Swaps and Other Derivatives / Edition 1

Swaps and Other Derivatives / Edition 1

by Richard R. Flavell
     
 

ISBN-10: 0471495891

ISBN-13: 9780471495895

Pub. Date: 06/21/2002

Publisher: Wiley

Based on the author's own extensive experience as a financial engineer, trainer and consultant, Swaps and Other Derivatives provides a detailed and practical approach to the pricing of a wide range of swap structures, including non-generic interest rate and cross currency swaps such as forward starts, amortizers and roller coasters, yield curve, basis, OISs, diffs

Overview

Based on the author's own extensive experience as a financial engineer, trainer and consultant, Swaps and Other Derivatives provides a detailed and practical approach to the pricing of a wide range of swap structures, including non-generic interest rate and cross currency swaps such as forward starts, amortizers and roller coasters, yield curve, basis, OISs, diffs and quanto diffs, credit swaps and credit-adjusted pricing, equity and commodity, inflation-linked and volatility swaps. The applications of swaps in techniques such as asset packaging and pricing and hedging of LTFX are also discussed in detail. The book also covers interest rate and FX options, concentrating particularly on the construction and pricing of hybrid structures such as swaps with embedded options, but also covers practical issues such as the estimation of a forward volatility curve and swaption volatilities from par cap volatilities.

Traditional and advanced risk management techniques for the control of portfolios, such as the construction of robust hedging portfolios using mathematical programming, delta and gamma neutrality, and minimum Value-at-Risk, are also described and demonstrated in practical detail. Alternative methods for the estimation of the VaR of a complex option portfolio are discussed, including the use of techniques such as delta-gamma, extreme value theory and Monte-Carlo sampling strategies.

Product Details

ISBN-13:
9780471495895
Publisher:
Wiley
Publication date:
06/21/2002
Series:
Wiley Finance Series, #3
Edition description:
Book & CD-ROM
Pages:
464
Product dimensions:
7.76(w) x 9.90(h) x 1.32(d)

Table of Contents

Preface and Acknowledgements.

Introduction.

Short-term Interest Rate Swaps.

Generic Interest Rate Swaps.

The Pricing and Valuation of Non-generic Swaps.

More Complex Swaps.

Cross-currency Swaps.

Interest Rate OTC Options.

Traditional Market Risk Management.

Imperfect Risk Management.

Index.

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