Interest rate swaps and other derivatives:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY
Columbia Business School Publ.
2012
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XXI, 599 S. graph. Darst. |
| ISBN: | 0231159641 9780231159647 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
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| 001 | BV039947405 | ||
| 003 | DE-604 | ||
| 005 | 20130912 | ||
| 007 | t | ||
| 008 | 120309s2012 d||| |||| 00||| eng d | ||
| 020 | |a 0231159641 |c (hbk.) £48.50 |9 0-231-15964-1 | ||
| 020 | |a 9780231159647 |c (hbk.) £48.50 |9 978-0-231-15964-7 | ||
| 035 | |a (OCoLC)785846019 | ||
| 035 | |a (DE-599)BSZ360225314 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
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| 100 | 1 | |a Corb, Howard |e Verfasser |0 (DE-588)1026533856 |4 aut | |
| 245 | 1 | 0 | |a Interest rate swaps and other derivatives |c Howard Corb |
| 264 | 1 | |a New York, NY |b Columbia Business School Publ. |c 2012 | |
| 300 | |a XXI, 599 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references and index | ||
| 650 | 0 | 7 | |a Zinsswap |0 (DE-588)4199578-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 653 | |a Interest rate futures | ||
| 653 | |a Swaps (Finance) | ||
| 653 | |a Interest rate swaps | ||
| 653 | |a Derivative securities | ||
| 689 | 0 | 0 | |a Zinsswap |0 (DE-588)4199578-8 |D s |
| 689 | 0 | |5 DE-604 | |
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| 689 | 1 | |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 0-231-53036-6 |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-0-231-53036-1 |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024805378&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-024805378 | ||
Record in the Search Index
| _version_ | 1804148917436153856 |
|---|---|
| adam_text | Contents
Preface
xiii
Acknowledgments
xvii
List of Abbreviations
xix
An Introduction to Swaps
1
1.1
Overview
1
1.2
Swaps
3
1.2.1
Fixed-Floating Swaps
4
1.2.2
Basis Swaps
28
1.2.3
Cross-Currency Swaps
34
The Risk Characteristics and the Traditional
Uses of Swaps
40
2.1
Interest Rate Risk
40
2.1.1
PV01
43
2.2
Spread Risk
48
2.2.1
A Closer Look at Swap Spreads
50
2.3
Currency Risk
57
2.4
Counterparty Risk
58
2.5
Traditional Uses of Swaps
63
2.5.1
New Issue Hedging
63
2.5.2
Asset Swaps
68
2.5.3
Balance Sheet Management
70
The Pricing of Swaps
76
3.1
Where Do Swap Rates Come From?
76
CONTENTS
3.1.1
The Link Between Swap Rates and
Eurodollar Futures
79
3.1.2
The Futures Convexity Bias
84
3.2
Moving On: Bootstrapping the Curve and Creating a
Swap Model
86
3.2.1
A Stylized Example
89
3.2.2
PVOls in Our Stylized Example
102
3.3
Moving On: Pricing Up
Nonstandard
Swaps
102
3.3.1
Mark-to-Markets
104
3.3.2
Unwinds 111
3.3.3
Assignments
112
3.3.4
Forward Starting Swaps
113
Caps and Floors
135
4.1
An Introduction to Caps and Floors
135
4.1.1
Cap-Floor Parity
137
4.1.2
Uses of Caps and Floors
138
4.1.3
An Embedded Cap Trade
140
4.1.4
Valuing Caps and Floors
142
4.1.5
Vol
144
4.1.6
Valuing Caps and Floors in Our Stylized Model
