L'autore:
RICHARD FLAVELL has spent 15 years of varying experiences as a financial engineer for ANZ Merchant Bank in London, as a trainer and consultant to banks world-wide, and as Director of Financial Engineering at Lombard Risk Systems responsible for all the mathematics in the various pricing and risk management systems.
Dalla seconda/terza di copertina:
Based on the author's own extensive experience as a financial engineer, trainer and consultant, Swaps and Other Derivatives provides a detailed and practical approach to the pricing of a wide range of swap structures, including non-generic interest rate and cross currency swaps such as forward starts, amortizers and roller coasters, yield curve, basis, OISs, diffs and quanto diffs, credit swaps and credit-adjusted pricing, equity and commodity, inflation-linked and volatility swaps. The applications of swaps in techniques such as asset packaging and pricing and hedging of LTFX are also discussed in detail. The book also covers interest rate and FX options, concentrating particularly on the construction and pricing of hybrid structures such as swaps with embedded options, but also covers practical issues such as the estimation of a forward volatility curve and swaption volatilities from par cap volatilities.
Traditional and advanced risk management techniques for the control of portfolios, such as the construction of robust hedging portfolios using mathematical programming, delta and gamma neutrality, and minimum Value-at-Risk, are also described and demonstrated in practical detail. Alternative methods for the estimation of the VaR of a complex option portfolio are discussed, including the use of techniques such as delta-gamma, extreme value theory and Monte-Carlo sampling strategies.
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