Interest Rate Derivatives Explained

Author : J. Kienitz
Publisher : Springer
ISBN 13 : 1137360070
Total Pages : 264 pages
Book Rating : 4.76/5 ( download)

DOWNLOAD NOW!

Download or read book Interest Rate Derivatives Explained written by J. Kienitz and published by Springer. This book was released on 2014-12-05 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at practitioners who need to understand the current fixed income markets and learn the techniques necessary to master the fundamentals, this book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments.

Author : Joerg Kienitz
Publisher :
ISBN 13 : 9781137327338
Total Pages : 207 pages
Book Rating : 4.32/5 ( download)

DOWNLOAD NOW!

Download or read book Interest Rate Derivatives Explained written by Joerg Kienitz and published by . This book was released on 2014 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : J. Kienitz
Publisher : Springer
ISBN 13 : 1137360070
Total Pages : 207 pages
Book Rating : 4.76/5 ( download)

DOWNLOAD NOW!

Download or read book Interest Rate Derivatives Explained written by J. Kienitz and published by Springer. This book was released on 2014-12-05 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at practitioners who need to understand the current fixed income markets and learn the techniques necessary to master the fundamentals, this book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments.

Author : Jörg Kienitz
Publisher : Springer
ISBN 13 : 1137360194
Total Pages : 248 pages
Book Rating : 4.99/5 ( download)

DOWNLOAD NOW!

Download or read book Interest Rate Derivatives Explained: Volume 2 written by Jörg Kienitz and published by Springer. This book was released on 2017-11-08 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. Term structure models are introduced in the third part. We consider three main classes namely short rate models, instantaneous forward rate models and market models. For each class we review one representative which is heavily used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider the extensions by a stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models considered in the book.

Author : Amir Sadr
Publisher : John Wiley & Sons
ISBN 13 : 0470443944
Total Pages : 276 pages
Book Rating : 4.41/5 ( download)

DOWNLOAD NOW!

Download or read book Interest Rate Swaps and Their Derivatives written by Amir Sadr and published by John Wiley & Sons. This book was released on 2009-09-09 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main "rates" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market. Provides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives Uses simple settings and illustrations to reveal key results Written by an experienced trader who has worked with swaps, options, and exotics With this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations.

Author : J Hamish M Darbyshire
Publisher : Aitch & Dee Limited
ISBN 13 : 9780995455535
Total Pages : 0 pages
Book Rating : 4.38/5 ( download)

DOWNLOAD NOW!

Download or read book Pricing and Trading Interest Rate Derivatives written by J Hamish M Darbyshire and published by Aitch & Dee Limited. This book was released on 2022-08-07 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most professional and industry relatable text currently available for linear interest rate derivatives. Written by a practicing derivatives portfolio manager with over fifteen years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multi-currency), risk, credit and CSAs, regulations, VaR and PCA, volatility, cross-gamma, trade strategy analysis and market moving influences. The book's focus is interest rate swaps and cross-currency swaps, updated for a risk free rate (RFR, such as SOFR and ESTR) framework as opposed to LIBOR. Topics are presented from that perspective, outlining the importance of regulations in an IRD capacity, with volatility and swaptions taught from a practical point of view rather than an overly cumbersome academic one. This third edition (2022) markedly expands the second edition (2017), by not only providing extensive analysis but also building up a modern codebase, step-by-step, in Python. It constructs and solves interest rate curves and goes on to implement risk and cross-gamma calculations, demonstrating the implementation of automatic differentiation for superior efficiency. Read more at https: //github.com/attack68/book_irds3. The treatment of risk is expansive and thorough. The author formally analyses modern market-maker techniques to accurately predict PnL, and successfully implement multiple, consistent perspectives to view all details of risks. Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. Certainly this book sets the benchmark for the level of expertise that swaps traders should strive for, and the style is aimed at the novice and professional alike.

Author : Patrick Boyle
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 1547401214
Total Pages : 298 pages
Book Rating : 4.15/5 ( download)

DOWNLOAD NOW!

Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

Author : Mark Britten-Jones
Publisher : Elsevier
ISBN 13 : 0080506542
Total Pages : 220 pages
Book Rating : 4.48/5 ( download)

DOWNLOAD NOW!

Download or read book Fixed Income and Interest Rate Derivative Analysis written by Mark Britten-Jones and published by Elsevier. This book was released on 1998-10-15 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts. Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding. Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance. A comprehensive and accessible explanation of underlying theory, and its practical application Case studies and worked examples from around the world's capital markets How to use spreadsheet modelling in fixed income and interest rate derivative valuation

Author : Riccardo Rebonato
Publisher : John Wiley & Sons
ISBN 13 : 1119995639
Total Pages : 308 pages
Book Rating : 4.30/5 ( download)

DOWNLOAD NOW!

Download or read book The SABR/LIBOR Market Model written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2011-03-01 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model. The authors show how to accurately recover the whole of the SABR smile surface using their extension of the LIBOR market model. This is not just a new model, this is a new way of option pricing that takes into account the need to calibrate as accurately as possible to the plain vanilla reference hedging instruments and the need to obtain prices and hedges in reasonable time whilst reproducing a realistic future evolution of the smile surface. It removes the hard choice between accuracy and time because the framework that the authors provide reproduces today's market prices of plain vanilla options almost exactly and simultaneously gives a reasonable future evolution for the smile surface. The authors take the SABR model as the starting point for their extension of the LMM because it is a good model for European options. The problem, however with SABR is that it treats each European option in isolation and the processes for the various underlyings (forward and swap rates) do not talk to each other so it isn't obvious how to relate these processes into the dynamics of the whole yield curve. With this new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single umbrella. To ensure the absence of arbitrage they derive drift adjustments to be applied to both the forward rates and their volatilities. When this is completed, complex derivatives that depend on the joint realisation of all relevant forward rates can now be priced. Contents THE THEORETICAL SET-UP The Libor Market model The SABR Model The LMM-SABR Model IMPLEMENTATION AND CALIBRATION Calibrating the LMM-SABR model to Market Caplet prices Calibrating the LMM/SABR model to Market Swaption Prices Calibrating the Correlation Structure EMPIRICAL EVIDENCE The Empirical problem Estimating the volatility of the forward rates Estimating the correlation structure Estimating the volatility of the volatility HEDGING Hedging the Volatility Structure Hedging the Correlation Structure Hedging in conditions of market stress

Author : Gerald W. Buetow
Publisher : John Wiley & Sons
ISBN 13 : 9781883249892
Total Pages : 258 pages
Book Rating : 4.99/5 ( download)

DOWNLOAD NOW!

Download or read book Valuation of Interest Rate Swaps and Swaptions written by Gerald W. Buetow and published by John Wiley & Sons. This book was released on 2000-06-15 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.