147
4.1.7
Variations of Standard Caps and Floors
150
Swaptions
166
5.1
An Introduction to Swaptions
166
5.1.1
The Value of Swaptions at Expiration
168
5.1.2
Swaption Parity
169
5.1.3
Uses of Swaptions
170
5.1.4
Valuing Swaptions Using Black s Formula
172
5.1.5
Swaption
Vol
174
5.1.6
Pricing Swaptions in Our Stylized Example
175
5.2
The Link Between Caps/Floors and Swaptions
178
5.3
Questioning Black s Model for Interest Rate Options
180
5.3.1
Are Interest Rates
Lognormal? 181
5.3.2
Swaption Prices and Implied
Vol
184
5.3.3
Skew
184
5.4
The Normal Model
193
5.4.1
Background
193
5.4.2
The Model
194
5.4.3
Pricing Under the Normal Model
195
vm
CONTENTS
5.4.4
Relationship Between Normal Implied
Vol
and
Lognormal
Implied
Vol
for At-the-Money Swaptions
198
5.4.5
Explaining Skew: The Relationship Between
Normal Implied
Vol
and
Lognormal
Implied
Vol
for Off-the-Money Swaptions
205
5.4.6
The Normal Model: The Industry Standard
206
5.5
Other Models Used to Price Interest Rate Options
208
5.6
Bermudán
Swaptions
209
5.6.1
Optimal Exercise of
Bermudán
Swaptions
211
5.6.2
Valuation of
Bermudán
Swaptions
217
Swaps with Embedded Options
230
6.1
An Underlying Concept
230
6.2
Cancelable Swaps
232
6.2.1
Some Uses of Cancelable Swaps
234
6.2.2
Solving for the Fixed Rate in Cancelable Swaps
235
6.2.3
Bermudán Cancelables
242
6.3
Index Amortizing Swaps
248
6.3.1
An Explanation of the Trade
250
6.3.2
Pricing Index Amortizing Swaps
252
6.3.3
Relationship Between Index Amortizing Swaps
and Cancelable Swaps
253
6.4
Knockout Swaps
256
6.5
Swaps with Convexity Adjustments
262
6.5.1
LIBOR
in Arrears Swaps
262
6.5.2
CMS Swaps
273
Structured Notes
292
7.1
The Rise of the Structured Note Market
294
7.2
A Glossary of Structured Notes
295
7.3
Size of the Market
299
7.4
What Are Structured Notes?
300
7.5
In the Beginning
...
Floating Rate Notes
305
7.5.1
A Prime Floating Rate Note
305
7.6
Capped Floaters
308
7.6.1
An Example: Pricing Up a Capped Floater
309
7.7
Inverse Floaters
310
7.7.1
An Example: Pricing Up a Leveraged Inverse Floater
315
7.7.2
Orange County
321
7.8
Range Notes
324
7.8.1
LEANs
324
7.8.2
Binary Accrual Notes
326
ix
CONTENTS
7.9
Regulatory
Response
331
7.10
Non-Inversion Notes
332
7.10.1
The Pricing of Non-Inversion Notes
333
8
Relative Value and Macro Trades
353
8.1
Carry and Roll-Down Analysis
354
8.2
Curve Trades
361
8.2.1
Yield Curve Trades for Longer Holding Periods
367
8.2.2
Forward Yield Curve Trades
373
8.2.3
Conditional Yield Curve Trades
376
8.3
Trading Swap Spreads
382
8.3.1
Spread Trades for Longer Holding Periods
385
8.3.2
Spread of Spread Trades
387
8.3.3
Conditional Spread Trades
389
8.4
Asset Swaps Revisited
394
8.4.1
Asset Swap Math
398
8.4.2
Asset Swaps Today
400
9
More Recent Product Innovations
414
9.1
An Introduction to Correlation Trades: Caps Versus
Payer Redux
415
9.2
Forward
Vol
Trades
416
9.2.1
Preliminary
417
9.2.2
Description of Forward
Vol
419
9.2.3
Heuristic Pricing of Forward
Vol
Trades
421
9.2.4
Will the Forward Price Be Higher or Lower Than
the Spot Price?
424
9.2.5
Are Forward
Vol
Trades Truly a Pure View on
Vol?
