A Simplified Method for pricing Interest Rate Swaps and Swaptions: Collected Swap Pricing Articles of David Smith

Smith, Mr. David Roy

ISBN 10: 1535369442 / ISBN 13: 9781535369442

Published by CreateSpace Independent Publishing Platform, 2016

About this Item

Print on Demand.

Seller Inventory # I-9781535369442

Bibliographic Details

• 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: Soft cover
• Condition: New

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.