Download or read book Interest Rate Swaps and Other Derivatives written by Howard Corb and published by Columbia University Press. This book was released on 2012-08-28 with total page 623 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Interest Rate Swaps and Their Derivatives written by Amir Sadr and published by John Wiley & Sons. This book was released on 2009-09-09 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Valuation of Interest Rate Swaps and Swaptions written by Gerald W. Buetow and published by John Wiley & Sons. This book was released on 2000-06-15 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.
Download or read book Understanding Interest Rate Swaps written by Mary S. Schaeffer and published by McGraw Hill Professional. This book was released on 1993-05-22 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shows what goes on in the daily operations of large Swap dealers and on the corporate user side as well. Highlights the potential trouble spots government regulators are zeroing in on. Shows how to master all the methodologies used in the international Swap market.
Download or read book Interest Rate Swaps written by Nasser Saber and published by Irwin Professional Publishing. This book was released on 1994 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In little more than a decade, the interest rate swap market has grown from zero to a phenomenal size of nearly $4 trillion. Corporate users in virtually all segments of the economy now find swaps the instrument of choice for a variety of trading, hedging, and funding activities." "Yet the very ease with which they can be adapted in different capacities lends an air of mystery to swaps. Many who have used an interest rate swap to meet a particular goal find that the same instrument was used at another time to meet a very different market need. Thus swaps, despite their convenience and popularity, are still commonly referred to as "complex" or "arcane." Interest Rate Swaps: Valuation, Trading, and Processing dispels the mystery surrounding these versatile tools, showing how they evolved naturally within the international financial marketplace and pointing out the similarities between swaps and more conventional treasury products. Interest Rate Swaps shows that valuation, pricing, and portfolio management of swaps likewise follow the most basic principles of finance." "This coherent overview also focuses on new issues specifically related to swaps, such as accounting and taxation, credit risk and capital adequacy requirement, and systems and back office processing. Presenting each chapter from the point of view of hands-on practitioners in the swap market, Interest Rate Swaps offers a macro to micro format, with each chapter beginning with general background and then gradually moving to operational details; a description of different interest rate swaps and their applications; numerous examples of valuation, accounting, and credit exposure calculation - with a description of the numerical methods used in these areas; a checklist for running a successful swap back office; and reconciliation and control methods between front and back office systems." "Interest Rate Swaps is the first-ever coherent overview of swaps that offers users a full perspective on different aspects of these versatile instruments."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Download or read book Pricing and Trading Interest Rate Derivatives written by J Hamish M Darbyshire and published by Aitch & Dee Limited. This book was released on 2022-08-07 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Interest Rate Markets written by Siddhartha Jha and published by John Wiley & Sons. This book was released on 2011-02-11 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Advanced Interest Rate and Currency Swaps written by Ravi E. Dattatreya and published by McGraw-Hill Companies. This book was released on 1994 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyzes and integrates the latest developments in this rapidly changing fields. Chapters by financial officers at major corporations such as Rolls Royce, PepsiCo, United Technology and Siemens Electronics further enhance the value of this truly unique book. Topics include: New products, such as indexed and cross-rate swaps; Managing swap credit risk; Liability hedging using swaps; Risk management at major corporations; Financial risk management for developing countries.
Download or read book Bond Math written by Donald J. Smith and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the theory behind bond math formulas Bond Math explores the ideas and assumptions behind commonly used statistics on risk and return for individual bonds and on fixed income portfolios. But this book is much more than a series of formulas and calculations; the emphasis is on how to think about and use bond math. Author Donald J. Smith, a professor at Boston University and an experienced executive trainer, covers in detail money market rates, periodicity conversions, bond yields to maturity and horizon yields, the implied probability of default, after-tax rates of return, implied forward and spot rates, and duration and convexity. These calculations are used on traditional fixed-rate and zero-coupon bonds, as well as floating-rate notes, inflation-indexed securities, and interest rate swaps. Puts bond math in perspective through discussions of bond portfolios and investment strategies. Critiques the Bloomberg Yield Analysis (YA) page, indicating which numbers provide reliable information for making decisions about bonds, which are meaningless data, and which can be very misleading to investors Filled with thought-provoking insights and practical advice, this book puts the intricacies of bond math into a clear and logical order.
Download or read book Money and Mathematics written by Ralf Korn and published by Springer Nature. This book was released on 2021-10-26 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book follows a conversational approach in five dozen stories that provide an insight into the colorful world of financial mathematics and financial markets in a relaxed, accessible and entertaining form. The authors present various topics such as returns, real interest rates, present values, arbitrage, replication, options, swaps, the Black-Scholes formula and many more. The readers will learn how to discover, analyze, and deal with the many financial mathematical decisions the daily routine constantly demands. The book covers a wide field in terms of scope and thematic diversity. Numerous stories are inspired by the fields of deterministic financial mathematics, option valuation, portfolio optimization and actuarial mathematics. The book also contains a collection of basic concepts and formulas of financial mathematics and of probability theory. Thus, also readers new to the subject will be provided with all the necessary information to verify the calculations.
Download or read book Fixed Income Securities written by Bruce Tuckman and published by John Wiley & Sons. This book was released on 2011-10-13 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates.
