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Author : Georgios Nicholas Panayiotou
Publisher :
ISBN 13 :
Total Pages : 204 pages
Book Rating : 4.:/5 (14 download)
Download or read book Pricing and Arbitrage in the Interest Rate Swap Market written by Georgios Nicholas Panayiotou and published by . This book was released on 1985 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carl R. Beidleman
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 550 pages
Book Rating : 4.4/5 (91 download)
Download or read book Interest Rate Swaps written by Carl R. Beidleman and published by Irwin Professional Publishing. This book was released on 1991 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: This broad overview of swaps brings you the experience of prominent international authorities who explain how to effectively manage interest rate risk.
Author : Ravi E. Dattatreya
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.F/5 ( download)
Download or read book Interest Rate & Currency Swaps written by Ravi E. Dattatreya and published by Irwin Professional Publishing. This book was released on 1994 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The swap market has revolutionized the world of finance. No other instrument provides such flexibility in managing the risk of assets and liabilities. Indeed, swaps simply have no equal as financing and risk-management tools." "The growth of the swap market has been phenomenal. After coming into being less than 20 years ago, the notional value of the swap market has expanded to around $3 trillion. Among financial professionals, the influence of the swap market is second only to the Treasury yield curve in importance." "Interest Rate and Currency Swaps explains how swaps work and how they can be applied to a variety of situations. In clear, straightforward language this book describes the structure of swaps from simple to complex, risk and price analysis of swap transactions and hedging principles." "Many corporations use interest rate swaps to borrow at lower costs than they could through more traditional financing means. Similarly, with the globalization of business, currency swaps are frequently used to hedge foreign exchange risk. Indeed, for most large companies and financial institutions, swap transactions have become routine." "As the swap market has grown, so has the complexity of swap instruments. Authors Ravi Dattatreya, Raj Venkatesh and Vijaya Venkatesh describe in detail a variety of swap structures including: off-market swaps, zero coupon swaps, swaps-in-arrears, basis swaps and forward swaps." "In addition, the authors devote considerable attention to asset/liability management through swaps. They describe basic hedging techniques, as well as unveiling a new method for managing yield curve risk. For any financial institution or corporation grappling with interest rate risk, this section alone is well worth the book's price." "Other topics addressed include measuring interest rate risk, multi-currency hedging, arbitrage and speculation, scenario analysis, and Monte Carlo simulation." "Without question, swaps are the single most important finance development in recent years. Interest Rate and Currency Swaps is the definitive source to understand and apply these powerful instruments."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author : Amir Sadr
Publisher : John Wiley & Sons
ISBN 13 : 0470443944
Total Pages : 276 pages
Book Rating : 4.4/5 (74 download)
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 : Satyajit Das
Publisher : McGraw-Hill Companies
ISBN 13 :
Total Pages : 1552 pages
Book Rating : 4.F/5 ( download)
Download or read book Swap & Derivative Financing written by Satyajit Das and published by McGraw-Hill Companies. This book was released on 1994 with total page 1552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Addresses recent developments in the market and analyzes new swap structures. Explains the banking innovations, techniques and players that spawned this financial revolution. Specific topics include: The structure and operation of all major swap markets in North America, Europe and Asia; The economics and pricing of a wide variety of swap structures; Techniques for hedging swaps and managing a swap inventory; Using swaps to access low-cost funding and to manage asset/liability positions; Accounting, taxation, legal and documentary issues.
Author : Patrick Haug
Publisher : GRIN Verlag
ISBN 13 : 3668653682
Total Pages : 23 pages
Book Rating : 4.6/5 (686 download)
Download or read book Interest Rate Swap. A vehicle to hedge against interest rate risk written by Patrick Haug and published by GRIN Verlag. This book was released on 2018-03-06 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2016 in the subject Economics - Finance, grade: 1,3, University of Applied Sciences Essen, language: English, abstract: Every action involves risks. This applies to companies operating in the market and also in particular to credit institutions whose raison d'être lies in the assumption of risks. Risk in the literal sense is grounded in a lack of awareness of the possibility of negative deviation from planned corporate goals. To generate income and to be able to survive a company has to take risks. Such risks are different in nature and are therefore to be evaluated differently. Banks generate the majority of their income from interest-bearing business. Companies finance their borrowing requirements next to equity mainly through loans. With regards to borrowing costs it is to be noted that corporate risk also shows a dependency between total capital and interest on debt. This is known as the leverage effect which in a negative scenario may be so large that the resulting losses can no longer be compensated. The change in economic conditions, fluctuations of interest rates (IR) and exchange rates on the capital markets especially due to inflation at the beginning of the 70s and 80s were the trigger for the development of new financial instruments (see Appendix, Figures 7, 8 and 9). The financial industry constantly creates new financial products that make it possible to lower the volatility of interest rates and currencies and the associated potential for currency and interest rate risks to a minimum. One of these capital market tools to minimize risks in the changes shown linked to interest rate are the so called interest rate swaps. The aim of this work is to explain how interest rate risks can be minimized with interest rate swaps. It will focus on the over the counter (OTC) interest rate swaps market. In the first chapters this termpaper examine the historical development, basic model, trading platforms and different meaning for lenders and borrowers of interest rate swaps. Next, it will explain the valuation and calculation of interest rate swaps as well as the specific value drivers and approaches. In summary, it provides an overview of the different types of interest rate swaps while also taking a critical look at these derivatives.
