Swaps and other derivatives:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Chichester, West Sussex, U.K.
Wiley
2010
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | FRO01 UBG01 URL des Erstveröffentlichers |
| Beschreibung: | Previous edition: 2002 Includes bibliographical references and index "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 |
| Beschreibung: | 1 Online-Ressource (xxvii, 364 pages) |
| ISBN: | 9781119206224 1119206227 9780470689431 0470689439 1283397374 9781283397377 |
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| 500 | |a Includes bibliographical references and index | ||
| 500 | |a "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. | ||
| 500 | |a 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. | ||
| 500 | |a 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 | ||
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Datensatz im Suchindex
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| author | Flavell, Richard |
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| dewey-full | 332.5 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.5 |
| dewey-search | 332.5 |
| dewey-sort | 3332.5 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV043394021 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:24:46Z |
| institution | BVB |
| isbn | 9781119206224 1119206227 9780470689431 0470689439 1283397374 9781283397377 |
| language | English |
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| spelling | Flavell, Richard Verfasser aut Swaps and other derivatives Richard Flavell Chichester, West Sussex, U.K. Wiley 2010 1 Online-Ressource (xxvii, 364 pages) txt rdacontent c rdamedia cr rdacarrier Wiley finance series Previous edition: 2002 Includes bibliographical references and index "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 BUSINESS & ECONOMICS / Finance bisacsh Derivative securities fast Swaps (Finance) fast Wirtschaft Swaps (Finance) Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Swap (DE-588)4199581-8 gnd rswk-swf Swap (DE-588)4199581-8 s 1\p DE-604 Derivat Wertpapier (DE-588)4381572-8 s 2\p DE-604 Erscheint auch als Druck-Ausgabe, Hardcover 978-0-470-72191-9 Erscheint auch als Druck-Ausgabe, Hardcover 0-470-72191-X https://onlinelibrary.wiley.com/doi/book/10.1002/9781119206224 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Flavell, Richard Swaps and other derivatives BUSINESS & ECONOMICS / Finance bisacsh Derivative securities fast Swaps (Finance) fast Wirtschaft Swaps (Finance) Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd Swap (DE-588)4199581-8 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4199581-8 |
| 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 | BUSINESS & ECONOMICS / Finance bisacsh Derivative securities fast Swaps (Finance) fast Wirtschaft Swaps (Finance) Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd Swap (DE-588)4199581-8 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance Derivative securities Swaps (Finance) Wirtschaft Derivat Wertpapier Swap |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781119206224 |
| work_keys_str_mv | AT flavellrichard swapsandotherderivatives |