Interest rate derivatives explained
The book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments. The book is timely in that it describes the many changes the field has seen post 2007 (Multi-Curves Framework and Market Data). It lays the grounds for a solid understanding of the current financial engineering, risk management and trader's knowledge for setting up the fundamental structures, including curve constructi…
Read More ↓Title Statements
- Full title :Interest rate derivatives explained. / Jorg Kienitz.
Summary
The book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments. The book is timely in that it describes the many changes the field has seen post 2007 (Multi-Curves Framework and Market Data). It lays the grounds for a solid understanding of the current financial engineering, risk management and trader's knowledge for setting up the fundamental structures, including curve construction and the involved methods, standard fixed income derivative (swaps, fras, fx swaps, cross currency swaps). It then focuses on caps, floors, swaptions, cms and cms spread options - products that involve optionality and as such, cannot be priced from today's yield curve. Basic instruments need volatility. To this end the book considers the set-up for volatilities and again, explains the methodologies applied to understand current market quotes and how to use such quotes to set up a sound framework for risk management and trading. Finally, the book provides an outlook to modern term structure modelling including short rate and market models.
Read More ↓Edition Statements
- Publication Date:2014.
Publication Statements
- Publisher(s):Palgrave Macmillan
- Place of Publication:Basingstoke
- Language:eng
- Publication Date:2014.
The Physical Object
- Description:pages.
Edition Identifiers
- ISBN:9781137360069, 1137360062
- oclc:ocn894610441
- LC Classification:HG4650
- Dewey Decimal:332.632044
Table of Contents
Machine generated contents note: 1.1.Introduction and management summary -- 1.2.Short overview -- 1.3.Use of the book -- 1.4.Credits -- pt. I Markets and Linear Products -- 1.Clearing, Collateral, Pricing -- 1.1.Introduction and objectives -- 1.2.Netting and collateral -- 1.3.Clearing -- 1.3.1.What is central clearing? -- 1.3.2.Clearing members -- 1.3.3.Resume -- 1.4.Counterparty credit risk -- 1.5.General pricing theory -- 1.5.1.Numeraire -- 1.6.Reading list -- 2.Rates -- 2.1.Introduction and objectives -- 2.2.Daycount, rolling and other conventions -- 2.2.1.Daycount -- 2.3.Rates -- 2.3.1.Roll conventions -- business dates -- 2.3.2.Discount factors -- 2.3.3.Forward rates -- 2.3.4.Other rates -- 2.3.5.Interest rate curves -- 2.4.Reading list -- 3.Markets and Products -- Deposits, Bonds, Futures, Repo -- 3.1.Introduction and objectives -- 3.2.Deposits -- 3.2.1.Market quotes -- 3.3.Futures -- 3.4.Bonds -- 3.4.1.Bond math -- 3.4.2.Par rate -- 3.4.3.Yield to maturity
Note continued: 3.4.4.Bond risk measures -- 3.5.Repos -- 3.6.Market quotes -- 3.7.Reading list -- 4.Markets and Products -- FRAs and Swaps -- 4.1.Introduction and objectives -- 4.2.FRAs -- 4.2.1.FRA math -- 4.2.2.FRA quo…
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