Pricing And Trading Interest Rate Derivatives

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Pricing And Trading Interest Rate Derivatives

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Author : J Hamish M Darbyshire
language : en
Publisher: Aitch & Dee Limited
Release Date : 2022-08-07

Pricing And Trading Interest Rate Derivatives written by J Hamish M Darbyshire and has been published by Aitch & Dee Limited this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-08-07 with categories.

The most professional and industry relatable text currently available for linear interest rate derivatives. Written by a practicing derivatives portfolio manager with over fifteen years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multi-currency), risk, credit and CSAs, regulations, VaR and PCA, volatility, cross-gamma, trade strategy analysis and market moving influences. The book's focus is interest rate swaps and cross-currency swaps, updated for a risk free rate (RFR, such as SOFR and ESTR) framework as opposed to LIBOR. Topics are presented from that perspective, outlining the importance of regulations in an IRD capacity, with volatility and swaptions taught from a practical point of view rather than an overly cumbersome academic one. This third edition (2022) markedly expands the second edition (2017), by not only providing extensive analysis but also building up a modern codebase, step-by-step, in Python. It constructs and solves interest rate curves and goes on to implement risk and cross-gamma calculations, demonstrating the implementation of automatic differentiation for superior efficiency. Read more at https: //github.com/attack68/book_irds3. The treatment of risk is expansive and thorough. The author formally analyses modern market-maker techniques to accurately predict PnL, and successfully implement multiple, consistent perspectives to view all details of risks. Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. Certainly this book sets the benchmark for the level of expertise that swaps traders should strive for, and the style is aimed at the novice and professional alike.

Pricing And Trading Interest Rate Derivatives

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Author : J. H. M. Darbyshire
language : en
Publisher:
Release Date : 2017-05-17

Pricing And Trading Interest Rate Derivatives written by J. H. M. Darbyshire and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-17 with Derivative securities categories.

The most professional and industry relatable text currently available for linear interest rate derivatives. This revised edition markedly expands the first edition released in 2016, with revised content based on multiple recommendations from active portfolio managers. Learn more at TradingInterestRates.com.. Written by a practicing derivatives portfolio manager with over twelve years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multi-currency), risk, credit and CSAs, regulations, VaR and PCA, volatility, cross-gamma, trade strategy analysis and market moving influences. The book's focus is interest rate swaps and cross-currency swaps. Topics are presented from that perspective, outlining the importance of regulations in an IRD capacity, with volatility and swaptions taught from a practical point of view rather than an overly cumbersome academic one. The treatment of risk is expansive and thorough. The author formally analyses modern market-maker techniques to accurately predict PnL, and successfully implement multiple, consistent perspectives to view all details of risks. Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. Certainly this book sets the benchmark for the level of expertise that swaps traders should strive for, and the style is aimed at the novice and professional alike.

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.

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.

Modern Pricing Of Interest Rate Derivatives

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Author : Riccardo Rebonato
language : en
Publisher: Princeton University Press
Release Date : 2002-11-24

Modern Pricing Of Interest Rate Derivatives written by Riccardo Rebonato and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-11-24 with Business & Economics categories.

In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.

Trading And Pricing Financial Derivatives

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Author : Patrick Boyle
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2018-12-17

Trading And Pricing Financial Derivatives written by Patrick Boyle and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-17 with Business & Economics categories.

Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

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

Derivatives Trading And Option Pricing

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Author : Nicholas Dunbar
language : en
Publisher:
Release Date : 2005-01

Derivatives Trading And Option Pricing written by Nicholas Dunbar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-01 with Derivative securities categories.

An important collection of cutting edge technical papers that brings together both recent and vintage work on quantitative finance.

Interest Rate Derivatives Explained

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Author : Joerg Kienitz
language : en
Publisher:
Release Date : 2014

Interest Rate Derivatives Explained written by Joerg Kienitz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Fixed-income securities categories.

Derivatives

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Author : Jiří Witzany
language : en
Publisher: Springer Nature
Release Date : 2020-11-04

Derivatives written by Jiří Witzany and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-11-04 with Business & Economics categories.

This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses.