Swaps and Other Derivatives

Richard R. Flavell

Editorial: John Wiley and#38; Sons, 2009
ISBN 10: 047072191X / ISBN 13: 9780470721919
Usado / HRD / Cantidad: 0
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Sinopsis: "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.

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

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Detalles bibliográficos

Título: Swaps and Other Derivatives
Editorial: John Wiley and#38; Sons
Año de publicación: 2009
Encuadernación: HRD
Condición del libro: New

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ISBN 10: 047072191X ISBN 13: 9780470721919
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Descripción Estado de conservación: Good. The CD is included. Cover has some rubbing and edge wear. All items ship Mon-Fri. Nº de ref. de la librería 2Y68H10037LF

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Flavell, Richard R.
Editorial: Wiley (2010)
ISBN 10: 047072191X ISBN 13: 9780470721919
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Descripción Wiley, 2010. Hardcover. Estado de conservación: Used: Good. 2nd edition. BOOK ONLY, CD/CODE NOT INCLUDED!! Book is in overall good condition!! Cover shows some signs of wear and pages have a minimal to moderate amount of markings. FAST SHIPPING W/USPS TRACKING!!!. Nº de ref. de la librería 640004959

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Descripción Hardback. Estado de conservación: Very Good. The book has been read, but is in excellent condition. Pages are intact and not marred by notes or highlighting. The spine remains undamaged. Nº de ref. de la librería GOR006426124

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Descripción Wiley, 2010. Hardcover. Estado de conservación: Used: Good. SEALED CD. Clean, unmarked pages, minor wear to cover. Dust jacket missing. Nº de ref. de la librería 161107009

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Richard R. Flavell
Editorial: John Wiley and#38; Sons (2009)
ISBN 10: 047072191X ISBN 13: 9780470721919
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Descripción John Wiley and#38; Sons, 2009. HRD. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería FW-9780470721919

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Richard R. Flavell
Editorial: John Wiley and Sons Ltd, United Kingdom (2010)
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Descripción John Wiley and Sons Ltd, United Kingdom, 2010. Hardback. Estado de conservación: 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. Nº de ref. de la librería AAH9780470721919

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Richard R. Flavell
Editorial: Wiley 2009-12-04, Chichester (2009)
ISBN 10: 047072191X ISBN 13: 9780470721919
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Descripción Wiley 2009-12-04, Chichester, 2009. hardback. Estado de conservación: New. Nº de ref. de la librería 9780470721919

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Richard R. Flavell
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ISBN 10: 047072191X ISBN 13: 9780470721919
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Descripción John Wiley and Sons Ltd. Hardback. Estado de conservación: 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. Nº de ref. de la librería B9780470721919

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Richard R. Flavell
Editorial: John Wiley and Sons Ltd, United Kingdom (2010)
ISBN 10: 047072191X ISBN 13: 9780470721919
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Descripción John Wiley and Sons Ltd, United Kingdom, 2010. Hardback. Estado de conservación: 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. Nº de ref. de la librería AAH9780470721919

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Flavell, Richard R.
Editorial: John Wiley and Sons Ltd (2010)
ISBN 10: 047072191X ISBN 13: 9780470721919
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Descripción John Wiley and Sons Ltd, 2010. Estado de conservación: 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. . . . . . . Nº de ref. de la librería V9780470721919

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