Swaps And Off Exchange Derivatives Trading
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Swaps And Off Exchange Derivatives Trading
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Author : Eric C. Bettelheim
language : en
Publisher:
Release Date : 1996
Swaps And Off Exchange Derivatives Trading written by Eric C. Bettelheim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Business & Economics categories.
Swaps And Other Derivatives
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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.
Swap Derivative Financing
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Author : Satyajit Das
language : en
Publisher: McGraw-Hill Companies
Release Date : 1994
Swap Derivative Financing written by Satyajit Das and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Business & Economics categories.
Addresses recent developments in the market and analyzes new swap structures. Explains the banking innovations, techniques and players that spawned this financial revolution. Specific topics include: The structure and operation of all major swap markets in North America, Europe and Asia; The economics and pricing of a wide variety of swap structures; Techniques for hedging swaps and managing a swap inventory; Using swaps to access low-cost funding and to manage asset/liability positions; Accounting, taxation, legal and documentary issues.
Derivatives Law And Regulation
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Author : Gary E. Kalbaugh
language : en
Publisher:
Release Date : 2018-05-27
Derivatives Law And Regulation written by Gary E. Kalbaugh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-27 with categories.
Discriminatory Pricing Of Over The Counter Derivatives
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Author : Hau Harald
language : en
Publisher: International Monetary Fund
Release Date : 2019-05-07
Discriminatory Pricing Of Over The Counter Derivatives written by Hau Harald and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-07 with Business & Economics categories.
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients.
Futurisation Of Swaps Otc Market Regulation With Mifir And Mifid Ii
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Author : Sabrina Schleimer
language : en
Publisher:
Release Date : 2018-08-16
Futurisation Of Swaps Otc Market Regulation With Mifir And Mifid Ii written by Sabrina Schleimer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-08-16 with categories.
Seminar paper from the year 2018 in the subject Business economics - Investment and Finance, grade: 1,0, University of Strathclyde (Business School), course: Derivatives and Treasury Management, language: English, abstract: The necessity of increased stabilisation and regulation of financial markets, especially over-the-counter markets, has received increased international attention following the financial crisis of 2007-08.1 Previously, swap markets were largely 'in the dark' when compared to exchange traded derivatives. The reactionary regulation, the Dodd-Frank Act, has severely tightened the OTC swaps markets through standardisation, increased collateral requirements and reporting standards and a more refined clearing mandate; to continue our analogy, it has sought to bring the swaps market into the light. Due to this increased regulation and subsequent increased costs associated with trading swaps, large swathes of swap trading migrated onto futures exchanges, in a process known as swap futurisation. This offered market participants regulatory certainty as well as a reduction in some of the more onerous costs and requirements under the Dodd-Frank Act. With eight years of trading under the Dodd-Frank regulation, our investigation into the advantages and disadvantages of swap futurisation will focus on trends seen in American data. Following on we will look more closely at the European Union's response, namely the Markets in Financial Instruments Directive II and the Markets in Financial Instruments Regulation.
H R 4062 The Financial Derivatives Supervisory Improvement Act Of 1998 And H R 4239 The Financial Contract Netting Improvement Act
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Author : United States. Congress. House. Committee on Banking and Financial Services
language : en
Publisher:
Release Date : 1998
H R 4062 The Financial Derivatives Supervisory Improvement Act Of 1998 And H R 4239 The Financial Contract Netting Improvement Act written by United States. Congress. House. Committee on Banking and Financial Services and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
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.
Regulation Of The Over The Counter Derivatives Market
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Author : United States. Congress. House. Committee on Agriculture. Subcommittee on Risk Management and Specialty Crops
language : en
Publisher:
Release Date : 1998
Regulation Of The Over The Counter Derivatives Market written by United States. Congress. House. Committee on Agriculture. Subcommittee on Risk Management and Specialty Crops and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
Derivatives Markets In India
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Author : Dr. Susan Thomas
language : en
Publisher: TATA McGraw-Hill Publishing Company
Release Date : 1998
Derivatives Markets In India written by Dr. Susan Thomas and has been published by TATA McGraw-Hill Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
Collection of articles presented at the First Indian Derivatives Conference, on December 10-12, 1997, organised by Invest India Economic Foundation.