Swaps and other derivatives

The swaps market is a central market to many businesses, especially among the most liquid of financial contracts. Fully revised and updated from the first edition, "Swaps and Other Derivatives" offers a new insight on the growth of swaps markets worldwide. Additionally, this reference provides new chapters on FRA curve, asset packaging, theory of hedging, swapping structured securities, Value-at-Risk, convexity adjustments, and the impact of Credit Derivatives. Including a CD with practical examples and working simulations, this resource guides finance practitioners on the pricing and hedging of swaps.

1 CD-ROM medfølger.

Preface -- List of Worksheets (see the accompanying CD). List of Abbreviations -- 1 Swaps and Other Derivatives -- 1.1 Introduction -- 1.2 Applications of swaps -- 1.3 An overview of the swap market -- 1.4 The evolution of the swap market -- 1.5 Conclusion -- 2 Short-term Interest Rate Swaps -- Objective -- 2.1 Discounting, the time value of money and other matters -- 2.2 Forward rate agreements (FRAs) and interest rate futures -- 2.3 Short-term swaps -- 2.4 Convexity bias in futures -- 2.5 Forward valuing a swap -- 3 Generic Interest Rate Swaps -- Objective -- 3.1 Generic interest rate swaps -- 3.2 Pricing through comparative advantage -- 3.3 The relative pricing of generic IRSs. 3.4 The relationship between the bond and swap markets -- 3.5 Implying a discount function -- 3.6 Building a blended curve -- 4 The Pricing and Valuation of Non-generic Swaps -- Objective -- 4.1 The pricing of simple non-generic swaps: forward starts -- 4.2 Rollercoasters -- 4.3 Pricing of simple non-generic swaps: a more complex example -- 4.4 Forward valuing as an alternative to discounting-revisited -- 4.5 Swap valuation -- 5 Asset Packaging -- Objective -- 5.1 Creation and pricing of a par asset swap…