Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr
(Visualizza in formato marc)
(Visualizza in BIBFRAME)
| Autore: |
Sadr Amir <1963->
|
| Titolo: |
Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr
|
| Pubblicazione: | Hoboken, NJ, : Wiley, c2009 |
| Edizione: | 1st edition |
| Descrizione fisica: | 1 online resource (274 p.) |
| Disciplina: | 332.6 |
| 332.6323 | |
| 332.645 | |
| Soggetto topico: | Interest rate swaps |
| Interest rate futures | |
| Derivative securities | |
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references and index. |
| Nota di contenuto: | 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 World |
| Chapter 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 | |
| BGM RESULTNotes; Index | |
| Sommario/riassunto: | 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 |
| Titolo autorizzato: | Interest rate swaps and their derivatives |
| ISBN: | 1-282-36914-8 |
| 9786612369148 | |
| 1-118-26796-6 | |
| 0-470-52608-4 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910840516103321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Wiley finance series.