Swaps and other derivatives:
CD-ROM contains: Spreadsheet (Excel) files to accompany text.
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester
Wiley
2002
|
| Series: | Wiley finance series
|
| Subjects: | |
| Online Access: | Publisher description Table of contents Inhaltsverzeichnis |
| Summary: | CD-ROM contains: Spreadsheet (Excel) files to accompany text. |
| Physical Description: | XII, 451 S. graph. Darst. |
| ISBN: | 0471495891 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents Preface and Acknowledgements ix
1 Introduction 1
1.1 Introduction 1
1.2 Applications of swaps 3
1.3 An overview of the swap market 6
1.4 The evolution of a swap market 8
1.5 Conclusion 10
2 Short term interest rate swaps 11
Objective 11
2.1 Discounting, the time value of money and other matters 11
2.2 Forward rate agreements and interest rate futures 16
2.3 Short term swaps 20
2.4 Future valuing a swap 31
3 Generic interest rate swaps 35
Objective 35
3.1 Generic interest rate swaps 35
3.2 Pricing through comparative advantage 38
3.3 The relative pricing of generic IRS 41
3.4 The relationship between the bond and swap markets 43
3.5 Implying a discount function 50
3.6 Building a blended curve 58
4 The pricing and valuation of non generic swaps 65
Objective 65
4.1 The pricing of simple non generic swaps 65
4.2 Rollercoasters 72
4.3 A more complex example 75
4.4 An alternative to discounting 85
4.5 Swap valuation 85
5 More complex swaps 95
Objective 95
5.1 Asset packaging 95
vi Contents
5.2 Credit swaps 106
5.3 Credit adjusted swap pricing 121
5.4 Simple mismatch swaps 128
5.5 Average rate swaps 129
5.6 Overnight indexed swaps 131
5.7 Basis swaps 137
5.8 Yield curve swaps 142
5.9 Convexity effects of swaps 152
5.10 Inflation swaps 156
5.11 Equity and commodity swaps 165
5.12 Volatility swaps 175
Appendix Measuring the convexity effect 184
i
6 Cross currency swaps 205
Objective 205
6.1 Floating floating cross currency swaps 205
6.2 Pricing and hedging of CCBS 207
6.3 CCBS and discounting 211
6.4 Fixed floating cross currency swaps 224
6.5 Floating floating swaps continued 229
6.6 Fixed fixed cross currency swaps 234
6.7 Cross currency swaps valuation 241
6.8 Dual currency swaps 247
6.9 Cross currency equity swaps 259
6.10 Conclusion 262
Appendix Adjustments to the pricing of a quanto diff swap 262
7 Interest rate OTC options 267
Objective 267
7.1 Introduction 267
7.2 The Black option pricing model 268
7.3 Interest rate volatility 271
7.4 Par and forward volatilities 277
7.5 Caps, floors and collars 288
7.6 Digital options 299
7.7 Embedded structures 300
7.8 More complex structures 307
7.9 Swaptions 309
7.10 Structures with embedded swaptions 316
7.11 FX options 320
7.12 Hedging FX options 326
8 Traditional market risk management 333
Objective 333
8.1 Introduction 333
8.2 Interest rate risk management 336
8.3 Gridpoint risk management — market rates 337
i vii
8.4 Equivalent portfolios 337
8.5 Gridpoint risk management — forward rates 340
8.6 Gridpoint risk management — zero coupon rates 344
8.7 Yield curve risk management 347
8.8 Swap futures 355
8.9 Theta risk 360
8.10 Risk management of IR option portfolios 362
8.11 Hedging of inflation swaps 373
Appendix Analysis of swap curves 375
9 Imperfect risk management 379
Objective 379
9.1 Introduction 379
9.2 A very simple example 380
9.3 A very simple example extended 386
9.4 Multifactor delta VaR 388
9.5 Choice of risk factors and cashflow mapping 394
9.6 Estimation of volatility and correlations 399
9.7 A running example 401
9.8 Simulation methods 405
9.9 Shortcomings and extensions to simulation methods 414
9.10 Delta gamma and other methods 427
9.11 Spread VaR 433
9.12 Equity VaR 439
9.13 Stress testing 441
Appendix Extreme value theory 444
Index 447
|
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| dewey-sort | 3332.5 221 |
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| discipline | Wirtschaftswissenschaften |
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| indexdate | 2024-07-09T19:02:13Z |
| institution | BVB |
| isbn | 0471495891 |
| language | English |
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| physical | XII, 451 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Flavell, Richard Verfasser aut Swaps and other derivatives Richard Flavell Chichester Wiley 2002 XII, 451 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series CD-ROM contains: Spreadsheet (Excel) files to accompany text. Derivativos larpcal Investimentos larpcal Optiehandel gtt Risk management gtt Swaps gtt Swaps (Finance) Derivative securities Swap (DE-588)4199581-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s DE-604 Swap (DE-588)4199581-8 s http://www.loc.gov/catdir/description/wiley036/2002026017.html Publisher description http://www.loc.gov/catdir/toc/wiley023/2002026017.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009847009&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Flavell, Richard Swaps and other derivatives Derivativos larpcal Investimentos larpcal Optiehandel gtt Risk management gtt Swaps gtt Swaps (Finance) Derivative securities Swap (DE-588)4199581-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4199581-8 (DE-588)4381572-8 |
| title | Swaps and other derivatives |
| title_auth | Swaps and other derivatives |
| title_exact_search | Swaps and other derivatives |
| title_full | Swaps and other derivatives Richard Flavell |
| title_fullStr | Swaps and other derivatives Richard Flavell |
| title_full_unstemmed | Swaps and other derivatives Richard Flavell |
| title_short | Swaps and other derivatives |
| title_sort | swaps and other derivatives |
| topic | Derivativos larpcal Investimentos larpcal Optiehandel gtt Risk management gtt Swaps gtt Swaps (Finance) Derivative securities Swap (DE-588)4199581-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Derivativos Investimentos Optiehandel Risk management Swaps Swaps (Finance) Derivative securities Swap Derivat Wertpapier |
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