The Resource Swaps and other derivatives, Richard Flavell

Swaps and other derivatives, Richard Flavell

Label
Swaps and other derivatives
Title
Swaps and other derivatives
Statement of responsibility
Richard Flavell
Creator
Subject
Language
eng
Summary
"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
Member of
Cataloging source
CDX
Dewey number
332.5
Illustrations
illustrations
Index
index present
LC call number
HG6024.A3
LC item number
F5864 2010eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Wiley finance series
Label
Swaps and other derivatives, Richard Flavell
Publication
Note
Previous edition: 2002
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Swaps and Other Derivatives -- Short-term Interest Rate Swaps -- Generic Interest Rate Swaps -- The Pricing and Valuation of Non-generic Swaps -- Asset Packaging -- Credit Derivatives -- More Complex Swaps -- Cross-market and Other Market Swaps -- Cross-currency Swaps -- OTC Options -- Swapping Structured Products -- Traditional Market Risk Management -- Value-at-Risk
Control code
ocn773475318
Dimensions
unknown
Extent
1 online resource (xxvii, 364 pages)
File format
unknown
Form of item
online
Isbn
9780470689431
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
9786613397379
Other physical details
illustrations
Quality assurance targets
not applicable
http://library.link/vocab/recordID
.b26003090
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)773475318
  • pebcs0470689439

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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