Title Statements
- Full title :Interest rate swaps and other derivatives / Howard Corb.
Edition Statements
- Publication Date:2012.
Publication Statements
- Publisher(s):Columbia Business School
- Place of Publication:New York
- Language:eng
- Publication Date:2012.
The Physical Object
- Description:xxi, 599 p. : : il. ; : 24 cm.
Edition Identifiers
- ISBN:9780231159647, 0231159641, 9780231530361, 0231530366
- oclc:on1006407602
- LC Classification:HG6024.5
Table of Contents
1. An Introduction to Swaps -- 1.1. Overview -- 1.2. Swaps -- 2. The Risk Characteristics and the Traditional Uses of Swaps -- 2.1. Interest Rate Risk -- 2.2. Spread Risk -- 2.3. Currency Risk -- 2.4. Counterparty Risk -- 2.5. Traditional Uses of Swaps -- 3. The Pricing of Swaps -- 3.1. Where Do Swap Rates Come From? -- 3.2. Moving On: Bootstrapping the Curve and Creating a Swap Model -- 3.3. Moving On: Pricing Up Nonstandard Swaps -- 4. Caps and Floors -- 4.1. An Introduction to Caps and Floors -- 5. Swaptions -- 5.1. An Introduction to Swaptions -- 5.2. The Link Between Caps/Floors and Swaptions -- 5.3. Questioning Black's Model for Interest Rate Options -- 5.4. The Normal Model -- 5.5. Other Models Used to Price Interest Plate Options -- 5.6.
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