Swaps and Other Derivatives 2nd Edition, by Richard Flavell supplies practical rationalization of the pricing and analysis of swaps and rate of interest derivatives. There are detailed sections on the risk management of swap and option portfolios utilizing both traditional approaches and also Worth-at-Risk.
Based on the writer’s intensive expertise in derivatives and risk management, working as a financial engineer, guide and trainer for a wide range of establishments internationally this book discusses intimately how most of the wide selection of swaps and other derivatives, such as yield curve, index amortisers, inflation-linked, cross-market, volatility, diff and quanto diffs, are priced and hedged.
Swaps and Other Derivatives 2nd Edition, by Richard Flavell also describes the modelling of interest rate curves, and the derivation of implied discount factors from both rate of interest swap curves, and cross-forex adjusted curves. Strategies are provided for the construction of dynamic and sturdy hedges, using ideas drawn from mathematical programming.
This book has expanded sections on the credit derivatives market – its mechanics, how credit default swaps could also be priced and hedged and how default chances may be derived from a market strip. It also prices complicated swaps with embedded choices, such as range accruals, Bermudan swaptions and target accrual redemption notes, by constructing detailed numerical models corresponding to rate of interest bushes and LIBOR-primarily based simulation.
There is additionally increased dialogue around the modeling of volatility smiles and surfaces. The book is accompanied by a CD-ROM where all the models are replicated for enabling readers to implement the fashions in follow with the minimal of effort.
Swaps and Other Derivatives (The Wiley Finance Series) [Hardcover]
Wiley; 2 edition
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