Valuation And Risk Management Of Interest Rate Derivative Securities
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| Author | : Robert E. Whaley |
| Publisher | : John Wiley & Sons |
| Total Pages | : 962 |
| Release | : 2007-02-26 |
| Genre | : Business & Economics |
| ISBN | : 0470086386 |
Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
| Author | : |
| Publisher | : Lulu.com |
| Total Pages | : 294 |
| Release | : 2004 |
| Genre | : Bank capital |
| ISBN | : 9291316695 |
| Author | : Lionel Martellini |
| Publisher | : John Wiley & Sons |
| Total Pages | : 662 |
| Release | : 2005-09-27 |
| Genre | : Business & Economics |
| ISBN | : 0470868228 |
This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
| Author | : Robert A Jarrow |
| Publisher | : World Scientific |
| Total Pages | : 763 |
| Release | : 2024-05-03 |
| Genre | : Business & Economics |
| ISBN | : 9811291691 |
The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.
| Author | : Sanjay K. Nawalkha |
| Publisher | : John Wiley & Sons |
| Total Pages | : 429 |
| Release | : 2005-05-31 |
| Genre | : Business & Economics |
| ISBN | : 0471737445 |
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
| Author | : Stephan Leithner |
| Publisher | : |
| Total Pages | : 360 |
| Release | : 1992 |
| Genre | : Fixed-income securities |
| ISBN | : |
| Author | : Pietro Veronesi |
| Publisher | : John Wiley & Sons |
| Total Pages | : 845 |
| Release | : 2010-01-12 |
| Genre | : Business & Economics |
| ISBN | : 0470109106 |
The deep understanding of the forces that affect the valuation, risk and return of fixed income securities and their derivatives has never been so important. As the world of fixed income securities becomes more complex, anybody who studies fixed income securities must be exposed more directly to this complexity. This book provides a thorough discussion of these complex securities, the forces affecting their prices, their risks, and of the appropriate risk management practices. Fixed Income Securities, however, provides a methodology, and not a shopping list. It provides instead examples and methodologies that can be applied quite universally, once the basic concepts have been understood.
| Author | : Marcos C. S. Carreira |
| Publisher | : Springer |
| Total Pages | : 328 |
| Release | : 2016-07-11 |
| Genre | : Business & Economics |
| ISBN | : 113747727X |
The Brazilian financial markets operate in a very different way to G7 markets. Key differences include onshore and offshore markets, exponential rates, business days day-counts, and price formation from the futures markets (instead of the cash markets). This book provides a quantitative, applied guide to the offshore and onshore Brazilian markets, with a focus on the financial instruments unique to the region. It offers a comprehensive introduction to the key financial 'archaeology' in the Brazil context, exploring interest rates, FX and inflation and key differences from G7 market finance. It explores the core industry investment banking business in detail, from FX to interest rates and cash and inflation. Finally it introduces the region's unique financial instruments, as well as their pricing and risk management needs. Covering both introductory and complex topics, this book provides existing practitioners in Brazil, as well as those interested in becoming involved in these markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.
| Author | : Frank J. Fabozzi |
| Publisher | : |
| Total Pages | : 336 |
| Release | : 1996-08-15 |
| Genre | : Business & Economics |
| ISBN | : |
Fabozzi provides an explanation of concepts such as duration and convexivity, as well as more advanced topics such as probability distributions and regression analysis. He also gives keys to using derivatives to control interest rate risk
| Author | : Jiří Witzany |
| Publisher | : Springer Nature |
| Total Pages | : 381 |
| Release | : 2020-11-04 |
| Genre | : Business & Economics |
| ISBN | : 3030517519 |
This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses.