425
9.2.6
Bermudán Cancelable
Swaps Revisited
426
9.3
Curve Options
427
9.3.1
Why Did Curve Options Come About?
430
9.3.2
Implied Correlation
433
9.3.3
Implied Volatility Versus Realized Volatility
434
9.3.4
Supply and Demand of Curve Options
436
9.3.5
The Pricing of Curve Options
437
9.3.6
A Couple of Trades
442
9.3.7
Delta Hedging Curve Options
450
9.3.8
So Why Did 30-Year Swap Spreads Go Negative
—
and What Does That Have to Do with Curve Options?
453
A Refresher in Option Pricing
A.I
The Basics
A.2
Boundaries on Option Prices
A.3
European Put-Call Parity
A.4
Binomial Pricing
A.4.1 Multiperiod Extensions
A.5
The Black-Scholes Formula
A.6
Option Sensitivities
A.6.1 Delta
A.
6.2
Gamma
A.6.3
Vega
A.6.4 Theta
A.7
Binary Options
A.7.1 Delta of Binary Options
A.
7.2 Vega
of Binary Options
A.8
Packages
CONTENTS
Appendixes
463
463
463
468
474
475
481
483
488
488
492
497
499
500
503
508
510
В
A Brief Review of Some Fixed Income Topics
519
B.I Present Value
519
B.2 Duration
520
B.2.1 Macaulay Duration
520
B.2.2 Modified Duration
521
B.2.3 Effective Duration
522
С
A Closer Look at Day Count and Payment
Conventions in Swaps
523
D
A Quick Look at Mortgages
529
E
The Normal Model
537
E.I The Relationship Between
σ/,^ν
and
σ ν
for Swaptions
that Are Struck At-the-Money Forward
539
E.2 The Relationship Between cln and
адг
for
Off-the-Money Swaptions
541
E.3 Option Sensitivities Under the Normal Model
543
Solutions to Selected Problems
545
Bibliography
585
Index
589
Xl
|
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| author | Corb, Howard |
| author_GND | (DE-588)1026533856 |
| author_facet | Corb, Howard |
| author_role | aut |
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| bvnumber | BV039947405 |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)785846019 (DE-599)BSZ360225314 |
| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV039947405 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:14:45Z |
| institution | BVB |
| isbn | 0231159641 9780231159647 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024805378 |
| oclc_num | 785846019 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-703 DE-11 DE-2070s DE-945 |
| owner_facet | DE-355 DE-BY-UBR DE-703 DE-11 DE-2070s DE-945 |
| physical | XXI, 599 S. graph. Darst. |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Columbia Business School Publ. |
| record_format | marc |
| spelling | Corb, Howard Verfasser (DE-588)1026533856 aut Interest rate swaps and other derivatives Howard Corb New York, NY Columbia Business School Publ. 2012 XXI, 599 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Zinsswap (DE-588)4199578-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Interest rate futures Swaps (Finance) Interest rate swaps Derivative securities Zinsswap (DE-588)4199578-8 s DE-604 Derivat Wertpapier (DE-588)4381572-8 s Erscheint auch als Online-Ausgabe 0-231-53036-6 Erscheint auch als Online-Ausgabe 978-0-231-53036-1 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024805378&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Corb, Howard Interest rate swaps and other derivatives Zinsswap (DE-588)4199578-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4199578-8 (DE-588)4381572-8 |
| title | Interest rate swaps and other derivatives |
| title_auth | Interest rate swaps and other derivatives |
| title_exact_search | Interest rate swaps and other derivatives |
| title_full | Interest rate swaps and other derivatives Howard Corb |
| title_fullStr | Interest rate swaps and other derivatives Howard Corb |
| title_full_unstemmed | Interest rate swaps and other derivatives Howard Corb |
| title_short | Interest rate swaps and other derivatives |
| title_sort | interest rate swaps and other derivatives |
| topic | Zinsswap (DE-588)4199578-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Zinsswap Derivat Wertpapier |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024805378&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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