Swaps and other derivatives [[electronic resource] /] / Richard Flavell

• Autore: Flavell Richard
• Pubblicazione: Chichester, West Sussex, U.K., : Wiley, 2010
• Edizione: 2nd ed.
• Descrizione fisica: 1 online resource (394 p.)
• Disciplina: 332.64/57
• Soggetto topico: Swaps (Finance); Derivative securities
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Swaps and Other Derivatives; Contents; Preface; List of Worksheets (see the accompanying CD); List of Abbreviations; 1 Swaps and Other Derivatives; 1.1 Introduction; 1.2 Applications of swaps; 1.3 An overview of the swap market; 1.4 The evolution of the swap market; 1.5 Conclusion; 2 Short-term Interest Rate Swaps; Objective; 2.1 Discounting, the time value of money and other matters; 2.2 Forward rate agreements (FRAs) and interest rate futures; 2.3 Short-term swaps; 2.4 Convexity bias in futures; 2.5 Forward valuing a swap; 3 Generic Interest Rate Swaps; Objective ; 3.1 Generic interest rate swaps 3.2 Pricing through comparative advantage; 3.3 The relative pricing of generic IRSs; 3.4 The relationship between the bond and swap markets; 3.5 Implying a discount function; 3.6 Building a blended curve; 4 The Pricing and Valuation of Non-generic Swaps; Objective; 4.1 The pricing of simple non-generic swaps: forward starts; 4.2 Rollercoasters; 4.3 Pricing of simple non-generic swaps: a more complex example; 4.4 Forward valuing as an alternative to discounting-revisited; 4.5 Swap valuation; 5 Asset Packaging; Objective ; 5.1 Creation and pricing of a par asset swap 5.2 Creation and pricing of a par maturity asset swap; 5.3 Discounting, embedded loans and forward valuing; 5.4 Further extensions to asset packaging; 6 Credit Derivatives; Background and objective; 6.1 Total return swaps; 6.2 Credit default swaps; 6.3 Pricing and hedging of generic CDSs; 6.4 Modelling a CDS; 6.5 Pricing and valuing non-generic CDSs; 6.6 Basket and portfolio CDSs; 6.7 Credit exposure under swaps; 6.8 Appendix: An outline of the credit modelling of portfolios; 7 More Complex Swaps; Objective; 7.1 Simple mismatch swaps ; 7.2 Average rate swaps 7.3 Compound swaps; 7.4 Yield curve swaps; 7.5 Convexity effects of swaps; 7.6 Appendix: Measuring the convexity effect; 7.6.1 Two approaches to measuring the convexity effect; 7.6.2 A general mismatch swap; 7.6.3 Yield curve swaps; 8 Cross-market and Other Market Swaps; Objective; 8.1 Overnight indexed swaps; 8.2 Cross-market basis swaps; 8.3 Equity and commodity swaps; 8.3.1 Commodity swaps; 8.4 Longevity swaps; 8.5 Inflation swaps; 8.6 Volatility swaps; 9 Cross-currency Swaps; Objective; 9.1 Floating-floating cross-currency swaps; 9.2 Pricing and hedging of CCBSs ; 9.3 CCBSs and discounting 9.4 Fixed-floating cross-currency swaps; 9.5 Floating-floating swaps continued; 9.6 Fixed-fixed cross-currency swaps; 9.7 Cross-currency swap valuation; 9.8 Dual-currency swaps; 9.9 Cross-currency equity swaps; 9.10 Conclusion; 9.11 Appendix: Quanto adjustments; 10 OTC Options; Objective; 10.1 Introduction; 10.2 The Black option-pricing model; 10.3 Interest rate volatility; 10.4 Par and forward volatilities; 10.5 Caps, floors and collars; 10.6 Digital options; 10.7 Embedded structures; 10.8 Swaptions; 10.9 Structures with embedded swaptions ; 10.10 Options on credit default swaps
• Sommario/riassunto: ""Richard Flavell has a strong theoretical perspective on swaps with considerable practical experience in the actual trading of these instruments. This rare combination makes this welcome updated second edition a useful reference work for market practitioners.""-Satyajit Das, author of Swaps and Financial Derivatives Library and Traders and Guns & Money: Knowns and Unknowns in the Dazzling World of Derivatives Fully revised and updated from the first edition, Swaps and Other Derivatives, Second Edition, provides a practical explanation of the pricing and evaluation
• Titolo autorizzato: Swaps and other derivatives
• ISBN: 0-470-66180-1; 1-119-20622-7; 1-283-39737-4; 9786613397379; 0-470-68943-9
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910821654803321
• Lo trovi qui: Univ. Federico II
• Serie: Wiley finance series.