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Pricing and Trading Interest Rate Derivatives

2022-08-07
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Release : 2022-08-07
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Kind : eBook
Book Rating : 535/5 ( reviews)

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Book Synopsis Pricing and Trading Interest Rate Derivatives by : J Hamish M Darbyshire

Download or read book Pricing and Trading Interest Rate Derivatives written by J Hamish M Darbyshire. This book was released on 2022-08-07. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Interest Rate Swaps and Their Derivatives

2009-09-09 Business & Economics
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Release : 2009-09-09
Genre : Business & Economics
Kind : eBook
Book Rating : 944/5 ( reviews)

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Book Synopsis Interest Rate Swaps and Their Derivatives by : Amir Sadr

Download or read book Interest Rate Swaps and Their Derivatives written by Amir Sadr. This book was released on 2009-09-09. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Interest Rate Swaps and Other Derivatives

2012-08-28 Business & Economics
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Release : 2012-08-28
Genre : Business & Economics
Kind : eBook
Book Rating : 366/5 ( reviews)

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Book Synopsis Interest Rate Swaps and Other Derivatives by : Howard Corb

Download or read book Interest Rate Swaps and Other Derivatives written by Howard Corb. This book was released on 2012-08-28. Available in PDF, EPUB and Kindle. Book excerpt: The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them. Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.

The Pricing and Trading of Interest Rate Derivatives

2016
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Release : 2016
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Kind : eBook
Book Rating : 511/5 ( reviews)

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Book Synopsis The Pricing and Trading of Interest Rate Derivatives by : J. H. M. Darbyshire

Download or read book The Pricing and Trading of Interest Rate Derivatives written by J. H. M. Darbyshire. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt:

Interest Rate Markets

2011-02-11 Business & Economics
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Release : 2011-02-11
Genre : Business & Economics
Kind : eBook
Book Rating : 79X/5 ( reviews)

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Book Synopsis Interest Rate Markets by : Siddhartha Jha

Download or read book Interest Rate Markets written by Siddhartha Jha. This book was released on 2011-02-11. Available in PDF, EPUB and Kindle. Book excerpt: How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models

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