LEADER 03818nam 2200757Ia 450 001 9910876941703321 005 20200520144314.0 010 $a9786612369148 010 $a9781282369146 010 $a1282369148 010 $a9781118267967 010 $a1118267966 010 $a9780470526088 010 $a0470526084 035 $a(CKB)1000000000799028 035 $a(EBL)469862 035 $a(SSID)ssj0000300005 035 $a(PQKBManifestationID)11204782 035 $a(PQKBTitleCode)TC0000300005 035 $a(PQKBWorkID)10251581 035 $a(PQKB)11652295 035 $a(MiAaPQ)EBC469862 035 $a(OCoLC)497041417 035 $a(CaSebORM)9780470526118 035 $a(OCoLC)794059537 035 $a(OCoLC)ocn794059537 035 $a(EXLCZ)991000000000799028 100 $a20090302d2009 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aInterest rate swaps and their derivatives $ea practitioner's guide /$fAmir Sadr 205 $a1st edition 210 $aHoboken, NJ $cWiley$dc2009 215 $a1 online resource (274 p.) 225 1 $aWiley finance series 300 $aDescription based upon print version of record. 311 08$a9780470526118 311 08$a0470526114 311 08$a9780470443941 311 08$a0470443944 320 $aIncludes bibliographical references and index. 327 $aInterest 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 World 327 $aChapter 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 FRAMEWORK 327 $aBGM RESULTNotes; Index 330 $a An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main ""rates"" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market.Provides a balance of relevant theory and real-world trading instruments 410 0$aWiley finance series. 606 $aInterest rate swaps 606 $aInterest rate futures 606 $aDerivative securities 615 0$aInterest rate swaps. 615 0$aInterest rate futures. 615 0$aDerivative securities. 676 $a332.6 676 $a332.6323 676 $a332.645 700 $aSadr$b Amir$f1963-$01761774 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910876941703321 996 $aInterest rate swaps and their derivatives$94201390 997 $aUNINA