A Simplified Method for pricing Interest Rate Swaps and Swaptions (Paperback)

David Roy Smith

ISBN 10: 1535369442 / ISBN 13: 9781535369442

Published by Createspace Independent Publishing Platform, 2016

About this Item

Paperback. 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 This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.

Seller Inventory # 9781535369442

Bibliographic Details

• Title: A Simplified Method for pricing Interest Rate Swaps and Swaptions (Paperback)
• Publisher: Createspace Independent Publishing Platform
• Publication Date: 2016
• Language: English
• ISBN 10: 1535369442
• ISBN 13: 9781535369442
• Binding: Paperback
• 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.