Amir Sadr

Interest Rate Swaps

• Gebundenes Buch

Produktbeschreibung

An up-to-date look at the evolution of interest rate swaps and derivatives

Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main "rates" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market.
Provides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives
Uses simple settings and illustrations to reveal key results
Written by an experienced trader who has worked with swaps, options, and exotics

With this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations.

Produktdetails

• Wiley Finance Series
• Verlag: Wiley & Sons
• 1. Auflage
• Seitenzahl: 272
• Erscheinungstermin: 1. September 2009
• Englisch
• Abmessung: 235mm x 157mm x 19mm
• Gewicht: 459g
• ISBN-13: 9780470443941
• ISBN-10: 0470443944
• Artikelnr.: 26433274

Autorenporträt

AMIR SADR, PHD, has experience as a quant, trader, financial software developer, and academic in fixed income markets. He traded options and exotics at HSBC in New York from 2005 to 2006 and traded at the proprietary desk for Greenwich Capital Markets (GCM) for four years prior to that. Sadr also has experience at Morgan Stanley as a vice president in the derivatives products group where he traded interest rate derivatives and exotics. Since 1996, Sadr has served as an adjunct professor at New York University in the Department of Finance and Accounting.

Inhaltsangabe

Preface. "Rates" Market. Background. Book Structure. Acknowledgments. About
the Author. List of Symbols and Abbreviations. PART ONE Cash, Repo, and
Swap Markets. CHAPTER 1 Bonds: It's All About Discounting. Time Value of
Money: Future Value, Present Value. Price-Yield Formula. PV01, PVBP,
Convexity. Repo, Reverse Repo. Forward Price/Yield, Carry, Roll-Down.
CHAPTER 2 Swaps: It's Still About Discounting. Discount Factor Curve, Zero
Curve. Forward Rate Curve. Par-Swap Curve. Construction of the Swap/Libor
Curve. CHAPTER 3 Interest Rate Swaps in Practice. Market Instruments. Swap
Trading--Rates or Spreads. Swap Spreads. Risk, PV01, Gamma Ladder. Calendar
Rules, Date Minutiae. CHAPTER 4 Separating Forward Curve from Discount
Curve. Forward Curves for Assets. Implied Forward Rates. Float/Float Swaps.
Libor/Libor Basis Swaps. Overnight Indexed Swaps (OIS). PART TWO
Interest-Rate Flow Options. CHAPTER 5 Derivatives Pricing: Risk-Neutral
Valuation. European-Style Contingent Claims. One-Step Binomial Model. From
One Time-Step to Two. From Two Time-Steps to . . . Relative Prices.
Risk-Neutral Valuation: All Relative Prices Must be Martingales.
Interest-Rate Options Are Inherently Difficult to Value. From Binomial
Model to Equivalent Martingale Measures. CHAPTER 6 Black's World. A Little
Bit of Randomness. Modeling Asset Changes. Black-Scholes-Merton/Black
Formulae. Greeks. Digitals. Call Is All You Need. Calendar/Business Days,
Event Vols. CHAPTER 7 European-Style Interest-Rate Derivatives. Market
Practice. Interest-Rate Option Trades. Caplets/Floorlets: Options on
Forward Rates. European-Style Swaptions. Skews, Smiles. CMS Products. Bond
Options. PART THREE Interest-Rate Exotics. CHAPTER 8 Short-Rate Models. A
Quick Tour. Dynamics to Implementation. Lattice/Tree Implementation. BDT
Lattice Model. Hull-White, Black-Karasinski Models. Simulation
Implementation. CHAPTER 9 Bermudan-Style Options. Bellman's
Equation--Backward Induction. Bermudan Swaptions. Bermudan Cancelable
Swaps, Callable/Puttable Bonds. Bermudan-Style Options in Simulation
Implementation. CHAPTER 10 Full Term-Structure Interest-Rate Models.
Shifting Focus from Short Rate to Full Curve: Ho-Lee Model.
Heath-Jarrow-Morton (HJM) Full Term-Structure Framework. Discrete-Time,
Discrete-Tenor HJM Framework. Forward-Forward Volatility. Multifactor
Models. HJM Framework Typically Leads to Nonrecombining Trees. CHAPTER 11
Forward-Measure Lens. Numeraires Are Arbitrary. Forward Measures.
BGM/Jamshidian Results. Different Measures for Different Rates. "Classic"
or "New Improved": Pick Your Poison!. CHAPTER 12 In Search of "The" Model.
Migration to Full-Term Structure Models. Implementation Era. Model versus
Market: Liquidity and Concentration Risk. Complexity Risk. Remaining
Challenges. APPENDIX A Taylor Series Expansion. Function of One Variable.
Function of Several Variables. Ito's Lemma: Taylor Series for Diffusions.
APPENDIX B Mean-Reverting Processes. Normal Dynamics. Log-Normal Dynamics.
APPENDIX C Girsanov's Theorem and Change of Numeraire. Continuous-Time,
Instantaneous-Forwards HJM Framework. BGM Result. Notes. Index.