Swaps and Other Derivatives / Edition 1

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Overview

"Richard Flavell has a long association with the swap market from an academic and practitioner's point of view. Swaps and Other Derivatives is a compendium of practical information on the valuation, pricing, trading and structuring of swaps. It will fulfill an important role as a reference source for the market." Satyajit Das

Swaps and Other Derivatives is designed for financial professionals to understand, and ultimately to do themselves, how the vast bulk of OTC derivatives are used, structured, priced and hedged. Adopting a practical flavour throughout, the book describes how the pricing, valuation and risk management of generic OTC derivatives may be performed, in sufficient detail and with various alternatives, so that the approaches may be applied in practice. The book is supported by a full range of detailed spreadsheet models, which underpin all the tables, graphs and figures in the main text.

Swaps and Other Derivatives is ideal for risk managers, traders, financial engineers, product controllers and other professionals involved in the construction and management of OTC derivatives. In addition, it should be of interest to those involved in internal audit, risk control and IT within financial institutions. End users such as fund managers and corporate treasurers who use derivatives to manager their risk profiles should also find it of value.

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Product Details

  • ISBN-13: 9780471495895
  • Publisher: Wiley, John & Sons, Incorporated
  • Publication date: 6/21/2002
  • Series: Wiley Finance Series , #3
  • Edition description: Book & CD-ROM
  • Edition number: 1
  • Pages: 464
  • Product dimensions: 7.76 (w) x 9.90 (h) x 1.32 (d)

Meet the Author

RICHARD FLAVELL has spent 15 years of varying experiences as a financial engineer for ANZ Merchant Bank in London, as a trainer and consultant to banks world-wide, and as Director of Financial Engineering at Lombard Risk Systems responsible for all the mathematics in the various pricing and risk management systems.

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Table of Contents

Preface and Acknowledgements
1 Introduction 1
2 Short-term interest rate swaps 11
3 Generic interest rate swaps 35
4 The pricing and valuation of non-generic swaps 65
5 More complex swaps 95
6 Cross-currency swaps 205
7 Interest rate OTC options 267
8 Traditional market risk management 333
9 Imperfect risk management 379
Index 447
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