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.
"synopsis" may belong to another edition of this title.
"Richard once again shows his rare gift of simplifying complex issues in a very practical way in this book. His building block approach ensures there is value to be had for all readers; for the non-quantitatively-adept practitioner or executive there is an easily understood conceptual framework off which to gain a sound understanding of the main-stream derivative market, and for the more quantitative reader this book will serve as a well structured reference framework by which to consider and value most main-stream derivative instruments, as well as manage attendant risks. Richard's books have long been one of my first ports of call in developing my own understanding of the market and of valuation. I have never hesitated to recommend the same to others. This book does not look likely to break that trend."
—Peter Blenkinsop, Global Head of Risk, Rand Merchant Bank, a division of FirstRand Bank Limited
"About this title" may belong to another edition of this title.
Shipping:
US$ 2.64
Within U.S.A.
Book Description Condition: New. Seller Inventory # 5630456-n
Book Description hardback. Condition: New. Language: ENG. Seller Inventory # 9780470721919
Book Description Condition: new. Seller Inventory # 94fe02a06b83d99d887b5c53e35d52da
Book Description Condition: New. Seller Inventory # 5630456-n
Book Description Hardback. Condition: New. New copy - Usually dispatched within 4 working days. * Focuses on the pricing and hedging of swaps, showing how various models work in practice and how they can be built and also covers options and interest rates as they relate to swaps, as they are often traded together. Seller Inventory # B9780470721919
Book Description HRD. Condition: New. New Book. Shipped from UK. Established seller since 2000. Seller Inventory # FW-9780470721919
Book Description Condition: New. 2010. 2nd Edition. Hardcover. * Focuses on the pricing and hedging of swaps, showing how various models work in practice and how they can be built and also covers options and interest rates as they relate to swaps, as they are often traded together. Series: Wiley Finance Series. Num Pages: 392 pages, Illustrations. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 252 x 195 x 29. Weight in Grams: 922. . . . . . Seller Inventory # V9780470721919
Book Description Hardcover. Condition: Brand New. 2nd edition. 480 pages. 10.00x7.75x1.00 inches. In Stock. Seller Inventory # __047072191X
Book Description Gebunden. Condition: New. Richard Flavell has spent over twenty years working as a financial engineer, consultant and trainer, specialising in complex derivatives and risk management. he spent seven years as Director of Financial Engineering at Lombard Risk, where he was responsible. Seller Inventory # 5917959
Book Description Condition: New. 2010. 2nd Edition. Hardcover. * Focuses on the pricing and hedging of swaps, showing how various models work in practice and how they can be built and also covers options and interest rates as they relate to swaps, as they are often traded together. Series: Wiley Finance Series. Num Pages: 392 pages, Illustrations. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 252 x 195 x 29. Weight in Grams: 922. . . . . . Books ship from the US and Ireland. Seller Inventory # V9780470721919