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Swaps and Other Derivatives.
"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 Swap...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken :
John Wiley & Sons,
2011.
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| Edición: | 2nd ed. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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 swaps3.2 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 swap5.2 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 swaps7.3 Compound swaps; 7.4 Yield curve swaps; 7.5 Convexity effects of swaps; 7.6 Appendix: Measuring the convexity e.ect; 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 discounting9.4 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.