Pricing And Trading Interest Rate Derivatives
DOWNLOAD
Download Pricing And Trading Interest Rate Derivatives PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Pricing And Trading Interest Rate Derivatives book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Pricing And Trading Interest Rate Derivatives
DOWNLOAD
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.
The Pricing And Trading Of Interest Rate Derivatives
DOWNLOAD
Author : J. H. M. Darbyshire
language : en
Publisher:
Release Date : 2016
The Pricing And Trading Of 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 2016 with categories.
Interest Rate Swaps And Their Derivatives
DOWNLOAD
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
DOWNLOAD
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.
Swaps And Other Derivatives
DOWNLOAD
Author : Richard R. Flavell
language : en
Publisher: John Wiley & Sons
Release Date : 2010-01-19
Swaps And Other Derivatives written by Richard R. Flavell 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 2010-01-19 with Business & Economics categories.
"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.
Interest Rate Markets
DOWNLOAD
Author : Siddhartha Jha
language : en
Publisher: John Wiley & Sons
Release Date : 2011-02-11
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 2011-02-11 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 Derivatives
DOWNLOAD
Author : Todd James
language : en
Publisher:
Release Date : 2006-01
Interest Rate Derivatives written by Todd James and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01 with Corporations categories.
Written in a straightforward, clearly structured manner with extensive use of worked examples, this easy to use book gives you an explanation of both basic and advanced principles for the valuation of interest rate derivatives and their hedging applications.
Trading And Pricing Financial Derivatives
DOWNLOAD
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 Swaps And Other Derivatives
DOWNLOAD
Author : Howard Corb
language : en
Publisher: Columbia University Press
Release Date : 2012
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 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 Derivatives
DOWNLOAD
Author : Richard Fedrick
language : en
Publisher:
Release Date : 2012-08-20
Interest Rate Derivatives written by Richard Fedrick and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-20 with Derivative securities categories.
A comprehensive, technically rigorous guide to interest-rate derivatives from a trading floor perspective This book provides extensive coverage of bonds and money markets; yield curves; interest-rate and cross-currency swaps; swaps risk-management; breakdowns of classical swaps pricing in the credit crunch; and modern multi-curve calibration methodologies. It closes with a section on counterparty credity risk for swaps, an issue that has come to the forefront of market practice in the aftermatch of the financial crisis. Written by a practitioner for practitioners, Interest-Rate Derivatives, Volume 1 is the ideal reference for derivatives practitioners everywhere.