03634nam 2200673Ia 450 991084051610332120170815115453.01-282-36914-897866123691481-118-26796-60-470-52608-4(CKB)1000000000799028(EBL)469862(SSID)ssj0000300005(PQKBManifestationID)11204782(PQKBTitleCode)TC0000300005(PQKBWorkID)10251581(PQKB)11652295(MiAaPQ)EBC469862(OCoLC)497041417(CaSebORM)9780470526118(EXLCZ)99100000000079902820090302d2009 uy 0engur|n|---|||||txtccrInterest rate swaps and their derivatives[electronic resource] a practitioner's guide /Amir Sadr1st editionHoboken, NJ Wileyc20091 online resource (274 p.)Wiley finance seriesDescription based upon print version of record.0-470-52611-4 0-470-44394-4 Includes bibliographical references and index.Interest Rate Swaps and their Derivatives: A Practitioner's Guide; Contents; Preface; "RATES" MARKET; BACKGROUND; BOOK STRUCTURE; ACKNOWLEDGMENTS; About the Author; List of Symbols and Abbreviations; Part I: Cash, Repo, and Swap Markets; Chapter 1 :Bonds: It's All About Discounting; Chapter 2: Swaps: It's Still About Discounting; Chapter 3: Interest Rate Swaps in Practice; Chapter 4: Separating Forward Curve from Discount Curve; Part II: Interest-Rate Flow Options; Chapter 5: Derivatives Pricing: Risk-Neutral Valuation; Chapter 6: Black's WorldChapter 7: European-Style Interest-Rate DerivativesPart III: Interest-Rate Exotics; Chapter 8: Short-Rate Models; Chapter 9: Bermudan-Style Options; Chapter 10: Full Term-Structure Interest-Rate Models; Chapter 11: Forward-Measure Lens; Chapter 12: In Search of "The" Model; Appendix A: Taylor Series Expansion; FUNCTION OF ONE VARIABLE; FUNCTION OF SEVERAL VARIABLES; ITO'S LEMMA: TAYLOR SERIES FOR DIFFUSIONS; Appendix B: Mean-Reverting Processes; NORMAL DYNAMICS; LOG-NORMAL DYNAMICS; Appendix C: Girsanov's Theorem and Change of Numeraire; CONTINUOUS-TIME, INSTANTANEOUS-FORWARDS HJM FRAMEWORKBGM RESULTNotes; Index An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main ""rates"" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market.Provides a balance of relevant theory and real-world trading instruments Wiley finance series.Interest rate swapsInterest rate futuresDerivative securitiesInterest rate swaps.Interest rate futures.Derivative securities.332.6332.6323332.645Sadr Amir1963-1728360MiAaPQMiAaPQMiAaPQBOOK9910840516103321Interest rate swaps and their derivatives4136895UNINA