Swaps and Other Derivatives (With CD-ROM) (The Wiley Finance Series)

3.5 avg rating
( 6 ratings by Goodreads )
 
9780471495895: Swaps and Other Derivatives (With CD-ROM) (The Wiley Finance Series)
View all copies of this ISBN edition:
 
 

Swaps and Other Instruments focuses on the pricing and hedging of swaps, showing how various models work in practice and how they can be built. The book also covers options and interest rates as they relate to swaps, as they are often traded together. The book will include coverage of all the latest swaps including credit, commodity and equity swaps. Exercises and simulations are also provided on an accompanying CD ROM, including Excel spreadsheets enabling the reader to simulate and build their own spreadsheet models.

"synopsis" may belong to another edition of this title.

From the Inside Flap:

Based on the author's own extensive experience as a financial engineer, trainer and consultant, Swaps and Other Derivatives provides a detailed and practical approach to the pricing of a wide range of swap structures, including non-generic interest rate and cross currency swaps such as forward starts, amortizers and roller coasters, yield curve, basis, OISs, diffs and quanto diffs, credit swaps and credit-adjusted pricing, equity and commodity, inflation-linked and volatility swaps. The applications of swaps in techniques such as asset packaging and pricing and hedging of LTFX are also discussed in detail. The book also covers interest rate and FX options, concentrating particularly on the construction and pricing of hybrid structures such as swaps with embedded options, but also covers practical issues such as the estimation of a forward volatility curve and swaption volatilities from par cap volatilities.

Traditional and advanced risk management techniques for the control of portfolios, such as the construction of robust hedging portfolios using mathematical programming, delta and gamma neutrality, and minimum Value-at-Risk, are also described and demonstrated in practical detail. Alternative methods for the estimation of the VaR of a complex option portfolio are discussed, including the use of techniques such as delta-gamma, extreme value theory and Monte-Carlo sampling strategies.

From the Back Cover:

"Richard Flavell has a long association with the swap market from an academic and practitioner's point of view. Swaps and Other Derivatives is a compendium of practical information on the valuation, pricing, trading and structuring of swaps. It will fulfill an important role as a reference source for the market." Satyajit Das

Swaps and Other Derivatives is designed for financial professionals to understand, and ultimately to do themselves, how the vast bulk of OTC derivatives are used, structured, priced and hedged. Adopting a practical flavour throughout, the book describes how the pricing, valuation and risk management of generic OTC derivatives may be performed, in sufficient detail and with various alternatives, so that the approaches may be applied in practice. The book is supported by a full range of detailed spreadsheet models, which underpin all the tables, graphs and figures in the main text.

Swaps and Other Derivatives is ideal for risk managers, traders, financial engineers, product controllers and other professionals involved in the construction and management of OTC derivatives. In addition, it should be of interest to those involved in internal audit, risk control and IT within financial institutions. End users such as fund managers and corporate treasurers who use derivatives to manager their risk profiles should also find it of value.

"About this title" may belong to another edition of this title.

Buy New View Book
List Price: US$ 165.00
US$ 36.62

Convert Currency

Shipping: US$ 4.99
Within U.S.A.

Destination, Rates & Speeds

Add to Basket

Top Search Results from the AbeBooks Marketplace

1.

Richard R. Flavell, Richard Flavell
Published by Wiley (2002)
ISBN 10: 0471495891 ISBN 13: 9780471495895
New Hardcover Quantity Available: 1
Seller:
Ergodebooks
(RICHMOND, TX, U.S.A.)
Rating
[?]

Book Description Wiley, 2002. Hardcover. Condition: New. Seller Inventory # DADAX0471495891

More information about this seller | Contact this seller

Buy New
US$ 36.62
Convert Currency

Add to Basket

Shipping: US$ 4.99
Within U.S.A.
Destination, Rates & Speeds

2.

Flavell, Richard R., Flavell, Richard
Published by Wiley (2002)
ISBN 10: 0471495891 ISBN 13: 9780471495895
New Hardcover Quantity Available: 2
Seller:
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating
[?]

Book Description Wiley, 2002. Hardcover. Condition: New. Never used!. Seller Inventory # P110471495891

More information about this seller | Contact this seller

Buy New
US$ 43.09
Convert Currency

Add to Basket

Shipping: US$ 1.99
Within U.S.A.
Destination, Rates & Speeds

3.

Flavell, Richard R.; Flavell, Richard
Published by Wiley
ISBN 10: 0471495891 ISBN 13: 9780471495895
New Hardcover Quantity Available: 1
Seller:
Cloud 9 Books
(Wellington, FL, U.S.A.)
Rating
[?]

Book Description Wiley. Hardcover. Condition: New. 0471495891 New Condition. Seller Inventory # NEW7.1114284

More information about this seller | Contact this seller

Buy New
US$ 59.99
Convert Currency

Add to Basket

Shipping: US$ 4.99
Within U.S.A.
Destination, Rates & Speeds

4.

Richard R. Flavell; Richard Flavell
Published by Wiley (2002)
ISBN 10: 0471495891 ISBN 13: 9780471495895
New Hardcover Quantity Available: 1
Seller:
Irish Booksellers
(Portland, ME, U.S.A.)
Rating
[?]

Book Description Wiley, 2002. Condition: New. book. Seller Inventory # M0471495891

More information about this seller | Contact this seller

Buy New
US$ 97.03
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds