Interest rate swaps and other derivatives /:
Interest rate swaps allow counterparties to exchange fixed rate streams of payment for floating ones. The first swap was executed over thirty years ago, and since then, the interest rate swaps market and other related derivative markets have grown and diversified in phenomenal directions. Today inte...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
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New York :
Columbia Business School,
©2012.
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| Online-Zugang: | Volltext |
| Zusammenfassung: | Interest rate swaps allow counterparties to exchange fixed rate streams of payment for floating ones. The first swap was executed over thirty years ago, and since then, the interest rate swaps market and other related derivative markets have grown and diversified in phenomenal directions. Today interest rate swaps and other derivatives are used by myriad institutional investors for the purposes of risk management, expressing a view on the market, and exploiting market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard M. |
| Beschreibung: | 1 online resource (xxi, 599 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 585-588) and index. |
| ISBN: | 9780231530361 0231530366 |
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| 100 | 1 | |a Corb, Howard de author. | |
| 245 | 1 | 0 | |a Interest rate swaps and other derivatives / |c Howard Corb. |
| 264 | 1 | |a New York : |b Columbia Business School, |c ©2012. | |
| 300 | |a 1 online resource (xxi, 599 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 504 | |a Includes bibliographical references (pages 585-588) and index. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |6 880-01 |a Preface; Acknowledgments; List of Abbreviations; 1 An Introduction to Swaps; 1.1 Overview; 1.2 Swaps; 1.2.1 Fixed-Floating Swaps; 1.2.2 Basis Swaps; 1.2.3 Cross-Currency Swaps; 2 The Risk Characteristics and the Traditional Uses of Swaps; 2.1 Interest Rate Risk; 2.1.1 Pv01; 2.2 Spread Risk; 2.2.1 A Closer Look at Swap Spreads; 2.3 Currency Risk; 2.4 Counterparty Risk; 2.5 Traditional Uses of Swaps; 2.5.1 New Issue Hedging; 2.5.2 Asset Swaps; 2.5.3 Balance Sheet Management; 3 The Pricing of Swaps; 3.1 Where Do Swap Rates Come From? | |
| 505 | 8 | |a 3.1.1 The Link Between Swap Rates and Eurodollar Futures3.1.2 The Futures Convexity Bias; 3.2 Moving On: Bootstrapping the Curve and Creating a Swap Model; 3.2.1 A Stylized Example; 3.2.2 Pv01s in Our Stylized Example; 3.3 Moving On: Pricing Up Nonstandard Swaps; 3.3.1 Mark-to-Markets; 3.3.2 Unwinds; 3.3.3 Assignments; 3.3.4 Forward Starting Swaps; 4 Caps and Floors; 4.1 An Introduction to Caps and Floors; 4.1.1 Cap-Floor Parity; 4.1.2 Uses of Caps and Floors; 4.1.3 An Embedded Cap Trade; 4.1.4 Valuing Caps and Floors; 4.1.5 Vol; 4.1.6 Valuing Caps and Floors in Our Stylized Model. | |
| 505 | 8 | |a 4.1.7 Variations of Standard Caps and Floors5 Swaptions; 5.1 An Introduction to Swaptions; 5.1.1 The Value of Swaptions at Expiration; 5.1.2 Swaption Parity; 5.1.3 Uses of Swaptions; 5.1.4 Valuing Swaptions Using Black's Formula; 5.1.5 Swaption Vol; 5.1.6 Pricing Swaptions in Our Stylized Example; 5.2 The Link Between Caps/Floors and Swaptions; 5.3 Questioning Black's Model for Interest Rate Options; 5.3.1 Are Interest Rates Lognormal?; 5.3.2 Swaption Prices and Implied Vol; 5.3.3 Skew; 5.4 The Normal Model; 5.4.1 Background; 5.4.2 The Model; 5.4.3 Pricing Under the Normal Model. | |
| 505 | 8 | |a 5.4.4 Relationship Between Normal Implied Vol and Lognormal Implied Vol for At-the-Money Swaptions5.4.5 Explaining Skew: The Relationship Between Normal Implied Vol and Lognormal Implied Vol for Off-the-Money Swaptions; 5.4.6 The Normal Model: The Industry Standard; 5.5 Other Models Used to Price Interest Rate Options; 5.6 Bermudan Swaptions; 5.6.1 Optimal Exercise of Bermudan Swaptions; 5.6.2 Valuation of Bermudan Swaptions; 6 Swaps with Embedded Options; 6.1 An Underlying Concept; 6.2 Cancelable Swaps; 6.2.1 Some Uses of Cancelable Swaps; 6.2.2 Solving for the Fixed Rate in Cancelable Swaps. | |
| 505 | 8 | |a 6.2.3 Bermudan Cancelables6.3 Index Amortizing Swaps; 6.3.1 An Explanation of the Trade; 6.3.2 Pricing Index Amortizing Swaps; 6.3.3 Relationship Between Index Amortizing Swaps and Cancelable Swaps; 6.4 Knockout Swaps; 6.5 Swaps with Convexity Adjustments; 6.5.1 Libor in Arrears Swaps; 6.5.2 Cms Swaps; 7 Structured Notes; 7.1 The Rise of the Structured Note Market; 7.2 A Glossary of Structured Notes; 7.3 Size of the Market; 7.4 What Are Structured Notes?; 7.5 In the Beginning ... Floating Rate Notes; 7.5.1 A Prime Floating Rate Note; 7.6 Capped Floaters. | |
| 520 | |a Interest rate swaps allow counterparties to exchange fixed rate streams of payment for floating ones. The first swap was executed over thirty years ago, and since then, the interest rate swaps market and other related derivative markets have grown and diversified in phenomenal directions. Today interest rate swaps and other derivatives are used by myriad institutional investors for the purposes of risk management, expressing a view on the market, and exploiting market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard M. | ||
| 546 | |a English. | ||
| 650 | 0 | |a Interest rate futures. |0 http://id.loc.gov/authorities/subjects/sh85067245 | |
| 650 | 0 | |a Swaps (Finance) |0 http://id.loc.gov/authorities/subjects/sh89002818 | |
| 650 | 0 | |a Interest rate swaps. |0 http://id.loc.gov/authorities/subjects/sh94003211 | |
| 650 | 0 | |a Derivative securities. |0 http://id.loc.gov/authorities/subjects/sh93005704 | |
| 650 | 6 | |a Marchés à terme de taux d'intérêt. | |
| 650 | 6 | |a Swaps (Finances) | |
| 650 | 6 | |a Échanges de taux d'intérêt. | |
| 650 | 6 | |a Instruments dérivés (Finances) | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x General. |2 bisacsh | |
| 650 | 7 | |a Derivative securities |2 fast | |
| 650 | 7 | |a Interest rate futures |2 fast | |
| 650 | 7 | |a Interest rate swaps |2 fast | |
| 650 | 7 | |a Swaps (Finance) |2 fast | |
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| 776 | 0 | 8 | |i Print version: |a Corb, Howard. |t Interest rate swaps and other derivatives. |d New York : Columbia Business School, ©2012 |z 9780231159647 |w (DLC) 2012001490 |w (OCoLC)772715747 |
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| 880 | 0 | 0 | |6 505-01/(S |g Machine generated contents note: |g 1. |t Introduction to Swaps -- |g 1.1. |t Overview -- |g 1.2. |t Swaps -- |g 1.2.1. |t Fixed-Floating Swaps -- |g 1.2.2. |t Basis Swaps -- |g 1.2.3. |t Cross-Currency Swaps -- |g 2. |t Risk Characteristics and the Traditional Uses of Swaps -- |g 2.1. |t Interest Rate Risk -- |g 2.1.1. |t PV01 -- |g 2.2. |t Spread Risk -- |g 2.2.1. |t Closer Look at Swap Spreads -- |g 2.3. |t Currency Risk -- |g 2.4. |t Counterparty Risk -- |g 2.5. |t Traditional Uses of Swaps -- |g 2.5.1. |t New Issue Hedging -- |g 2.5.2. |t Asset Swaps -- |g 2.5.3. |t Balance Sheet Management -- |g 3. |t Pricing of Swaps -- |g 3.1. |t Where Do Swap Rates Come From-- |g 3.1.1. |t Link Between Swap Rates and Eurodollar Futures -- |g 3.1.2. |t Futures Convexity Bias -- |g 3.2. |t Moving On: Bootstrapping the Curve and Creating a Swap Model -- |g 3.2.1. |t Stylized Example -- |g 3.2.2. |t PV01s in Our Stylized Example -- |g 3.3. |t Moving On: Pricing Up Nonstandard Swaps -- |g 3.3.1. |t Mark-to-Markets -- |g 3.3.2. |t Unwinds -- |g 3.3.3. |t Assignments -- |g 3.3.4. |t Forward Starting Swaps -- |g 4. |t Caps and Floors -- |g 4.1. |t Introduction to Caps and Floors -- |g 4.1.1. |t Cap-Floor Parity -- |g 4.1.2. |t Uses of Caps and Floors -- |g 4.1.3. |t Embedded Cap Trade -- |g 4.1.4. |t Valuing Caps and Floors -- |g 4.1.5. |t Vol -- |g 4.1.6. |t Valuing Caps and Floors in Our Stylized Model -- |g 4.1.7. |t Variations of Standard Caps and Floors -- |g 5. |t Swaptions -- |g 5.1. |t Introduction to Swaptions -- |g 5.1.1. |t Value of Swaptions at Expiration -- |g 5.1.2. |t Swaption Parity -- |g 5.1.3. |t Uses of Swaptions -- |g 5.1.4. |t Valuing Swaptions Using Black's Formula -- |g 5.1.5. |t Swaption Vol -- |g 5.1.6. |t Pricing Swaptions in Our Stylized Example -- |g 5.2. |t Link Between Caps/Floors and Swaptions -- |g 5.3. |t Questioning Black's Model for Interest Rate Options -- |g 5.3.1. |t Are Interest Rates Lognormal-- |g 5.3.2. |t Swaption Prices and Implied Vol -- |g 5.3.3. |t Skew -- |g 5.4. |t Normal Model -- |g 5.4.1. |t Background -- |g 5.4.2. |t Model -- |g 5.4.3. |t Pricing Under the Normal Model -- |g 5.4.4. |t Relationship Between Normal Implied Vol and Lognormal Implied Vol for At-the-Money Swaptions -- |g 5.4.5. |t Explaining Skew: The Relationship Between Normal Implied Vol and Lognormal Implied Vol for Off-the-Money Swaptions -- |g 5.4.6. |t Normal Model: The Industry Standard -- |g 5.5. |t Other Models Used to Price Interest Rate Options -- |g 5.6. |t Bermudan Swaptions -- |g 5.6.1. |t Optimal Exercise of Bermudan Swaptions -- |g 5.6.2. |t Valuation of Bermudan Swaptions -- |g 6. |t Swaps with Embedded Options -- |g 6.1. |t Underlying Concept -- |g 6.2. |t Cancelable Swaps -- |g 6.2.1. |t Some Uses of Cancelable Swaps -- |g 6.2.2. |t Solving for the Fixed Rate in Cancelable Swaps -- |g 6.2.3. |t Bermudan Cancelables -- |g 6.3. |t Index Amortizing Swaps -- |g 6.3.1. |t Explanation of the Trade -- |g 6.3.2. |t Pricing Index Amortizing Swaps -- |g 6.3.3. |t Relationship Between Index Amortizing Swaps and Cancelable Swaps -- |g 6.4. |t Knockout Swaps -- |g 6.5. |t Swaps with Convexity Adjustments -- |g 6.5.1. |t LIBOR in Arrears Swaps -- |g 6.5.2. |t CMS Swaps -- |g 7. |t Structured Notes -- |g 7.1. |t Rise of the Structured Note Market -- |g 7.2. |t Glossary of Structured Notes -- |g 7.3. |t Size of the Market -- |g 7.4. |t What Are Structured Notes-- |g 7.5. |t In the Beginning Floating Rate Notes -- |g 7.5.1. |t Prime Floating Rate Note -- |g 7.6. |t Capped Floaters -- |g 7.6.1. |t Example: Pricing Up a Capped Floater -- |g 7.7. |t Inverse Floaters -- |g 7.7.1. |t Example: Pricing Up a Leveraged Inverse Floater -- |g 7.7.2. |t Orange County -- |g 7.8. |t Range Notes -- |g 7.8.1. |t LEANs -- |g 7.8.2. |t Binary Accrual Notes -- |g 7.9. |t Regulatory Response -- |g 7.10. |t Non-Inversion Notes -- |g 7.10.1. |t Pricing of Non-Inversion Notes -- |g 8. |t Relative Value and Macro Trades -- |g 8.1. |t Carry and Roll-Down Analysis -- |g 8.2. |t Curve Trades -- |g 8.2.1. |t Yield Curve Trades for Longer Holding Periods -- |g 8.2.2. |t Forward Yield Curve Trades -- |g 8.2.3. |t Conditional Yield Curve Trades -- |g 8.3. |t Trading Swap Spreads -- |g 8.3.1. |t Spread Trades for Longer Holding Periods -- |g 8.3.2. |t Spread of Spread Trades -- |g 8.3.3. |t Conditional Spread Trades -- |g 8.4. |t Asset Swaps Revisited -- |g 8.4.1. |t Asset Swap Math -- |g 8.4.2. |t Asset Swaps Today -- |g 9. |t More Recent Product Innovations -- |g 9.1. |t Introduction to Correlation Trades: Caps Versus Payer Redux -- |g 9.2. |t Forward Vol Trades -- |g 9.2.1. |t Preliminary -- |g 9.2.2. |t Description of Forward Vol -- |g 9.2.3. |t Heuristic Pricing of Forward Vol Trades -- |g 9.2.4. |t Will the Forward Price Be Higher or Lower Than the Spot Price-- |g 9.2.5. |t Are Forward Vol Trades Truly a Pure View on Vol-- |g 9.2.6. |t Bermudan Cancelable Swaps Revisited -- |g 9.3. |t Curve Options -- |g 9.3.1. |t Why Did Curve Options Come About-- |g 9.3.2. |t Implied Correlation -- |g 9.3.3. |t Implied Volatility Versus Realized Volatility -- |g 9.3.4. |t Supply and Demand of Curve Options -- |g 9.3.5. |t Pricing of Curve Options -- |g 9.3.6. |t Couple of Trades -- |g 9.3.7. |t Delta Hedging Curve Options -- |g 9.3.8. |t So Why Did 30-Year Swap Spreads Go Negative --- and What Does That Have to Do with Curve Options-- |t Appendixes -- |g A. |t Refresher in Option Pricing -- |g A.1. |t Basics -- |g A.2. |t Boundaries on Option Prices -- |g A.3. |t European Put-Call Parity -- |g A.4. |t Binomial Pricing -- |g A.4.1. |t Multiperiod Extensions -- |g A.5. |t Black-Scholes Formula -- |g A.6. |t Option Sensitivities -- |g A.6.1. |t Delta -- |g A.6.2. |t Gamma -- |g A.6.3. |t Vega -- |g A.6.4. |t Theta -- |g A.7. |t Binary Options -- |g A.7.1. |t Delta of Binary Options -- |g A.7.2. |t Vega of Binary Options -- |g A.8. |t Packages -- |g B. |t Brief Review of Some Fixed Income Topics -- |g B.1. |t Present Value -- |g B.2. |t Duration -- |g B.2.1. |t Macaulay Duration -- |g B.2.2. |t Modified Duration -- |g B.2.3. |t Effective Duration -- |g C. |t Closer Look at Day Count and Payment Conventions in Swaps -- |g D. |t Quick Look at Mortgages -- |g E. |t Normal Model -- |g E.1. |t Relationship Between σLN and σN for Swaptions that Are Struck At-the-Money Forward -- |g E.2. |t Relationship Between σLN and σN for Off-the-Money Swaptions -- |g E.3. |t Option Sensitivities Under the Normal Model. |
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Datensatz im Suchindex
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| _version_ | 1816882211243163648 |
| adam_text | |
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| author | Corb, Howard de author |
| author_facet | Corb, Howard de author |
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| author_sort | Corb, Howard de author |
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| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.5 .C67 2012 |
| callnumber-search | HG6024.5 .C67 2012 |
| callnumber-sort | HG 46024.5 C67 42012 |
| callnumber-subject | HG - Finance |
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| contents | Preface; Acknowledgments; List of Abbreviations; 1 An Introduction to Swaps; 1.1 Overview; 1.2 Swaps; 1.2.1 Fixed-Floating Swaps; 1.2.2 Basis Swaps; 1.2.3 Cross-Currency Swaps; 2 The Risk Characteristics and the Traditional Uses of Swaps; 2.1 Interest Rate Risk; 2.1.1 Pv01; 2.2 Spread Risk; 2.2.1 A Closer Look at Swap Spreads; 2.3 Currency Risk; 2.4 Counterparty Risk; 2.5 Traditional Uses of Swaps; 2.5.1 New Issue Hedging; 2.5.2 Asset Swaps; 2.5.3 Balance Sheet Management; 3 The Pricing of Swaps; 3.1 Where Do Swap Rates Come From? 3.1.1 The Link Between Swap Rates and Eurodollar Futures3.1.2 The Futures Convexity Bias; 3.2 Moving On: Bootstrapping the Curve and Creating a Swap Model; 3.2.1 A Stylized Example; 3.2.2 Pv01s in Our Stylized Example; 3.3 Moving On: Pricing Up Nonstandard Swaps; 3.3.1 Mark-to-Markets; 3.3.2 Unwinds; 3.3.3 Assignments; 3.3.4 Forward Starting Swaps; 4 Caps and Floors; 4.1 An Introduction to Caps and Floors; 4.1.1 Cap-Floor Parity; 4.1.2 Uses of Caps and Floors; 4.1.3 An Embedded Cap Trade; 4.1.4 Valuing Caps and Floors; 4.1.5 Vol; 4.1.6 Valuing Caps and Floors in Our Stylized Model. 4.1.7 Variations of Standard Caps and Floors5 Swaptions; 5.1 An Introduction to Swaptions; 5.1.1 The Value of Swaptions at Expiration; 5.1.2 Swaption Parity; 5.1.3 Uses of Swaptions; 5.1.4 Valuing Swaptions Using Black's Formula; 5.1.5 Swaption Vol; 5.1.6 Pricing Swaptions in Our Stylized Example; 5.2 The Link Between Caps/Floors and Swaptions; 5.3 Questioning Black's Model for Interest Rate Options; 5.3.1 Are Interest Rates Lognormal?; 5.3.2 Swaption Prices and Implied Vol; 5.3.3 Skew; 5.4 The Normal Model; 5.4.1 Background; 5.4.2 The Model; 5.4.3 Pricing Under the Normal Model. 5.4.4 Relationship Between Normal Implied Vol and Lognormal Implied Vol for At-the-Money Swaptions5.4.5 Explaining Skew: The Relationship Between Normal Implied Vol and Lognormal Implied Vol for Off-the-Money Swaptions; 5.4.6 The Normal Model: The Industry Standard; 5.5 Other Models Used to Price Interest Rate Options; 5.6 Bermudan Swaptions; 5.6.1 Optimal Exercise of Bermudan Swaptions; 5.6.2 Valuation of Bermudan Swaptions; 6 Swaps with Embedded Options; 6.1 An Underlying Concept; 6.2 Cancelable Swaps; 6.2.1 Some Uses of Cancelable Swaps; 6.2.2 Solving for the Fixed Rate in Cancelable Swaps. 6.2.3 Bermudan Cancelables6.3 Index Amortizing Swaps; 6.3.1 An Explanation of the Trade; 6.3.2 Pricing Index Amortizing Swaps; 6.3.3 Relationship Between Index Amortizing Swaps and Cancelable Swaps; 6.4 Knockout Swaps; 6.5 Swaps with Convexity Adjustments; 6.5.1 Libor in Arrears Swaps; 6.5.2 Cms Swaps; 7 Structured Notes; 7.1 The Rise of the Structured Note Market; 7.2 A Glossary of Structured Notes; 7.3 Size of the Market; 7.4 What Are Structured Notes?; 7.5 In the Beginning ... Floating Rate Notes; 7.5.1 A Prime Floating Rate Note; 7.6 Capped Floaters. |
| ctrlnum | (OCoLC)812925867 |
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| dewey-ones | 332 - Financial economics |
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| dewey-sort | 3332.64 257 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
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code="z">(OCoLC)1300501940</subfield></datafield><datafield tag="037" ind1=" " ind2=" "><subfield code="a">22573/cttgqc25</subfield><subfield code="b">JSTOR</subfield></datafield><datafield tag="037" ind1=" " ind2=" "><subfield code="a">6742EA76-4484-4F4A-801C-2D67744AC663</subfield><subfield code="b">OverDrive, Inc.</subfield><subfield code="n">http://www.overdrive.com</subfield></datafield><datafield tag="050" ind1=" " ind2="4"><subfield code="a">HG6024.5</subfield><subfield code="b">.C67 2012</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS</subfield><subfield code="x">036000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS000000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS014000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS027000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS017000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="082" ind1="7" ind2=" "><subfield code="a">332.64/57</subfield><subfield code="2">23</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">MAIN</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Corb, Howard de author.</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Interest rate swaps and other derivatives /</subfield><subfield code="c">Howard Corb.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York :</subfield><subfield code="b">Columbia Business School,</subfield><subfield code="c">©2012.</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (xxi, 599 pages) :</subfield><subfield code="b">illustrations</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">computer</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">online resource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="504" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references (pages 585-588) and index.</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Print version record.</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="6">880-01</subfield><subfield code="a">Preface; Acknowledgments; List of Abbreviations; 1 An Introduction to Swaps; 1.1 Overview; 1.2 Swaps; 1.2.1 Fixed-Floating Swaps; 1.2.2 Basis Swaps; 1.2.3 Cross-Currency Swaps; 2 The Risk Characteristics and the Traditional Uses of Swaps; 2.1 Interest Rate Risk; 2.1.1 Pv01; 2.2 Spread Risk; 2.2.1 A Closer Look at Swap Spreads; 2.3 Currency Risk; 2.4 Counterparty Risk; 2.5 Traditional Uses of Swaps; 2.5.1 New Issue Hedging; 2.5.2 Asset Swaps; 2.5.3 Balance Sheet Management; 3 The Pricing of Swaps; 3.1 Where Do Swap Rates Come From?</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">3.1.1 The Link Between Swap Rates and Eurodollar Futures3.1.2 The Futures Convexity Bias; 3.2 Moving On: Bootstrapping the Curve and Creating a Swap Model; 3.2.1 A Stylized Example; 3.2.2 Pv01s in Our Stylized Example; 3.3 Moving On: Pricing Up Nonstandard Swaps; 3.3.1 Mark-to-Markets; 3.3.2 Unwinds; 3.3.3 Assignments; 3.3.4 Forward Starting Swaps; 4 Caps and Floors; 4.1 An Introduction to Caps and Floors; 4.1.1 Cap-Floor Parity; 4.1.2 Uses of Caps and Floors; 4.1.3 An Embedded Cap Trade; 4.1.4 Valuing Caps and Floors; 4.1.5 Vol; 4.1.6 Valuing Caps and Floors in Our Stylized Model.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">4.1.7 Variations of Standard Caps and Floors5 Swaptions; 5.1 An Introduction to Swaptions; 5.1.1 The Value of Swaptions at Expiration; 5.1.2 Swaption Parity; 5.1.3 Uses of Swaptions; 5.1.4 Valuing Swaptions Using Black's Formula; 5.1.5 Swaption Vol; 5.1.6 Pricing Swaptions in Our Stylized Example; 5.2 The Link Between Caps/Floors and Swaptions; 5.3 Questioning Black's Model for Interest Rate Options; 5.3.1 Are Interest Rates Lognormal?; 5.3.2 Swaption Prices and Implied Vol; 5.3.3 Skew; 5.4 The Normal Model; 5.4.1 Background; 5.4.2 The Model; 5.4.3 Pricing Under the Normal Model.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">5.4.4 Relationship Between Normal Implied Vol and Lognormal Implied Vol for At-the-Money Swaptions5.4.5 Explaining Skew: The Relationship Between Normal Implied Vol and Lognormal Implied Vol for Off-the-Money Swaptions; 5.4.6 The Normal Model: The Industry Standard; 5.5 Other Models Used to Price Interest Rate Options; 5.6 Bermudan Swaptions; 5.6.1 Optimal Exercise of Bermudan Swaptions; 5.6.2 Valuation of Bermudan Swaptions; 6 Swaps with Embedded Options; 6.1 An Underlying Concept; 6.2 Cancelable Swaps; 6.2.1 Some Uses of Cancelable Swaps; 6.2.2 Solving for the Fixed Rate in Cancelable Swaps.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">6.2.3 Bermudan Cancelables6.3 Index Amortizing Swaps; 6.3.1 An Explanation of the Trade; 6.3.2 Pricing Index Amortizing Swaps; 6.3.3 Relationship Between Index Amortizing Swaps and Cancelable Swaps; 6.4 Knockout Swaps; 6.5 Swaps with Convexity Adjustments; 6.5.1 Libor in Arrears Swaps; 6.5.2 Cms Swaps; 7 Structured Notes; 7.1 The Rise of the Structured Note Market; 7.2 A Glossary of Structured Notes; 7.3 Size of the Market; 7.4 What Are Structured Notes?; 7.5 In the Beginning ... Floating Rate Notes; 7.5.1 A Prime Floating Rate Note; 7.6 Capped Floaters.</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Interest rate swaps allow counterparties to exchange fixed rate streams of payment for floating ones. The first swap was executed over thirty years ago, and since then, the interest rate swaps market and other related derivative markets have grown and diversified in phenomenal directions. Today interest rate swaps and other derivatives are used by myriad institutional investors for the purposes of risk management, expressing a view on the market, and exploiting market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard M.</subfield></datafield><datafield tag="546" ind1=" " ind2=" "><subfield code="a">English.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Interest rate futures.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85067245</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Swaps (Finance)</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh89002818</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Interest rate swaps.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh94003211</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Derivative securities.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh93005704</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Marchés à terme de taux d'intérêt.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Swaps (Finances)</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Échanges de taux d'intérêt.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Instruments dérivés (Finances)</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS</subfield><subfield code="x">Investments & Securities</subfield><subfield code="x">General.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS</subfield><subfield code="x">General.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Derivative securities</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Interest rate futures</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Interest rate swaps</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Swaps (Finance)</subfield><subfield code="2">fast</subfield></datafield><datafield tag="758" ind1=" " ind2=" "><subfield code="i">has work:</subfield><subfield code="a">Interest rate swaps and other derivatives (Text)</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PCYcYkbC3qWF8B4YcK7tJCP</subfield><subfield code="4">https://id.oclc.org/worldcat/ontology/hasWork</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Print version:</subfield><subfield code="a">Corb, Howard.</subfield><subfield code="t">Interest rate swaps and other derivatives.</subfield><subfield code="d">New York : Columbia Business School, ©2012</subfield><subfield code="z">9780231159647</subfield><subfield code="w">(DLC) 2012001490</subfield><subfield code="w">(OCoLC)772715747</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="l">FWS01</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FWS_PDA_EBA</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=481386</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="880" ind1="0" ind2="0"><subfield code="6">505-01/(S</subfield><subfield code="g">Machine generated contents note:</subfield><subfield code="g">1.</subfield><subfield code="t">Introduction to Swaps --</subfield><subfield code="g">1.1.</subfield><subfield code="t">Overview --</subfield><subfield code="g">1.2.</subfield><subfield code="t">Swaps --</subfield><subfield code="g">1.2.1.</subfield><subfield code="t">Fixed-Floating Swaps --</subfield><subfield code="g">1.2.2.</subfield><subfield code="t">Basis Swaps --</subfield><subfield code="g">1.2.3.</subfield><subfield code="t">Cross-Currency Swaps --</subfield><subfield code="g">2.</subfield><subfield code="t">Risk Characteristics and the Traditional Uses of Swaps --</subfield><subfield code="g">2.1.</subfield><subfield code="t">Interest Rate Risk --</subfield><subfield code="g">2.1.1.</subfield><subfield code="t">PV01 --</subfield><subfield code="g">2.2.</subfield><subfield code="t">Spread Risk --</subfield><subfield code="g">2.2.1.</subfield><subfield code="t">Closer Look at Swap Spreads --</subfield><subfield code="g">2.3.</subfield><subfield code="t">Currency Risk --</subfield><subfield code="g">2.4.</subfield><subfield code="t">Counterparty Risk --</subfield><subfield code="g">2.5.</subfield><subfield code="t">Traditional Uses of Swaps --</subfield><subfield code="g">2.5.1.</subfield><subfield code="t">New Issue Hedging --</subfield><subfield code="g">2.5.2.</subfield><subfield code="t">Asset Swaps --</subfield><subfield code="g">2.5.3.</subfield><subfield code="t">Balance Sheet Management --</subfield><subfield code="g">3.</subfield><subfield code="t">Pricing of Swaps --</subfield><subfield code="g">3.1.</subfield><subfield code="t">Where Do Swap Rates Come From--</subfield><subfield code="g">3.1.1.</subfield><subfield code="t">Link Between Swap Rates and Eurodollar Futures --</subfield><subfield code="g">3.1.2.</subfield><subfield code="t">Futures Convexity Bias --</subfield><subfield code="g">3.2.</subfield><subfield code="t">Moving On: Bootstrapping the Curve and Creating a Swap Model --</subfield><subfield code="g">3.2.1.</subfield><subfield code="t">Stylized Example --</subfield><subfield code="g">3.2.2.</subfield><subfield code="t">PV01s in Our Stylized Example --</subfield><subfield code="g">3.3.</subfield><subfield code="t">Moving On: Pricing Up Nonstandard Swaps --</subfield><subfield code="g">3.3.1.</subfield><subfield code="t">Mark-to-Markets --</subfield><subfield code="g">3.3.2.</subfield><subfield code="t">Unwinds --</subfield><subfield code="g">3.3.3.</subfield><subfield code="t">Assignments --</subfield><subfield code="g">3.3.4.</subfield><subfield code="t">Forward Starting Swaps --</subfield><subfield code="g">4.</subfield><subfield code="t">Caps and Floors --</subfield><subfield code="g">4.1.</subfield><subfield code="t">Introduction to Caps and Floors --</subfield><subfield code="g">4.1.1.</subfield><subfield code="t">Cap-Floor Parity --</subfield><subfield code="g">4.1.2.</subfield><subfield code="t">Uses of Caps and Floors --</subfield><subfield code="g">4.1.3.</subfield><subfield code="t">Embedded Cap Trade --</subfield><subfield code="g">4.1.4.</subfield><subfield code="t">Valuing Caps and Floors --</subfield><subfield code="g">4.1.5.</subfield><subfield code="t">Vol --</subfield><subfield code="g">4.1.6.</subfield><subfield code="t">Valuing Caps and Floors in Our Stylized Model --</subfield><subfield code="g">4.1.7.</subfield><subfield code="t">Variations of Standard Caps and Floors --</subfield><subfield code="g">5.</subfield><subfield code="t">Swaptions --</subfield><subfield code="g">5.1.</subfield><subfield code="t">Introduction to Swaptions --</subfield><subfield code="g">5.1.1.</subfield><subfield code="t">Value of Swaptions at Expiration --</subfield><subfield code="g">5.1.2.</subfield><subfield code="t">Swaption Parity --</subfield><subfield code="g">5.1.3.</subfield><subfield code="t">Uses of Swaptions --</subfield><subfield code="g">5.1.4.</subfield><subfield code="t">Valuing Swaptions Using Black's Formula --</subfield><subfield code="g">5.1.5.</subfield><subfield code="t">Swaption Vol --</subfield><subfield code="g">5.1.6.</subfield><subfield code="t">Pricing Swaptions in Our Stylized Example --</subfield><subfield code="g">5.2.</subfield><subfield code="t">Link Between Caps/Floors and Swaptions --</subfield><subfield code="g">5.3.</subfield><subfield code="t">Questioning Black's Model for Interest Rate Options --</subfield><subfield code="g">5.3.1.</subfield><subfield code="t">Are Interest Rates Lognormal--</subfield><subfield code="g">5.3.2.</subfield><subfield code="t">Swaption Prices and Implied Vol --</subfield><subfield code="g">5.3.3.</subfield><subfield code="t">Skew --</subfield><subfield code="g">5.4.</subfield><subfield code="t">Normal Model --</subfield><subfield code="g">5.4.1.</subfield><subfield code="t">Background --</subfield><subfield code="g">5.4.2.</subfield><subfield code="t">Model --</subfield><subfield code="g">5.4.3.</subfield><subfield code="t">Pricing Under the Normal Model --</subfield><subfield code="g">5.4.4.</subfield><subfield code="t">Relationship Between Normal Implied Vol and Lognormal Implied Vol for At-the-Money Swaptions --</subfield><subfield code="g">5.4.5.</subfield><subfield code="t">Explaining Skew: The Relationship Between Normal Implied Vol and Lognormal Implied Vol for Off-the-Money Swaptions --</subfield><subfield code="g">5.4.6.</subfield><subfield code="t">Normal Model: The Industry Standard --</subfield><subfield code="g">5.5.</subfield><subfield code="t">Other Models Used to Price Interest Rate Options --</subfield><subfield code="g">5.6.</subfield><subfield code="t">Bermudan Swaptions --</subfield><subfield code="g">5.6.1.</subfield><subfield code="t">Optimal Exercise of Bermudan Swaptions --</subfield><subfield code="g">5.6.2.</subfield><subfield code="t">Valuation of Bermudan Swaptions --</subfield><subfield code="g">6.</subfield><subfield code="t">Swaps with Embedded Options --</subfield><subfield code="g">6.1.</subfield><subfield code="t">Underlying Concept --</subfield><subfield code="g">6.2.</subfield><subfield code="t">Cancelable Swaps --</subfield><subfield code="g">6.2.1.</subfield><subfield code="t">Some Uses of Cancelable Swaps --</subfield><subfield code="g">6.2.2.</subfield><subfield code="t">Solving for the Fixed Rate in Cancelable Swaps --</subfield><subfield code="g">6.2.3.</subfield><subfield code="t">Bermudan Cancelables --</subfield><subfield code="g">6.3.</subfield><subfield code="t">Index Amortizing Swaps --</subfield><subfield code="g">6.3.1.</subfield><subfield code="t">Explanation of the Trade --</subfield><subfield code="g">6.3.2.</subfield><subfield code="t">Pricing Index Amortizing Swaps --</subfield><subfield code="g">6.3.3.</subfield><subfield code="t">Relationship Between Index Amortizing Swaps and Cancelable Swaps --</subfield><subfield code="g">6.4.</subfield><subfield code="t">Knockout Swaps --</subfield><subfield code="g">6.5.</subfield><subfield code="t">Swaps with Convexity Adjustments --</subfield><subfield code="g">6.5.1.</subfield><subfield code="t">LIBOR in Arrears Swaps --</subfield><subfield code="g">6.5.2.</subfield><subfield code="t">CMS Swaps --</subfield><subfield code="g">7.</subfield><subfield code="t">Structured Notes --</subfield><subfield code="g">7.1.</subfield><subfield code="t">Rise of the Structured Note Market --</subfield><subfield code="g">7.2.</subfield><subfield code="t">Glossary of Structured Notes --</subfield><subfield code="g">7.3.</subfield><subfield code="t">Size of the Market --</subfield><subfield code="g">7.4.</subfield><subfield code="t">What Are Structured Notes--</subfield><subfield code="g">7.5.</subfield><subfield code="t">In the Beginning Floating Rate Notes --</subfield><subfield code="g">7.5.1.</subfield><subfield code="t">Prime Floating Rate Note --</subfield><subfield code="g">7.6.</subfield><subfield code="t">Capped Floaters --</subfield><subfield code="g">7.6.1.</subfield><subfield code="t">Example: Pricing Up a Capped Floater --</subfield><subfield code="g">7.7.</subfield><subfield code="t">Inverse Floaters --</subfield><subfield code="g">7.7.1.</subfield><subfield code="t">Example: Pricing Up a Leveraged Inverse Floater --</subfield><subfield code="g">7.7.2.</subfield><subfield code="t">Orange County --</subfield><subfield code="g">7.8.</subfield><subfield code="t">Range Notes --</subfield><subfield code="g">7.8.1.</subfield><subfield code="t">LEANs --</subfield><subfield code="g">7.8.2.</subfield><subfield code="t">Binary Accrual Notes --</subfield><subfield code="g">7.9.</subfield><subfield code="t">Regulatory Response --</subfield><subfield code="g">7.10.</subfield><subfield code="t">Non-Inversion Notes --</subfield><subfield code="g">7.10.1.</subfield><subfield code="t">Pricing of Non-Inversion Notes --</subfield><subfield code="g">8.</subfield><subfield code="t">Relative Value and Macro Trades --</subfield><subfield code="g">8.1.</subfield><subfield code="t">Carry and Roll-Down Analysis --</subfield><subfield code="g">8.2.</subfield><subfield code="t">Curve Trades --</subfield><subfield code="g">8.2.1.</subfield><subfield code="t">Yield Curve Trades for Longer Holding Periods --</subfield><subfield code="g">8.2.2.</subfield><subfield code="t">Forward Yield Curve Trades --</subfield><subfield code="g">8.2.3.</subfield><subfield code="t">Conditional Yield Curve Trades --</subfield><subfield code="g">8.3.</subfield><subfield code="t">Trading Swap Spreads --</subfield><subfield code="g">8.3.1.</subfield><subfield code="t">Spread Trades for Longer Holding Periods --</subfield><subfield code="g">8.3.2.</subfield><subfield code="t">Spread of Spread Trades --</subfield><subfield code="g">8.3.3.</subfield><subfield code="t">Conditional Spread Trades --</subfield><subfield code="g">8.4.</subfield><subfield code="t">Asset Swaps Revisited --</subfield><subfield code="g">8.4.1.</subfield><subfield code="t">Asset Swap Math --</subfield><subfield code="g">8.4.2.</subfield><subfield code="t">Asset Swaps Today --</subfield><subfield code="g">9.</subfield><subfield code="t">More Recent Product Innovations --</subfield><subfield code="g">9.1.</subfield><subfield code="t">Introduction to Correlation Trades: Caps Versus Payer Redux --</subfield><subfield code="g">9.2.</subfield><subfield code="t">Forward Vol Trades --</subfield><subfield code="g">9.2.1.</subfield><subfield code="t">Preliminary --</subfield><subfield code="g">9.2.2.</subfield><subfield code="t">Description of Forward Vol --</subfield><subfield code="g">9.2.3.</subfield><subfield code="t">Heuristic Pricing of Forward Vol Trades --</subfield><subfield code="g">9.2.4.</subfield><subfield code="t">Will the Forward Price Be Higher or Lower Than the Spot Price--</subfield><subfield code="g">9.2.5.</subfield><subfield code="t">Are Forward Vol Trades Truly a Pure View on Vol--</subfield><subfield code="g">9.2.6.</subfield><subfield code="t">Bermudan Cancelable Swaps Revisited --</subfield><subfield code="g">9.3.</subfield><subfield code="t">Curve Options --</subfield><subfield code="g">9.3.1.</subfield><subfield code="t">Why Did Curve Options Come About--</subfield><subfield code="g">9.3.2.</subfield><subfield code="t">Implied Correlation --</subfield><subfield code="g">9.3.3.</subfield><subfield code="t">Implied Volatility Versus Realized Volatility --</subfield><subfield code="g">9.3.4.</subfield><subfield code="t">Supply and Demand of Curve Options --</subfield><subfield code="g">9.3.5.</subfield><subfield code="t">Pricing of Curve Options --</subfield><subfield code="g">9.3.6.</subfield><subfield code="t">Couple of Trades --</subfield><subfield code="g">9.3.7.</subfield><subfield code="t">Delta Hedging Curve Options --</subfield><subfield code="g">9.3.8.</subfield><subfield code="t">So Why Did 30-Year Swap Spreads Go Negative --- and What Does That Have to Do with Curve Options--</subfield><subfield code="t">Appendixes --</subfield><subfield code="g">A.</subfield><subfield code="t">Refresher in Option Pricing --</subfield><subfield code="g">A.1.</subfield><subfield code="t">Basics --</subfield><subfield code="g">A.2.</subfield><subfield code="t">Boundaries on Option Prices --</subfield><subfield code="g">A.3.</subfield><subfield code="t">European Put-Call Parity --</subfield><subfield code="g">A.4.</subfield><subfield code="t">Binomial Pricing --</subfield><subfield code="g">A.4.1.</subfield><subfield code="t">Multiperiod Extensions 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| id | ZDB-4-EBA-ocn812925867 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:25:00Z |
| institution | BVB |
| isbn | 9780231530361 0231530366 |
| language | English |
| oclc_num | 812925867 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xxi, 599 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Columbia Business School, |
| record_format | marc |
| spelling | Corb, Howard de author. Interest rate swaps and other derivatives / Howard Corb. New York : Columbia Business School, ©2012. 1 online resource (xxi, 599 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references (pages 585-588) and index. Print version record. 880-01 Preface; Acknowledgments; List of Abbreviations; 1 An Introduction to Swaps; 1.1 Overview; 1.2 Swaps; 1.2.1 Fixed-Floating Swaps; 1.2.2 Basis Swaps; 1.2.3 Cross-Currency Swaps; 2 The Risk Characteristics and the Traditional Uses of Swaps; 2.1 Interest Rate Risk; 2.1.1 Pv01; 2.2 Spread Risk; 2.2.1 A Closer Look at Swap Spreads; 2.3 Currency Risk; 2.4 Counterparty Risk; 2.5 Traditional Uses of Swaps; 2.5.1 New Issue Hedging; 2.5.2 Asset Swaps; 2.5.3 Balance Sheet Management; 3 The Pricing of Swaps; 3.1 Where Do Swap Rates Come From? 3.1.1 The Link Between Swap Rates and Eurodollar Futures3.1.2 The Futures Convexity Bias; 3.2 Moving On: Bootstrapping the Curve and Creating a Swap Model; 3.2.1 A Stylized Example; 3.2.2 Pv01s in Our Stylized Example; 3.3 Moving On: Pricing Up Nonstandard Swaps; 3.3.1 Mark-to-Markets; 3.3.2 Unwinds; 3.3.3 Assignments; 3.3.4 Forward Starting Swaps; 4 Caps and Floors; 4.1 An Introduction to Caps and Floors; 4.1.1 Cap-Floor Parity; 4.1.2 Uses of Caps and Floors; 4.1.3 An Embedded Cap Trade; 4.1.4 Valuing Caps and Floors; 4.1.5 Vol; 4.1.6 Valuing Caps and Floors in Our Stylized Model. 4.1.7 Variations of Standard Caps and Floors5 Swaptions; 5.1 An Introduction to Swaptions; 5.1.1 The Value of Swaptions at Expiration; 5.1.2 Swaption Parity; 5.1.3 Uses of Swaptions; 5.1.4 Valuing Swaptions Using Black's Formula; 5.1.5 Swaption Vol; 5.1.6 Pricing Swaptions in Our Stylized Example; 5.2 The Link Between Caps/Floors and Swaptions; 5.3 Questioning Black's Model for Interest Rate Options; 5.3.1 Are Interest Rates Lognormal?; 5.3.2 Swaption Prices and Implied Vol; 5.3.3 Skew; 5.4 The Normal Model; 5.4.1 Background; 5.4.2 The Model; 5.4.3 Pricing Under the Normal Model. 5.4.4 Relationship Between Normal Implied Vol and Lognormal Implied Vol for At-the-Money Swaptions5.4.5 Explaining Skew: The Relationship Between Normal Implied Vol and Lognormal Implied Vol for Off-the-Money Swaptions; 5.4.6 The Normal Model: The Industry Standard; 5.5 Other Models Used to Price Interest Rate Options; 5.6 Bermudan Swaptions; 5.6.1 Optimal Exercise of Bermudan Swaptions; 5.6.2 Valuation of Bermudan Swaptions; 6 Swaps with Embedded Options; 6.1 An Underlying Concept; 6.2 Cancelable Swaps; 6.2.1 Some Uses of Cancelable Swaps; 6.2.2 Solving for the Fixed Rate in Cancelable Swaps. 6.2.3 Bermudan Cancelables6.3 Index Amortizing Swaps; 6.3.1 An Explanation of the Trade; 6.3.2 Pricing Index Amortizing Swaps; 6.3.3 Relationship Between Index Amortizing Swaps and Cancelable Swaps; 6.4 Knockout Swaps; 6.5 Swaps with Convexity Adjustments; 6.5.1 Libor in Arrears Swaps; 6.5.2 Cms Swaps; 7 Structured Notes; 7.1 The Rise of the Structured Note Market; 7.2 A Glossary of Structured Notes; 7.3 Size of the Market; 7.4 What Are Structured Notes?; 7.5 In the Beginning ... Floating Rate Notes; 7.5.1 A Prime Floating Rate Note; 7.6 Capped Floaters. Interest rate swaps allow counterparties to exchange fixed rate streams of payment for floating ones. The first swap was executed over thirty years ago, and since then, the interest rate swaps market and other related derivative markets have grown and diversified in phenomenal directions. Today interest rate swaps and other derivatives are used by myriad institutional investors for the purposes of risk management, expressing a view on the market, and exploiting market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard M. English. Interest rate futures. http://id.loc.gov/authorities/subjects/sh85067245 Swaps (Finance) http://id.loc.gov/authorities/subjects/sh89002818 Interest rate swaps. http://id.loc.gov/authorities/subjects/sh94003211 Derivative securities. http://id.loc.gov/authorities/subjects/sh93005704 Marchés à terme de taux d'intérêt. Swaps (Finances) Échanges de taux d'intérêt. Instruments dérivés (Finances) BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS General. bisacsh Derivative securities fast Interest rate futures fast Interest rate swaps fast Swaps (Finance) fast has work: Interest rate swaps and other derivatives (Text) https://id.oclc.org/worldcat/entity/E39PCYcYkbC3qWF8B4YcK7tJCP https://id.oclc.org/worldcat/ontology/hasWork Print version: Corb, Howard. Interest rate swaps and other derivatives. New York : Columbia Business School, ©2012 9780231159647 (DLC) 2012001490 (OCoLC)772715747 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=481386 Volltext 505-01/(S Machine generated contents note: 1. Introduction to Swaps -- 1.1. Overview -- 1.2. Swaps -- 1.2.1. Fixed-Floating Swaps -- 1.2.2. Basis Swaps -- 1.2.3. Cross-Currency Swaps -- 2. Risk Characteristics and the Traditional Uses of Swaps -- 2.1. Interest Rate Risk -- 2.1.1. PV01 -- 2.2. Spread Risk -- 2.2.1. Closer Look at Swap Spreads -- 2.3. Currency Risk -- 2.4. Counterparty Risk -- 2.5. Traditional Uses of Swaps -- 2.5.1. New Issue Hedging -- 2.5.2. Asset Swaps -- 2.5.3. Balance Sheet Management -- 3. Pricing of Swaps -- 3.1. Where Do Swap Rates Come From-- 3.1.1. Link Between Swap Rates and Eurodollar Futures -- 3.1.2. Futures Convexity Bias -- 3.2. Moving On: Bootstrapping the Curve and Creating a Swap Model -- 3.2.1. Stylized Example -- 3.2.2. PV01s in Our Stylized Example -- 3.3. Moving On: Pricing Up Nonstandard Swaps -- 3.3.1. Mark-to-Markets -- 3.3.2. Unwinds -- 3.3.3. Assignments -- 3.3.4. Forward Starting Swaps -- 4. Caps and Floors -- 4.1. Introduction to Caps and Floors -- 4.1.1. Cap-Floor Parity -- 4.1.2. Uses of Caps and Floors -- 4.1.3. Embedded Cap Trade -- 4.1.4. Valuing Caps and Floors -- 4.1.5. Vol -- 4.1.6. Valuing Caps and Floors in Our Stylized Model -- 4.1.7. Variations of Standard Caps and Floors -- 5. Swaptions -- 5.1. Introduction to Swaptions -- 5.1.1. Value of Swaptions at Expiration -- 5.1.2. Swaption Parity -- 5.1.3. Uses of Swaptions -- 5.1.4. Valuing Swaptions Using Black's Formula -- 5.1.5. Swaption Vol -- 5.1.6. Pricing Swaptions in Our Stylized Example -- 5.2. Link Between Caps/Floors and Swaptions -- 5.3. Questioning Black's Model for Interest Rate Options -- 5.3.1. Are Interest Rates Lognormal-- 5.3.2. Swaption Prices and Implied Vol -- 5.3.3. Skew -- 5.4. Normal Model -- 5.4.1. Background -- 5.4.2. Model -- 5.4.3. Pricing Under the Normal Model -- 5.4.4. Relationship Between Normal Implied Vol and Lognormal Implied Vol for At-the-Money Swaptions -- 5.4.5. Explaining Skew: The Relationship Between Normal Implied Vol and Lognormal Implied Vol for Off-the-Money Swaptions -- 5.4.6. Normal Model: The Industry Standard -- 5.5. Other Models Used to Price Interest Rate Options -- 5.6. Bermudan Swaptions -- 5.6.1. Optimal Exercise of Bermudan Swaptions -- 5.6.2. Valuation of Bermudan Swaptions -- 6. Swaps with Embedded Options -- 6.1. Underlying Concept -- 6.2. Cancelable Swaps -- 6.2.1. Some Uses of Cancelable Swaps -- 6.2.2. Solving for the Fixed Rate in Cancelable Swaps -- 6.2.3. Bermudan Cancelables -- 6.3. Index Amortizing Swaps -- 6.3.1. Explanation of the Trade -- 6.3.2. Pricing Index Amortizing Swaps -- 6.3.3. Relationship Between Index Amortizing Swaps and Cancelable Swaps -- 6.4. Knockout Swaps -- 6.5. Swaps with Convexity Adjustments -- 6.5.1. LIBOR in Arrears Swaps -- 6.5.2. CMS Swaps -- 7. Structured Notes -- 7.1. Rise of the Structured Note Market -- 7.2. Glossary of Structured Notes -- 7.3. Size of the Market -- 7.4. What Are Structured Notes-- 7.5. In the Beginning Floating Rate Notes -- 7.5.1. Prime Floating Rate Note -- 7.6. Capped Floaters -- 7.6.1. Example: Pricing Up a Capped Floater -- 7.7. Inverse Floaters -- 7.7.1. Example: Pricing Up a Leveraged Inverse Floater -- 7.7.2. Orange County -- 7.8. Range Notes -- 7.8.1. LEANs -- 7.8.2. Binary Accrual Notes -- 7.9. Regulatory Response -- 7.10. Non-Inversion Notes -- 7.10.1. Pricing of Non-Inversion Notes -- 8. Relative Value and Macro Trades -- 8.1. Carry and Roll-Down Analysis -- 8.2. Curve Trades -- 8.2.1. Yield Curve Trades for Longer Holding Periods -- 8.2.2. Forward Yield Curve Trades -- 8.2.3. Conditional Yield Curve Trades -- 8.3. Trading Swap Spreads -- 8.3.1. Spread Trades for