Author : Brendan Brown
Publisher : Routledge
ISBN 13 : 1351802135
Total Pages : 170 pages
Book Rating : 4.3/5 (518 download)
Download or read book The Forward Market in Foreign Exchange written by Brendan Brown and published by Routledge. This book was released on 2017-04-21 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1983. With the prevailing uncertainties and wild fluctuation in exchange values at the time, the forward market in foreign exchange had become a vital issue for both governments and business corporations. This book by an expert practitioner in foreign exchange dealing describes how the forward market functions and analyses the constituent elements in its behaviour. The two principal types of foreign exchange deal are examined; forward outright and swap, and explanations are given of how both operate. The linkage between forward rates and interest rates is also considered and the book investigates what factors cause deviation from parity conditions. In addition, there is a discussion of political risk and the forward contract and the role of speculation in forward exchange as well as the methods of hedging.
Author : Brendan Brown
Publisher : Routledge
ISBN 13 : 1351360566
Total Pages : 138 pages
Book Rating : 4.3/5 (513 download)
Download or read book The Economics of the Swap Market written by Brendan Brown and published by Routledge. This book was released on 2017-11-30 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1989, The Economics of the Swap Market looks at how the swap has become a commonplace tool for corporations throughout the OECD world to ‘lock-in’ interest rates on their borrowing. The aim of The Economics of the Swap Market, is to contribute to a redressing of the balance. Subjects covered include both those conventionally falling within the scope of micro-economics and of macroeconomics, beginning with an examination of the forces behind the take-off the swap market and a formal setting out of key arbitrage relationships which hold in equilibrium between the swap markets on international capital flow.
Author : Howard Corb
Publisher : Columbia University Press
ISBN 13 : 0231530366
Total Pages : 623 pages
Book Rating : 4.2/5 (315 download)
Download or read book Interest Rate Swaps and Other Derivatives written by Howard Corb and published by Columbia University Press. This book was released on 2012-08-28 with total page 623 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them. Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.
Author : John Francis Marshall
Publisher : University of Texas Press
ISBN 13 : 9780471308270
Total Pages : 296 pages
Book Rating : 4.3/5 (82 download)
Download or read book Understanding Swaps written by John Francis Marshall and published by University of Texas Press. This book was released on 1993-11-08 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by international experts on the theory and practice of swaps, this primer provides a conceptual and practical framework for grasping the seemingly complex field of swaps. Includes examples that show how complex financial structures can be built by using a number of different swaps.
Author : Julian Alworth
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.F/5 ( download)
Download or read book The Valuation of US Dollar Interest Rate Swaps written by Julian Alworth and published by . This book was released on 1993 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Brian Coyle
Publisher : Global Professional Publishi
ISBN 13 : 9780852974360
Total Pages : 144 pages
Book Rating : 4.9/5 (743 download)
Download or read book Currency Swaps written by Brian Coyle and published by Global Professional Publishi. This book was released on 2000 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: � Fully updated version of text formerly used for training by BPP � Diagrammatic representation of deal structures, pricing, and modeling � Full glossary of terms � International perspective, examples in US$ � Clear logical explanation of processes, markets, and products Here is an excellent introduction to equity, commodity, and credit swaps. The text describes the evolution of this financial instrument and the present day importance it has in debt and interest rate risk management. It examines the features of currency swaps and the process by which the counterparties reach agreement. Through practical examples it illustrates the role of banks and explains swaps pricing and the value of a swap. This expansive new range of risk management texts has undergone extensive re-writing to give each book in the series an international perspective. Each explains and analyses core aspects of risk assessment and management in a way invaluable to students and useful to practitioners. All of these titles adopt a practical and clear approach to their subject. All are fully updated versions of a series of books previously produced by training experts at BPP.
Author : Brian Coyle
Publisher : Global Professional Publishi
ISBN 13 : 9780852974438
Total Pages : 172 pages
Book Rating : 4.9/5 (744 download)
Download or read book Interest-rate Swaps written by Brian Coyle and published by Global Professional Publishi. This book was released on 2001 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: � Worked examples illustrating key points � Explanation of complex or obscure terms � Full glossary of terms The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management. Topics include: What are interest rate swaps? Liability swaps and swap rates, matched swap payments, assets swaps, non-generic swaps, swaps and financial risk, and valuation swaps and the administration of swaps.
Author : Satyajit Das
Publisher : Law Book Company for New South Wales Bar Association
ISBN 13 :
Total Pages : 706 pages
Book Rating : 4.:/5 (318 download)
Download or read book Swap Financing written by Satyajit Das and published by Law Book Company for New South Wales Bar Association. This book was released on 1989 with total page 706 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Patrick Boyle
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 1547401214
Total Pages : 273 pages
Book Rating : 4.5/5 (474 download)
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 273 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 : Patrick Boyle
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 1547401168
Total Pages : 258 pages
Book Rating : 4.5/5 (474 download)
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 258 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 : J Hamish M Darbyshire
Publisher : Aitch & Dee Limited
ISBN 13 : 9780995455535
Total Pages : 0 pages
Book Rating : 4.4/5 (555 download)
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.
