The Swaps & Financial Derivatives Library: Products, Pricing, Applications and Risk Management / Edition 3

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More About This Textbook


The Das Swaps & Financial Derivatives Library – Third Edition, Revised is the successor to Swaps & Financial Derivatives, which was first published in 1989 (as Swap Financing). A second edition was published in 1994 (as Swaps & Financial Derivatives – Second Edition (in most of the world) and Swaps & Derivative Financing – Second Edition (in the USA). The changes in the market since the publication of the second edition have necessitated this third edition.

The Das Swaps & Financial Derivatives Library – Third Edition, Revised is a four-volume set that incorporates extensive new material in all sections to update existing areas of coverage. In addition, several new chapters covering areas of market development have been included. This has resulted in a significant expansion in the size of the text. The four volumes in this set are:

Derivative Products & Pricing

Risk Management

Structured Products Volume 1: Exotic Options, Interest Rates & Currency

Structured Products Volume 2: Equity, Commodity, Credit & New Markets

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Product Details

  • ISBN-13: 9780470821763
  • Publisher: Wiley, John & Sons, Incorporated
  • Publication date: 9/30/2005
  • Series: Wiley Finance Series , #367
  • Edition description: 3rd Edition Revised
  • Edition number: 3
  • Pages: 4700
  • Product dimensions: 6.50 (w) x 9.17 (h) x 9.32 (d)

Table of Contents


Volume 1.


1. Financial Derivatives Building Blocks – Forward & Option Contracts.


2. Exchange-Traded Products – Futures & Options On Futures Contracts.

3. Over-The-Counter Products – FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options.


4. Derivatives Pricing Framework.

5. Interest Rates & Yield Curves.

6. Pricing Forward & Futures Contracts.

7. Option Pricing.

8. Interest Rate Options Pricing.

9. Estimating Volatility & Correlation.

10. Pricing Interest Rate & Currency Swaps.

11. Swap Spreads.


12. Derivatives Trading & Portfolio Management.

13. Hedging Interest Rate Risk – Individual Instruments.

14. Hedging Interest Rate Risk – Portfolios.

15. Measuring Option Price Sensitivities — The Greek Alphabet of Risk.

16. Delta Hedging/Management of Option Portfolios.

Volume 2.


17. Framework For Risk Management.


18. Market Risk Measurement.

19. Stress Testing.

20. Portfolio Valuation/Mark-To-Market.


21. Derivative Credit Risk: Measurement.

22. Derivative Credit Exposure: Management & Credit Enhancement.

23. Derivative Product Companies.


24. Liquidity Risk.

25. Model Risk.

26. Operational Risk.


27. Risk Management Function.

28. Risk Adjusted Performance Management.


29. Operational, Systems & Technology Issues.

30. Legal Issues and Documentation.

31. Accounting for Swaps and Financial Derivatives.

32. Taxation Aspects of Swaps and financial Derivatives.


33. Credit Risk: Regulatory Framework.

Appendix: Basle II.

34. Market Risk: Regulatory Framework.

Appendix: Basle 1996.

Volume 3.


35. Applications of Derivative Products.

36. Applications of Futures, Swaps & Options.

37. New Issues Arbitrage.


38. Synthetic Assets – Asset Swaps, Structured Notes, Repackaging and Structured Investment Vehicles.


39. Exotic Options.

40. Packaged Forwards & Options.

41. Path Dependent Exotic Options.

42. Time Dependent Exotic Options.

43. Limit Dependent Exotic Options.

44. Pay-off Modified Exotic Options.

45. Multifactor Exotic Options.

46. Volatility Products.


47. Non Generic Swaps.

48. Basis Swaps.

49. Option On Swaps/Swaptions.

50. Callable Bonds.

51. Constant Maturity Products.

52. Index Amortising Products.

53. Interest Rate Linked Notes.

54. Currency Linked Notes.

Volume 4.


55. Equity Derivatives – Equity Index Futures; Equity Options/Warrants; Equity Swaps.

56. Convertible Securities.

57. Structured Convertible Securities.

58. Equity Linked Notes.

59. Equity Derivatives – Investor Applications.

60. Equity Capital Management – Corporate Financial Applications of Equity Derivatives.


61. Commodity Derivatives – Commodity Futures & Options/Commodity Swaps/Commodity Linked Notes.

62. Commodity Derivatives – Energy (Oil, Natural Gas and Electricity) Markets.

63. Commodity Derivatives – Metal Markets.

64. Commodity Derivatives – Agricultural and Other Markets.


65. Credit Derivative Products.

66. Credit Linked Notes/Collateralised Debt Obligations.

67. Credit Derivatives/Default Risk – Pricing and Modelling.

68. Credit Derivatives – Applications/Markets.


69. Inflation Indexed Notes and Derivatives.

70. Alternative Risk Transfer/Insurance Derivatives.

71. Weather Derivatives.

72. New Markets – Property; Bandwidth; Macro-Economic & Environmental Derivatives.

73. Tax and Structured Derivatives Transaction.


74. Electronic Markets and Derivatives Trading.

75. Financial Derivativers – Evolution and Prospects.

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