Longer Holding Periods -- 8.3.2. Spread of Spread Trades -- 8.3.3. Conditional Spread Trades -- 8.4. Asset Swaps Revisited -- 8.4.1. Asset Swap Math -- 8.4.2. Asset Swaps Today -- 9. More Recent Product Innovations -- 9.1. Introduction to Correlation Trades: Caps Versus Payer Redux -- 9.2. Forward Vol Trades -- 9.2.1. Preliminary -- 9.2.2. Description of Forward Vol -- 9.2.3. Heuristic Pricing of Forward Vol Trades -- 9.2.4. Will the Forward Price Be Higher or Lower Than the Spot Price-- 9.2.5. Are Forward Vol Trades Truly a Pure View on Vol-- 9.2.6. Bermudan Cancelable Swaps Revisited -- 9.3. Curve Options -- 9.3.1. Why Did Curve Options Come About-- 9.3.2. Implied Correlation -- 9.3.3. Implied Volatility Versus Realized Volatility -- 9.3.4. Supply and Demand of Curve Options -- 9.3.5. Pricing of Curve Options -- 9.3.6. Couple of Trades -- 9.3.7. Delta Hedging Curve Options -- 9.3.8. So Why Did 30-Year Swap Spreads Go Negative --- and What Does That Have to Do with Curve Options-- Appendixes -- A. Refresher in Option Pricing -- A.1. Basics -- A.2. Boundaries on Option Prices -- A.3. European Put-Call Parity -- A.4. Binomial Pricing -- A.4.1. Multiperiod Extensions -- A.5. 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 -- B. Brief Review of Some Fixed Income Topics -- B.1. Present Value -- B.2. Duration -- B.2.1. Macaulay Duration -- B.2.2. Modified Duration -- B.2.3. Effective Duration -- C. Closer Look at Day Count and Payment Conventions in Swaps -- D. Quick Look at Mortgages -- E. Normal Model -- E.1. Relationship Between σLN and σN for Swaptions that Are Struck At-the-Money Forward -- E.2. Relationship Between σLN and σN for Off-the-Money Swaptions -- E.3. Option Sensitivities Under the Normal Model. |
| spellingShingle | Corb, Howard de author Interest rate swaps and other derivatives / Preface; Acknowledgments; List of Abbreviations; 1 An Introduction to Swaps; 1.1 Overview; 1.2 Swaps; 1.2.1 Fixed-Floating Swaps; 1.2.2 Basis Swaps; 1.2.3 Cross-Currency Swaps; 2 The Risk Characteristics and the Traditional Uses of Swaps; 2.1 Interest Rate Risk; 2.1.1 Pv01; 2.2 Spread Risk; 2.2.1 A Closer Look at Swap Spreads; 2.3 Currency Risk; 2.4 Counterparty Risk; 2.5 Traditional Uses of Swaps; 2.5.1 New Issue Hedging; 2.5.2 Asset Swaps; 2.5.3 Balance Sheet Management; 3 The Pricing of Swaps; 3.1 Where Do Swap Rates Come From? 3.1.1 The Link Between Swap Rates and Eurodollar Futures3.1.2 The Futures Convexity Bias; 3.2 Moving On: Bootstrapping the Curve and Creating a Swap Model; 3.2.1 A Stylized Example; 3.2.2 Pv01s in Our Stylized Example; 3.3 Moving On: Pricing Up Nonstandard Swaps; 3.3.1 Mark-to-Markets; 3.3.2 Unwinds; 3.3.3 Assignments; 3.3.4 Forward Starting Swaps; 4 Caps and Floors; 4.1 An Introduction to Caps and Floors; 4.1.1 Cap-Floor Parity; 4.1.2 Uses of Caps and Floors; 4.1.3 An Embedded Cap Trade; 4.1.4 Valuing Caps and Floors; 4.1.5 Vol; 4.1.6 Valuing Caps and Floors in Our Stylized Model. 4.1.7 Variations of Standard Caps and Floors5 Swaptions; 5.1 An Introduction to Swaptions; 5.1.1 The Value of Swaptions at Expiration; 5.1.2 Swaption Parity; 5.1.3 Uses of Swaptions; 5.1.4 Valuing Swaptions Using Black's Formula; 5.1.5 Swaption Vol; 5.1.6 Pricing Swaptions in Our Stylized Example; 5.2 The Link Between Caps/Floors and Swaptions; 5.3 Questioning Black's Model for Interest Rate Options; 5.3.1 Are Interest Rates Lognormal?; 5.3.2 Swaption Prices and Implied Vol; 5.3.3 Skew; 5.4 The Normal Model; 5.4.1 Background; 5.4.2 The Model; 5.4.3 Pricing Under the Normal Model. 5.4.4 Relationship Between Normal Implied Vol and Lognormal Implied Vol for At-the-Money Swaptions5.4.5 Explaining Skew: The Relationship Between Normal Implied Vol and Lognormal Implied Vol for Off-the-Money Swaptions; 5.4.6 The Normal Model: The Industry Standard; 5.5 Other Models Used to Price Interest Rate Options; 5.6 Bermudan Swaptions; 5.6.1 Optimal Exercise of Bermudan Swaptions; 5.6.2 Valuation of Bermudan Swaptions; 6 Swaps with Embedded Options; 6.1 An Underlying Concept; 6.2 Cancelable Swaps; 6.2.1 Some Uses of Cancelable Swaps; 6.2.2 Solving for the Fixed Rate in Cancelable Swaps. 6.2.3 Bermudan Cancelables6.3 Index Amortizing Swaps; 6.3.1 An Explanation of the Trade; 6.3.2 Pricing Index Amortizing Swaps; 6.3.3 Relationship Between Index Amortizing Swaps and Cancelable Swaps; 6.4 Knockout Swaps; 6.5 Swaps with Convexity Adjustments; 6.5.1 Libor in Arrears Swaps; 6.5.2 Cms Swaps; 7 Structured Notes; 7.1 The Rise of the Structured Note Market; 7.2 A Glossary of Structured Notes; 7.3 Size of the Market; 7.4 What Are Structured Notes?; 7.5 In the Beginning ... Floating Rate Notes; 7.5.1 A Prime Floating Rate Note; 7.6 Capped Floaters. Interest rate futures. http://id.loc.gov/authorities/subjects/sh85067245 Swaps (Finance) http://id.loc.gov/authorities/subjects/sh89002818 Interest rate swaps. http://id.loc.gov/authorities/subjects/sh94003211 Derivative securities. http://id.loc.gov/authorities/subjects/sh93005704 Marchés à terme de taux d'intérêt. Swaps (Finances) Échanges de taux d'intérêt. Instruments dérivés (Finances) BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS General. bisacsh Derivative securities fast Interest rate futures fast Interest rate swaps fast Swaps (Finance) fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85067245 http://id.loc.gov/authorities/subjects/sh89002818 http://id.loc.gov/authorities/subjects/sh94003211 http://id.loc.gov/authorities/subjects/sh93005704 |
| 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 | Interest rate futures. http://id.loc.gov/authorities/subjects/sh85067245 Swaps (Finance) http://id.loc.gov/authorities/subjects/sh89002818 Interest rate swaps. http://id.loc.gov/authorities/subjects/sh94003211 Derivative securities. http://id.loc.gov/authorities/subjects/sh93005704 Marchés à terme de taux d'intérêt. Swaps (Finances) Échanges de taux d'intérêt. Instruments dérivés (Finances) BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS General. bisacsh Derivative securities fast Interest rate futures fast Interest rate swaps fast Swaps (Finance) fast |
| topic_facet | Interest rate futures. Swaps (Finance) Interest rate swaps. Derivative securities. Marchés à terme de taux d'intérêt. Swaps (Finances) Échanges de taux d'intérêt. Instruments dérivés (Finances) BUSINESS & ECONOMICS Investments & Securities General. BUSINESS & ECONOMICS General. Derivative securities Interest rate futures Interest rate swaps |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=481386 |
| work_keys_str_mv | AT corbhowarddeauthor interestrateswapsandotherderivatives |