Title: A Simplified Method for Pricing Interest Rate Swaps and Swaptions: Collected Swap Pricing Articles of David Smith
Publisher: Createspace Independent Publishing Platform
Publication Date: 2016
Language: English
ISBN 10: 1535369442
ISBN 13: 9781535369442
Binding: Paperback / softback
Condition: New
Weight: 168 grams

About this title

Synopsis

This book is a collection of three articles written by David Smith on interest rate swap and swaption pricing. It is a simplified approach that uses the bootstrap method to derive a zero coupon curve. For the swap option pricing a basic Black Commodity model is used. Useful for educational and training purposes for beginners to the field. Practical examples are provided

About the Author

David Smith has over 25 years of experience in capital markets derivatives trading and risk management at large financial institutions like Depfa Bank, Bayern LB, Ambac inc. and New York Life. Me Smith has an MBA in Finance from New York University Stern School of Business.

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