Interest Rate Swaps and Their Derivatives: A Practitioner's Guide

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9780470443941: Interest Rate Swaps and Their Derivatives: A Practitioner's Guide

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.

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From the Inside Flap:

Interest rate swaps and their derivatives have become an integral part of the fixed income market, but many of the pricing and risk management issues for these now mainstream products can only be learned on a trading floor. While there are many books on fixed income and interest rate derivatives, they generally suffer from being either too elementary and bond-centric, mentioning swaps in passing, or too technical and focused on exotics and the myriad implementation issues and algorithms used to tackle them.

Rather than focusing on exotics, Interest Rate Swaps and Their Derivatives thoroughly covers the mainstream products—swaps, flow options, Bermudans, semi-exotics—showing the common pricing techniques while also explaining how to generalize the concepts to more nuanced products.

Author Amir Sadr, experienced as a quant, trader, financial software developer, and academic in the fixed income field, begins by presenting plain-vanilla swaps as an extension of fixed rate bonds—revealing how techniques for pricing these instruments are a generalization of similar methods used for pricing bonds and repos, and for the most part involve the concepts of financing cost, discount factors, and projection of forward curves. He then moves on to cover the options markets for flow products, including options on futures, caps and floors, and European swaptions—with detailed attention to the actual trading practice of these products. Sadr explains how, as with any option product, the pricing and risk management of these requires dealing with volatility as the main risk factor—and he shows that one does not need to have a PhD in math to understand options. Sadr presents risk-neutral valuation as the fundamental pricing paradigm for derivatives, and illustrates the core idea of dynamic replication in a simple binomial setting. This unified framework is used to derive industry-standard Black formula for flow products, and is developed into short-rate and full term-structure models for more complex interest rate exotics including Bermudans.

For current or aspiring practitioners in interest rate products, Interest Rate Swaps and Their Derivatives provides a sound working knowledge and appreciation of the main features of these products and their pricing and risk management issues.

From the Back Cover:

Praise for Interest Rate Swaps and Their Derivatives

"This is it! I have been looking for a practitioner's guide to interest rate derivatives for over ten years! Most 'new joiners' on Wall Street only gain this knowledge over years of apprenticeship with seasoned professionals. In his book, Amir Sadr explains not only the math behind the products, but the street lingo and, most importantly, the mechanics of everything from overnight repos to Bermudans."
—George Nunn, Head of Fixed Income Structuring, Americas, BNP Paribas

"Dr. Sadr has produced a single, comprehensive guide to the interest rate swap market. Bank dealers and corporate risk professionals already active in this market will find the book to be one of the best trading floor reference guides out there. Students who want the real-world insights of a seasoned professional will also discover Dr. Sadr's book to be an invaluable resource."
—Morris Sachs, Chief Risk Officer, 5:15 Capital

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Book Description John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Book Condition: New. 1. Auflage. Language: English . Brand New Book. 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. Bookseller Inventory # AAS9780470443941

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Book Description John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Book Condition: New. 1. Auflage. Language: English . Brand New Book. 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. Bookseller Inventory # AAS9780470443941

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