Swaps and Financial Derivatives: Products, Pricing, Applications and Risk Management (4 Volume Set) (Wiley Finance)

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9780470821091: Swaps and Financial Derivatives: Products, Pricing, Applications and Risk Management (4 Volume Set) (Wiley Finance)
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Swaps/ Financial Derivatives - Third Edition is a unique, authoritative and comprehensive reference work for practitioners on derivatives. It brings together all aspects of derivative instruments within a cohesive and integrated framework covering:

  • Derivative instruments including exchange-traded markets and over-the-counter markets
  • Pricing, valuation and trading/hedging of derivatives.
  • Management of market, credit and other risk associated with derivatives trading.
  • Documentation, accounting, taxation and regulatory aspects of derivatives.
  • Applications of derivatives.
  • Derivative structures including synthetic asset structures using derivatives, exotic options, interest rate/ currency, equity, commodity (energy, metals and agricultural), credit and new derivative markets (insurance, weather, inflation/ macro-economic indicators, property and emissions)

Key Features of Swaps/ Financial Derivatives include:

  • Unparalleled up-to-date coverage of derivative markets in all asset classes.
  • Written by experienced practitioner.
  • Practical approach using actual transactions that are analysed to illustrate the structure, application, pricing, hedging and risk management of individual instruments.
  • Four volumes; 4,500 pages;
  • Hundreds of Exhibits and diagrams
  • Detailed Index and extensive references

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From the Back Cover:

Volume 1 consists of 4 Parts divided into 16 Chapters covering the role and function of derivatives, basic derivative instruments [exchange traded products (futures and options on futures contracts) and over-the-counter products(forwards, options and swaps)], the pricing and valuation of derivative instruments, and derivative trading and portfolio management.

Volume 2 consists of 8 Parts and 18 Chapters covering risk management, market risk metodologies (including VAR and stress testing), credit risk in derivative transactions, other derivative trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers  documentation/legal aspects of derivative transactions (including the ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities dealers (including the Basel framework for capital to be held against credit and market risk).

Volume 3 consists of 4 Parts and 20 Chapters covering applications of derivatives, the creation of synthetic assets using derivatives (such as asset swaps, structured notes and repackaged assests), exotic options, and non-generic derivative structures used in interest rate and currency markets (including non-generic swaps, basis (floating-to-floating) swaps, swaptions (options on interest rate swaps), callable bonds, CMT products, IAR products, interest rate and currency structured products).

Volume 4 consists of 5 Parts and 21 Chapters covering equity derivatives (including equity swaps/options, convertible securities and equity linked notes), commodity derivatives (including energy, metal and agricultural derivatives), credit derivatives (including inflation linked derivatives and notes, insurance derivatives, weather derivatives, property, bandwidth.telephone minutes, macro-economic index and emission/environmental derivatives) and tax based applications of derivatives. It also covers the structure and evolution of derivative markets including electronic trading markets and the origins, evolution and prospects for derivative markets. 

About the Author:

Satyajit Das is an international specialist in the area of financial derivatives and risk management and capital markets. He presents seminars on financial derivatives/ risk management and capital markets in Europe, North America, Asia and Australia. He acts as a consultant to financial institutions and corporations on derivatives and financial products, risk management, and capital markets issues.Between 1988 and 1994, Das was the Treasurer of the TNT Group, an Australian based international transport and logistics company with responsibility for the Global Treasury function, including liquidity management, corporate finance, funding/ capital markets and financial risk management. Between 1977 and 1987, he worked in banking with the Commonwealth Bank of Australia, Citicorp Investment Bank and Merrill Lynch Capital Markets, specialising in fund raising in domestic and international capital markets and risk management/ derivative products. In 1987, Das was a Visiting Fellow at the Centre for Studies in Money, Banking and Finance, Macquarie University.Das holds Bachelors' degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters degree in Business Administration from the Australian Graduate School of Management.

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