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| Author | : Riccardo Rebonato |
| Publisher | : Princeton University Press |
| Total Pages | : 486 |
| Release | : 2012-01-16 |
| Genre | : Business & Economics |
| ISBN | : 1400829321 |
Download Modern Pricing of Interest-Rate Derivatives Book in PDF, ePub and Kindle
In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.
| Author | : J Hamish M Darbyshire |
| Publisher | : Aitch & Dee Limited |
| Total Pages | : 0 |
| Release | : 2022-08-07 |
| Genre | : |
| ISBN | : 9780995455535 |
Download Pricing and Trading Interest Rate Derivatives Book in PDF, ePub and Kindle
The most professional and industry relatable text currently available for linear interest rate derivatives. Written by a practicing derivatives portfolio manager with over fifteen years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multi-currency), risk, credit and CSAs, regulations, VaR and PCA, volatility, cross-gamma, trade strategy analysis and market moving influences. The book's focus is interest rate swaps and cross-currency swaps, updated for a risk free rate (RFR, such as SOFR and ESTR) framework as opposed to LIBOR. Topics are presented from that perspective, outlining the importance of regulations in an IRD capacity, with volatility and swaptions taught from a practical point of view rather than an overly cumbersome academic one. This third edition (2022) markedly expands the second edition (2017), by not only providing extensive analysis but also building up a modern codebase, step-by-step, in Python. It constructs and solves interest rate curves and goes on to implement risk and cross-gamma calculations, demonstrating the implementation of automatic differentiation for superior efficiency. Read more at https: //github.com/attack68/book_irds3. The treatment of risk is expansive and thorough. The author formally analyses modern market-maker techniques to accurately predict PnL, and successfully implement multiple, consistent perspectives to view all details of risks. Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. Certainly this book sets the benchmark for the level of expertise that swaps traders should strive for, and the style is aimed at the novice and professional alike.
| Author | : Roland Lichters |
| Publisher | : Springer |
| Total Pages | : 569 |
| Release | : 2015-11-15 |
| Genre | : Business & Economics |
| ISBN | : 1137494840 |
Download Modern Derivatives Pricing and Credit Exposure Analysis Book in PDF, ePub and Kindle
This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.
| Author | : Amir Sadr |
| Publisher | : John Wiley & Sons |
| Total Pages | : 276 |
| Release | : 2009-09-09 |
| Genre | : Business & Economics |
| ISBN | : 0470443944 |
Download Interest Rate Swaps and Their Derivatives Book in PDF, ePub and Kindle
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.
| Author | : Robert A Jarrow |
| Publisher | : World Scientific |
| Total Pages | : 609 |
| Release | : 2008-10-08 |
| Genre | : Business & Economics |
| ISBN | : 9814470635 |
Download Financial Derivatives Pricing: Selected Works Of Robert Jarrow Book in PDF, ePub and Kindle
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
| Author | : Nicolas Privault |
| Publisher | : World Scientific |
| Total Pages | : 373 |
| Release | : 2021-09-02 |
| Genre | : Mathematics |
| ISBN | : 9811226628 |
Download Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) Book in PDF, ePub and Kindle
This book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and swap rates, which are presented in the HJM and BGM frameworks. The pricing and hedging of interest rate and fixed income derivatives such as bond options, caps, and swaptions, are treated using forward measure techniques. An introduction to default bond pricing and an outlook on model calibration are also included as additional topics.This third edition represents a significant update on the second edition published by World Scientific in 2012. Most chapters have been reorganized and largely rewritten with additional details and supplementary solved exercises. New graphs and simulations based on market data have been included, together with the corresponding R codes.This new edition also contains 75 exercises and 4 problems with detailed solutions, making it suitable for advanced undergraduate and graduate level students.
| Author | : Juerg M. Syz |
| Publisher | : John Wiley & Sons |
| Total Pages | : 252 |
| Release | : 2008-12-08 |
| Genre | : Business & Economics |
| ISBN | : 0470694556 |
Download Property Derivatives Book in PDF, ePub and Kindle
Property derivatives have the potential to revolutionize real estate - the last major asset class without a liquid derivatives market. The new instruments offer ease and flexibility in the management of property risk and return. Property funds, insurance companies, pension and life funds, speculators, hedge funds or any asset manager with a view on the real estate market can apply the new derivatives to hedge property risk, to invest synthetically in real estate, or for portfolio optimization. Moreover, developers, builders, home suppliers, occupiers, banks, mortgage lenders and governmental agencies can better cope with their real estate exposure using property derivatives. This book is a practical introduction to property derivatives and their numerous applications. Providing a comprehensive overview of the property derivatives market and indices, there is also in-depth coverage of pricing, hedging and risk management, which will deepen the readers understanding of the market's mechanisms. Covering both the theoretical and practical aspects of the property derivatives markets; this book is the definitive reference guide to a new and fast-growing market.
| Author | : Marco Bianchetti |
| Publisher | : |
| Total Pages | : 384 |
| Release | : 2015-04-01 |
| Genre | : Business & Economics |
| ISBN | : 9781118442012 |
Download Modern Interest Rate Markets and Models Book in PDF, ePub and Kindle
| Author | : Ambar Sengupta |
| Publisher | : |
| Total Pages | : 312 |
| Release | : 2005 |
| Genre | : Business & Economics |
| ISBN | : |
Download Pricing Derivatives Book in PDF, ePub and Kindle
Irwin Library of Investment and Finance Pricing Derivatives provides investors with a clear understanding of derivative pricing models by first focusing on the underlying mathematics and financial concepts upon which the models were originally built. Trading consultant Professor Ambar Sengupta uses short, to-the-point chapters to examine the relation between price and probability as well as pricing structures of all major derivative instruments. Other topics covered include foundations of stochastic models of pricing, along with methods for establishing optimal prices in terms of the max-min principles that underlie game theory.
| Author | : Rudi Zagst |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 349 |
| Release | : 2013-04-17 |
| Genre | : Business & Economics |
| ISBN | : 3662121069 |
Download Interest-Rate Management Book in PDF, ePub and Kindle
This book combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook on financial markets for graduate and PhD students in mathematics. Interesting and comprehensive case studies illustrate the theoretical concepts.
