Interest Rate Swaps
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Interest Rate Swaps and Their Derivatives
Author | : Amir Sadr |
Publsiher | : John Wiley & Sons |
Total Pages | : 276 |
Release | : 2009-09-09 |
Genre | : Business & Economics |
ISBN | : 9780470443941 |
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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
Author | : Howard Corb |
Publsiher | : Columbia University Press |
Total Pages | : 623 |
Release | : 2012-08-28 |
Genre | : Business & Economics |
ISBN | : 9780231530361 |
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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 Swaps
Author | : Carl R. Beidleman |
Publsiher | : Irwin Professional Publishing |
Total Pages | : 550 |
Release | : 1991 |
Genre | : Foreign exchange futures |
ISBN | : UOM:49015001341156 |
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This broad overview of swaps brings you the experience of prominent international authorities who explain how to effectively manage interest rate risk.
Understanding Interest Rate Swaps
Author | : Mary S. Schaeffer,Mary S. Ludwig |
Publsiher | : McGraw Hill Professional |
Total Pages | : 334 |
Release | : 1993-05-22 |
Genre | : Business & Economics |
ISBN | : 0070390207 |
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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.
Valuation of Interest Rate Swaps and Swaptions
Author | : Gerald W. Buetow,Frank J. Fabozzi |
Publsiher | : John Wiley & Sons |
Total Pages | : 258 |
Release | : 2000-06-15 |
Genre | : Business & Economics |
ISBN | : 1883249899 |
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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.
Interest Rate Swaps and Other Derivatives
Author | : Howard Corb |
Publsiher | : Columbia University Press |
Total Pages | : 624 |
Release | : 2012 |
Genre | : Business & Economics |
ISBN | : 9780231159647 |
Download Interest Rate Swaps and Other Derivatives Book in PDF, Epub and Kindle
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.
Pricing and Trading Interest Rate Derivatives
Author | : J Hamish M Darbyshire |
Publsiher | : Aitch & Dee Limited |
Total Pages | : 0 |
Release | : 2022-08-07 |
Genre | : Electronic Book |
ISBN | : 0995455538 |
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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.
Interest rate Swaps
Author | : Brian Coyle |
Publsiher | : Global Professional Publishi |
Total Pages | : 172 |
Release | : 2001 |
Genre | : Business & Economics |
ISBN | : 0852974434 |
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� Worked examples illustrating key points � Explanation of complex or obscure terms � Full glossary of terms The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management. Topics include: What are interest rate swaps? Liability swaps and swap rates, matched swap payments, assets swaps, non-generic swaps, swaps and financial risk, and valuation swaps and the administration of swaps.