Swaps and Other Derivatives

Valutazione media 3,5
( su 6 valutazioni fornite da Goodreads )
 
9780470721919: Swaps and Other Derivatives

"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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

From the Inside Flap:

"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

From the Back Cover:

"Richard Flavell has a long association with the swap market from an academic and practitioner's point of view. Swaps and Other Derivatives is a compendium of practical information on the valuation, pricing, trading and structuring of swaps. It will fulfill an important role as a reference source for the market." Satyajit Das

Swaps and Other Derivatives is designed for financial professionals to understand, and ultimately to do themselves, how the vast bulk of OTC derivatives are used, structured, priced and hedged. Adopting a practical flavour throughout, the book describes how the pricing, valuation and risk management of generic OTC derivatives may be performed, in sufficient detail and with various alternatives, so that the approaches may be applied in practice. The book is supported by a full range of detailed spreadsheet models, which underpin all the tables, graphs and figures in the main text.

Swaps and Other Derivatives is ideal for risk managers, traders, financial engineers, product controllers and other professionals involved in the construction and management of OTC derivatives. In addition, it should be of interest to those involved in internal audit, risk control and IT within financial institutions. End users such as fund managers and corporate treasurers who use derivatives to manager their risk profiles should also find it of value.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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Richard R. Flavell
Editore: John Wiley and Sons Ltd, United Kingdom (2010)
ISBN 10: 047072191X ISBN 13: 9780470721919
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2010. Hardback. Condizione libro: New. 2nd Revised edition. Language: English . Brand New Book. The swaps market is a central market to many businesses, especially among the most liquid of financial contracts. Fully revised and updated from the first edition, Swaps and Other Derivatives offers a new insight on the growth of swaps markets worldwide. Additionally, this reference provides new chapters on FRA curve, asset packaging, theory of hedging, swapping structured securities, Value-at-Risk, convexity adjustments, and the impact of Credit Derivatives. Including a CD with practical examples and working simulations, this resource guides finance practitioners on the pricing and hedging of swaps. Codice libro della libreria AAH9780470721919

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Descrizione libro John Wiley and#38; Sons, 2009. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470721919

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Richard R. Flavell
Editore: John Wiley and Sons Ltd, United Kingdom (2010)
ISBN 10: 047072191X ISBN 13: 9780470721919
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2010. Hardback. Condizione libro: New. 2nd Revised edition. Language: English . Brand New Book. The swaps market is a central market to many businesses, especially among the most liquid of financial contracts. Fully revised and updated from the first edition, Swaps and Other Derivatives offers a new insight on the growth of swaps markets worldwide. Additionally, this reference provides new chapters on FRA curve, asset packaging, theory of hedging, swapping structured securities, Value-at-Risk, convexity adjustments, and the impact of Credit Derivatives. Including a CD with practical examples and working simulations, this resource guides finance practitioners on the pricing and hedging of swaps. Codice libro della libreria AAH9780470721919

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Flavell, Richard R.
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Descrizione libro John Wiley and Sons Ltd, 2010. Condizione libro: New. 2010. 2nd Edition. Hardcover. * Focuses on the pricing and hedging of swaps, showing how various models work in practice and how they can be built and also covers options and interest rates as they relate to swaps, as they are often traded together. Series: Wiley Finance Series. Num Pages: 392 pages, Illustrations. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 252 x 195 x 29. Weight in Grams: 922. . . . . . . Codice libro della libreria V9780470721919

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Descrizione libro John Wiley and Sons Ltd. Hardback. Condizione libro: new. BRAND NEW, Swaps and Other Derivatives (2nd Revised edition), Richard R. Flavell, The swaps market is a central market to many businesses, especially among the most liquid of financial contracts. Fully revised and updated from the first edition, Swaps and Other Derivatives offers a new insight on the growth of swaps markets worldwide. Additionally, this reference provides new chapters on FRA curve, asset packaging, theory of hedging, swapping structured securities, Value-at-Risk, convexity adjustments, and the impact of Credit Derivatives. Including a CD with practical examples and working simulations, this resource guides finance practitioners on the pricing and hedging of swaps. Codice libro della libreria B9780470721919

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Descrizione libro John Wiley & Sons, 2009. Condizione libro: New. book. Codice libro della libreria ria9780470721919_rkm

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Descrizione libro John Wiley and Sons Ltd. Condizione libro: New. 2010. 2nd Edition. Hardcover. * Focuses on the pricing and hedging of swaps, showing how various models work in practice and how they can be built and also covers options and interest rates as they relate to swaps, as they are often traded together. Series: Wiley Finance Series. Num Pages: 392 pages, Illustrations. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 252 x 195 x 29. Weight in Grams: 922. . . . . . Books ship from the US and Ireland. Codice libro della libreria V9780470721919

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Descrizione libro Condizione libro: New. Depending on your location, this item may ship from the US or UK. Codice libro della libreria 97804707219190000000

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