematics. Interesting and comprehensive case studies illustrate the theoretical concepts.
Analytical Finance Volume Ii
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Author : Jan R. M. Röman
language : en
Publisher: Springer
Release Date : 2017-11-30
Analytical Finance Volume Ii written by Jan R. M. Röman and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-30 with Business & Economics categories.
Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author’s many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application. Coverage includes: • Date arithmetic’s, quote types of interest rate instruments • The interbank market and reference rates, including negative rates• Valuation and modeling of IR instruments; bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others • Bootstrapping and how to create interest rate curves from prices of traded instruments• Risk measures of IR instruments• Option Adjusted Spread and embedded options• The term structure equation, martingale measures and stochastic processes of interest rates; Vasicek, Ho-Lee, Hull-While, CIR• Numerical models; Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton–Raphson in 2 dimension• The Heath-Jarrow-Morton framework• Forward measures and general option pricing models• Black log-normal and, normal model for derivatives, market models and managing exotics instruments• Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA