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Swaps And Other Derivatives 2nd Edition (Cód: 9237378)

Flavell, Richard

John Wiley & Sons

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Swaps And Other Derivatives 2nd Edition

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Descrição

'Richard Flavell has a strong theoretical perspective on swaps with considerable practical experience in the actual trading of these instruments. This rare combination makes this welcome updated second edition a useful reference work for market practitioners.' --Satyajit Das, author of 'Swaps and Financial Derivatives Library and Traders' and 'Guns & Money: Knowns and Unknowns in the Dazzling World of Derivatives' Fully revised and updated from the first edition, 'Swaps and Other Derivatives, Second Edition,' provides a practical explanation of the pricing and evaluation of swaps and interest rate derivatives. Based on the author's extensive experience in derivatives and risk management, working as a financial engineer, consultant and trainer for a wide range of institutions across the world this book discusses in detail how many of the wide range of swaps and other derivatives, such as yield curve, index amortisers, inflation-linked, cross-market, volatility, diff and quanto diffs, are priced and hedged. It also describes the modelling of interest rate curves, and the derivation of implied discount factors from both interest rate swap curves, and cross-currency adjusted curves. There are detailed sections on the risk management of swap and option portfolios using both traditional approaches and also Value-at-Risk. Techniques are provided for the construction of dynamic and robust hedges, using ideas drawn from mathematical programming. This second edition has expanded sections on the credit derivatives market - its mechanics, how credit default swaps may be priced and hedged, and how default probabilities may be derived from a market strip. It also prices complex swaps with embedded options, such as range accruals, Bermudan swaptions and target accrual redemption notes, by constructing detailed numerical models such as interest rate trees and LIBOR-based simulation. There is also increased discussion around the modelling of volatility smiles and surfaces. The book is accompanied by a CD-ROM where all the models are replicated, enabling readers to implement the models in practice with the minimum of effort. 'This new second edition of 'Swaps and Other Derivatives' leads the reader from simple swap pricing to more complex derivatives and different approaches to risk management of these. The theory is complemented by easy to understand examples and exercises in spreadsheets. The structure of the book is intuitive and will benefit both practitioners and those wanting to get a solid understanding of the complex world of swaps and other derivatives.' --Lars Drauschke, First Vice President, Danske Bank 'Richard once again shows his rare gift of simplifying complex issues in a very practical way in this book. His building block approach ensures there is value to be had for all readers; for the non-quantitatively-adept practitioner or executive there is an easily understood conceptual framework off which to gain a sound understanding of the main-stream derivative market, and for the more quantitative reader this book will serve as a well structured reference framework by which to consider and value most main-stream derivative instruments, as well as manage attendant risks. Richard's books have long been one of my first ports of call in developing my own understanding of the market and of valuation. I have never hesitated to recommend the same to others. This book does not look likely to break that trend.' --Peter Blenkinsop, Global Head of Risk, Rand Merchant Bank, a division of FirstRand Bank Limited

Características

Produto sob encomenda Sim
Marca John Wiley & Sons
Cód. Barras 9780470721919
Altura 25.40 cm
I.S.B.N. 9780470721919
Profundidade 2.50 cm
Referência 010283378
Acabamento Capa dura
Número da edição 2
Ano da edição 2010
MÊS FEVEREIRO
Idioma Inglês
País de Origem Estados Unidos
Número de Páginas 392
Título Original Swaps And Other Derivatives
Peso 0.94 Kg
Largura 19.60 cm
AutorFlavell, Richard