Download or read book Key Financial Market Concepts written by Bob Steiner and published by Pearson UK. This book was released on 2012-09-07 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: Key Financial Market Concepts is the ultimate reference tool for anyone working in the finance industry, explaining the 100 essential financial market terms. It provides you with a definition of what each concept is, how it works, when it is likely to arise, how it’s calculated and how best to use it. You’ll also get access to many of the formulas used, already programmed into a Microsoft Excel spreadsheet. From simple and compound interest, through to bonds and yields and the Black and Scholes model, this book has it covered. The full text downloaded to your computer With eBooks you can: search for key concepts, words and phrases make highlights and notes as you study share your notes with friends eBooks are downloaded to your computer and accessible either offline through the Bookshelf (available as a free download), available online and also via the iPad and Android apps. Upon purchase, you'll gain instant access to this eBook. Time limit The eBooks products do not have an expiry date. You will continue to access your digital ebook products whilst you have your Bookshelf installed.
Download or read book Collateral Management written by Michael Simmons and published by John Wiley & Sons. This book was released on 2019-02-18 with total page 839 pages. Available in PDF, EPUB and Kindle. Book excerpt: Insight into collateral management and its increasing relevance in modern banking In the wake of recent financial crises, firms of all sizes have adjusted their policies to incorporate more frequent instances of collateral management. Collateral Management: A Guide to Mitigating Counterparty Risk explains the connection between the need for collateral management in order to alleviate counterparty risk and the actions that firms must take to achieve it. Targeted at middle and back office managers seeking a hands-on explanation of the specifics of collateral management, this book offers a thorough treatment of the subject and attends to details such as internal record management, daily procedures used in making and receiving collateral calls, and settlement-related issues that affect the movements of cash and securities collateral. An expert in financial topics ranging from trade lifecycle to operational risk, author Michael Simmons offers readers insight into a field that, so far, is struggling to produce enough expertise to meet its high demand. Presents hands-on advice and examples from a bestselling, internationally renowned author who introduces his third book on operations and operations-related activities Explains the relationship between collateral management and preventing institutional defaults, such as the recent Lehman Brothers downfall Since 2008, firms have recognized and embraced the importance of collateral management, but this book will provide practitioners with a deeper understanding and appreciation of its relevance.
Download or read book Introduction to Securitization written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2008-06-06 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction to Securitization outlines the basics of securitization, addressing applications for this technology to mortgages, collateralized debt obligations, future flows, credit cards, and auto loans. The authors present a comprehensive overview of the topic based on the experience they have gathered through years of interaction with practitioners and graduate students around the world. The authors offer coverage of such key topics as: structuring agency MBS deals and nonagency deals, credit enhancements and sizing, using interest rate derivatives in securitization transactions, asset classes securitized, operational risk factors, implications for financial markets, and applying securitization technology to CDOs. Finally, in the appendices, the authors provide an essential introduction to credit derivatives, an explanation of the methodology for the valuation of MBS/ABS, and the estimation of interest rate risk. Securitization is a financial technique that pools assets together and, in effect, turns them into a tradable security. The end result of a securitization transaction is that a corporation can obtain proceeds by selling assets and not borrowing funds. In real life, many securitization structures are quite complex and enigmatic for practitioners, investors, and finance students. Typically, books detailing this topic are either too lengthy, too technical, or too superficial in their presentation. Introduction to Securitization is the first to offer essential information on this topic at a fundamental, yet comprehensive level-providing readers with a working understanding of what has become one of today's most important areas of finance. Authors Frank Fabozzi and Vinod Kothari, internationally recognized experts in the field, clearly define securitization, contrast it with corporate finance, and explain its advantages. They carefully illustrate the structuring of asset-backed securities (ABS) transactions, including agency mortgage-backed securities (MBS) deals and nonagency deals, and show the use of credit enhancements and interest rate derivatives in such transactions. They review the collateral classes in ABS, such as retail loans, credit cards, and future flows, and discuss ongoing funding vehicles such as asset-backed commercial paper conduits and other structured vehicles. And they explain the different types of collateralized debt obligations (CDOs) and structured credit, detailing their structuring and analysis. To complement the discussion, an introduction to credit derivatives is also provided. The authors conclude with a close look at securitization's impact on the financial markets and the economy, with a review of the now well-documented problems of the securitization of one asset class: subprime mortgages. While questions about the contribution of securitization have been tainted by the subprime mortgage crisis, it remains an important process for corporations, municipalities, and government entities seeking funding. The significance of this financial innovation is that it has been an important form of raising capital for corporations and government entities throughout the world, as well as a vehicle for risk management. Introduction to Securitization offers practitioners and students a simple and comprehensive entry into the interesting world of securitization and structured credit.
Download or read book Interest Rate and Currency Swaps written by Keith Brown and published by Wiley. This book was released on 2000-04-14 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest Rate and Currency Swaps: A Tutorial is a thorough discussion of two useful and widely used forms of derivatives-interest rate and currency swaps. The authors provide step-by-step instructions and real-life examples of how to use the swaps. Exercises (and solutions) after each chapter permit readers to learn by doing, and the book contains a comprehensive bibliography.
Download or read book Fair Value Measurements written by International Accounting Standards Board and published by . This book was released on 2006 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
