Flavell Swaps and Other Derivatives

2. Auflage 2011
ISBN: 978-0-470-68943-1
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 392 Seiten, E-Book

Reihe: The Wiley Finance Series

"Richard Flavell has a strong theoretical perspective on swaps withconsiderable practical experience in the actual trading of theseinstruments. This rare combination makes this welcome updatedsecond edition a useful reference work for marketpractitioners."
--Satyajit Das, author of Swaps and FinancialDerivatives Library and Traders and Guns & Money: Knownsand Unknowns in the Dazzling World of Derivatives
Fully revised and updated from the first edition, Swaps andOther Derivatives, Second Edition, provides a practicalexplanation of the pricing and evaluation of swaps and interestrate derivatives.
Based on the author's extensive experience in derivativesand risk management, working as a financial engineer, consultantand trainer for a wide range of institutions across the world thisbook discusses in detail how many of the wide range of swaps andother derivatives, such as yield curve, index amortisers,inflation-linked, cross-market, volatility, diff and quanto diffs,are priced and hedged. It also describes the modelling of interestrate curves, and the derivation of implied discount factors fromboth interest rate swap curves, and cross-currency adjustedcurves.
There are detailed sections on the risk management of swap andoption portfolios using both traditional approaches and alsoValue-at-Risk. Techniques are provided for the construction ofdynamic and robust hedges, using ideas drawn from mathematicalprogramming.
This second edition has expanded sections on the creditderivatives market - its mechanics, how credit default swapsmay be priced and hedged, and how default probabilities may bederived from a market strip. It also prices complex swaps withembedded options, such as range accruals, Bermudan swaptions andtarget accrual redemption notes, by constructing detailed numericalmodels such as interest rate trees and LIBOR-based simulation.There is also increased discussion around the modelling ofvolatility smiles and surfaces.
The book is accompanied by a CD-ROM where all the models arereplicated, enabling readers to implement the models in practicewith the minimum of effort.

Autoren/Hrsg.

Flavell, Richard R.

Über Autor(innen)

Richard Flavell has spent over twenty years working as a financial engineer, consultant and trainer, specialising in complex derivatives and risk management. He spent seven years as Director of Financial Engineering at Lombard Risk, where he was responsible for the mathematical development and implementation of models in its varied pricing and risk systems. He is currently Chairman of Lucidate, a company which specialises in the provision of consultancy and training to financial institutions.