HOME > Detail View

Detail View

Interest rate swaps and their derivatives : a practitioner's guide

Interest rate swaps and their derivatives : a practitioner's guide (Loan 14 times)

Material type
단행본
Personal Author
Sadr, Amir , 1963-.
Title Statement
Interest rate swaps and their derivatives : a practitioner's guide / Amir Sadr.
Publication, Distribution, etc
Hoboken, N.J. :   Wiley ,   c2009.  
Physical Medium
xxii, 247 p. : ill. ; 24 cm.
Series Statement
Wiley finance series
ISBN
0470443944 9780470443941 (cloth)
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Interest rate swaps. Interest rate futures. Derivative securities.
000 00966namuu22003018a 4500
001 000045570523
005 20100113103200
008 090302s2009 njua b 001 0 eng
010 ▼a 2009008840
020 ▼a 0470443944
020 ▼a 9780470443941 (cloth)
035 ▼a (KERIS)REF000015228923
040 ▼a DLC ▼c DLC ▼d 211009
050 0 0 ▼a HG6024.5 ▼b .S32 2009
082 0 0 ▼a 332.63/23 ▼2 22
090 ▼a 332.6323 ▼b S126i
100 1 ▼a Sadr, Amir , ▼d 1963-.
245 1 0 ▼a Interest rate swaps and their derivatives : ▼b a practitioner's guide / ▼c Amir Sadr.
260 ▼a Hoboken, N.J. : ▼b Wiley , ▼c c2009.
300 ▼a xxii, 247 p. : ▼b ill. ; ▼c 24 cm.
490 1 ▼a Wiley finance series
504 ▼a Includes bibliographical references and index.
650 0 ▼a Interest rate swaps.
650 0 ▼a Interest rate futures.
650 0 ▼a Derivative securities.
830 0 ▼a Wiley finance series.
945 ▼a KINS

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.6323 S126i Accession No. 121188703 Availability In loan Due Date 2021-12-06 Make a Reservation Available for Reserve R Service M

Contents information

Table of Contents

Preface.

"Rates" Market.

Background.

Book Structure.

Acknowledgments.

About the Author.

List of Symbols and Abbreviations.

PART ONE Cash, Repo, and Swap Markets.

CHAPTER 1 Bonds: It's All About Discounting.

Time Value of Money: Future Value, Present Value.

Price-Yield Formula.

PV01, PVBP, Convexity.

Repo, Reverse Repo.

Forward Price/Yield, Carry, Roll-Down.

CHAPTER 2 Swaps: It's Still About Discounting.

Discount Factor Curve, Zero Curve.

Forward Rate Curve.

Par-Swap Curve.

Construction of the Swap/Libor Curve.

CHAPTER 3 Interest Rate Swaps in Practice.

Market Instruments.

Swap Trading—Rates or Spreads.

Swap Spreads.

Risk, PV01, Gamma Ladder.

Calendar Rules, Date Minutiae.

CHAPTER 4 Separating Forward Curve from Discount Curve.

Forward Curves for Assets.

Implied Forward Rates.

Float/Float Swaps.

Libor/Libor Basis Swaps.

Overnight Indexed Swaps (OIS).

PART TWO Interest-Rate Flow Options.

CHAPTER 5 Derivatives Pricing: Risk-Neutral Valuation.

European-Style Contingent Claims.

One-Step Binomial Model.

From One Time-Step to Two.

From Two Time-Steps to . . .

Relative Prices.

Risk-Neutral Valuation: All Relative Prices Must be Martingales.

Interest-Rate Options Are Inherently Difficult to Value.

From Binomial Model to Equivalent Martingale Measures.

CHAPTER 6 Black's World.

A Little Bit of Randomness.

Modeling Asset Changes.

Black-Scholes-Merton/Black Formulae.

Greeks.

Digitals.

Call Is All You Need.

Calendar/Business Days, Event Vols.

CHAPTER 7 European-Style Interest-Rate Derivatives.

Market Practice.

Interest-Rate Option Trades.

Caplets/Floorlets: Options on Forward Rates.

European-Style Swaptions.

Skews, Smiles.

CMS Products.

Bond Options.

PART THREE Interest-Rate Exotics.

CHAPTER 8 Short-Rate Models.

A Quick Tour.

Dynamics to Implementation.

Lattice/Tree Implementation.

BDT Lattice Model.

Hull-White, Black-Karasinski Models.

Simulation Implementation.

CHAPTER 9 Bermudan-Style Options.

Bellman's Equation—Backward Induction.

Bermudan Swaptions.

Bermudan Cancelable Swaps, Callable/Puttable Bonds.

Bermudan-Style Options in Simulation Implementation.

CHAPTER 10 Full Term-Structure Interest-Rate Models.

Shifting Focus from Short Rate to Full Curve: Ho-Lee Model.

Heath-Jarrow-Morton (HJM) Full Term-Structure Framework.

Discrete-Time, Discrete-Tenor HJM Framework.

Forward-Forward Volatility.

Multifactor Models.

HJM Framework Typically Leads to Nonrecombining Trees.

CHAPTER 11 Forward-Measure Lens.

Numeraires Are Arbitrary.

Forward Measures.

BGM/Jamshidian Results.

Different Measures for Different Rates.

"Classic" or "New Improved": Pick Your Poison!.

CHAPTER 12 In Search of "The" Model.

Migration to Full-Term Structure Models.

Implementation Era.

Model versus Market: Liquidity and Concentration Risk.

Complexity Risk.

Remaining Challenges.

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 Result.

Notes.

Index.


Information Provided By: : Aladin

New Arrivals Books in Related Fields

Ingham, Geoffrey K. (2020)