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BOOK EXCERPT:
Derivatives markets are an important and growing segment of financial markets and play an important role in the management of risk.This invaluable set of lecture notes is meant to be used in conjunction with a standard textbook on derivatives in an advanced undergraduate or MBA elective course on futures, forwards, swaps, options, corporate securities, and credit default swaps. It covers the foundations of derivatives pricing in arbitrage-free markets, develops the methodology of risk-neutral valuation, and discusses hedging and the management of risk.
Product Details :
Genre |
: Business & Economics |
Author |
: George Michael Constantinides |
Publisher |
: World Scientific |
Release |
: 2014-12-18 |
File |
: 232 Pages |
ISBN-13 |
: 9789814618441 |
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BOOK EXCERPT:
The emphasis is on actual transactions that are stripped down to analyse and illustrate the dynamics of individual structures and to understand the types of products available. The text is structured either to be read through from start to finish, or to be used as a reference source. Australian author.
Product Details :
Genre |
: Derivative securities |
Author |
: Satyajit Das |
Publisher |
: |
Release |
: 2004 |
File |
: 1494 Pages |
ISBN-13 |
: CORNELL:31924098247111 |
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BOOK EXCERPT:
The Das Swaps & Financial Derivatives Library - Third Edition Revised is the successor to Swaps & Financial Derivatives, which was first published in 1989 (as Swap Financing).
Product Details :
Genre |
: Debt equity conversion |
Author |
: Satyajit Das |
Publisher |
: |
Release |
: 2006 |
File |
: 1310 Pages |
ISBN-13 |
: CORNELL:31924100603970 |
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BOOK EXCERPT:
The proliferation of foreign exchange (FX) swaps as a source of funding and as a hedging tool has focused attention on the role of the FX swap market in the recent crisis. The turbulence in international money markets spilled over into the FX swap market in the second-half of 2007 and into 2008, giving rise to concerns over the ability of banks to roll over their funding requirements and manage their liquidity risk. The turmoil also raised questions about banks' ability to continue their supply of credit to the local economy, as well as the external financing gap it could create. In this paper, we examine the channels through which FX swap transactions could affect a country's financial and economic stability, and highlight the strategies central banks can employ to mitigate market pressures. While not offering any judgment on the instrument itself, we show that the use of FX swaps for funding and hedging purposes is not infallible, especially during periods of market stress.
Product Details :
Genre |
: Business & Economics |
Author |
: Ms.Li L. Ong |
Publisher |
: International Monetary Fund |
Release |
: 2010-03-01 |
File |
: 47 Pages |
ISBN-13 |
: 9781451963533 |
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BOOK EXCERPT:
The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code
Product Details :
Genre |
: Business & Economics |
Author |
: Leonardo Marroni |
Publisher |
: John Wiley & Sons |
Release |
: 2014-06-19 |
File |
: 277 Pages |
ISBN-13 |
: 9781119954583 |
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BOOK EXCERPT:
Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.
Product Details :
Genre |
: Business & Economics |
Author |
: Patrick Boyle |
Publisher |
: Walter de Gruyter GmbH & Co KG |
Release |
: 2018-12-17 |
File |
: 258 Pages |
ISBN-13 |
: 9781547401161 |
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BOOK EXCERPT:
Addresses recent developments in the market and analyzes new swap structures. Explains the banking innovations, techniques and players that spawned this financial revolution. Specific topics include: The structure and operation of all major swap markets in North America, Europe and Asia; The economics and pricing of a wide variety of swap structures; Techniques for hedging swaps and managing a swap inventory; Using swaps to access low-cost funding and to manage asset/liability positions; Accounting, taxation, legal and documentary issues.
Product Details :
Genre |
: Business & Economics |
Author |
: Satyajit Das |
Publisher |
: McGraw-Hill Companies |
Release |
: 1994 |
File |
: 1552 Pages |
ISBN-13 |
: STANFORD:36105060967796 |
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BOOK EXCERPT:
"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.
Product Details :
Genre |
: Business & Economics |
Author |
: Richard R. Flavell |
Publisher |
: John Wiley & Sons |
Release |
: 2010-01-19 |
File |
: 393 Pages |
ISBN-13 |
: 9780470721919 |
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BOOK EXCERPT:
The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them. Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.
Product Details :
Genre |
: Business & Economics |
Author |
: Howard Corb |
Publisher |
: Columbia University Press |
Release |
: 2012-08-28 |
File |
: 623 Pages |
ISBN-13 |
: 9780231530361 |
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BOOK EXCERPT:
This is the first comprehensive review of the extent of remedies and impact of contractual agreements on restitution claims for void, unenforceable, and discharged contracts.
Product Details :
Genre |
: Law |
Author |
: Peter Birks |
Publisher |
: Taylor & Francis |
Release |
: 2020-11-25 |
File |
: 464 Pages |
ISBN-13 |
: 9781000285864 |