interest rate derivative

Seminar paper from the year 2006 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, Reutlingen University (sib - school of international business Reutlingen), course: International Financing, 45 ... Written in a straightforward, clearly structured manner with extensive use of worked examples, this easy to use book gives you an explanation of both basic and advanced principles for the valuation of interest rate derivatives and their ... Found insideToward this end, the book discusses the structural drivers and the main players of fixed income markets; explains how to understand and forecast the yield curve and spreads; and elaborates on the trades in cash and derivative products. Comprehensive and in-depth, the book examines the effects of interest rate risk; the effects of interest rate changes on the value of financial assets; traditional and state-of-the art asset liability management techniques; how to hedge ... 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. Handbook of Debt Securities and Interest Rate Derivatives covers:*Debt Securities and Markets*Money Market*Bond Market in India*Primary Market in G-Secs*Secondary Market*Interest Rate Derivatives*Market Practices and Data SourcesCD-ROM ... This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. "The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers ... 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. Authored by a distinguished team of quantitative analysts with extensive experience in the field, this second volume in the landmark Problems and Solutions in Mathematical Finance offers you a quick, painless way to acquire that knowledge ... Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. 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, ... The topic of this thesis is the modeling of risks in interest-rate and inflation markets. This book addresses the above mentioned class of interest rate models and concentrates on the calibration, valuation and sensitivity analysis in multifactor models. One of Riskbook.com's Best of 2005 - Top Ten Finance Books The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating ... 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. Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter ... This text seeks to teach the basics of fixed-income securities in a way that requires a minimum of prerequisites. This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Found inside – Page 414 FRAs and Interest Rate Futures The market in short - term interest rate derivatives is a large and liquid one , and the instruments involved are used for ... Found inside – Page 137Pricing interest rate derivative securities. The Review of Financial Studies, 3, 573–592. Jamshidian, F. (1991). Bond and option evaluation in the gaussian ... This new book offers in depth insights and advice for any practitioner in the European fixed-income and ancillary derivative markets, and includes in-depth analysis of euro and non-euro markets as well as emerging countries. CD-ROM contains: MAPLE student version 5.0; online version of text; MATLAB GUI; IDEAL software (embedded in online text). Found inside – Page 82Three Essays in Financial Economics Bing Han. I I I I terest derivative contracts, and are then used to price other. This book is mainly concerned with a class of Markovian Yield Curve Models which try to overcome that disadvantage as they enable a low-dimensional deterministic and fast PDE valuation. Toward this end, the book discusses the structural drivers and the main players of fixed income markets; explains how to understand and forecast the yield curve and spreads; and elaborates on the trades in cash and derivative products. This timely guide offers a comprehensive treatment of derivative financial instruments, fully covering bonds, interest swaps, options, futures, Forex, and more. Found insideOur aim is for students to achieve self-sufficiency so that they can generate all the models and graphs in this book via a spreadsheet software, Priced! Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Found insideThis book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Found inside – Page 2rate risk of the above-mentioned instruments but also allows for a general interest rate ... In the case of interest rate derivative securities, however, ... This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. This popular text, publishing Spring 1999 in its Second Edition, introduces the mathematics underlying the pricing of derivatives. 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 book also covers options and interest rates as they relate to swaps, as they are often traded together. The book will include coverage of all the latest swaps including credit, commodity and equity swaps. This March 2002 issue of the Global Financial Stability Report highlights that financial markets ended the year 2001 on a positive note. Equity markets recovered and rallied noticeably from their lows of late September. Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The book’s findings examine the views of UK corporate treasurers who are usually involved in the risk management strategies of their organisation and who have responsibility for implementing those strategies in practice. * The research is ... This book covers the revised standards that are already pronounced and covers the proposals that are currently being reviewed. Keywords: bootstrap, term structure, spline, derivatives, interest-rates. An Introduction to Interest rate models. "This book provides an excellent introduction to the field of interest-rate modeling for readers at the graduate level with a background in mathematics. Found inside – Page 3949.3 Interest Rate Derivatives Interest rate derivatives are derivatives written on interest rate sensitive instruments, such as bonds or on the interest ... The structure of the book is intuitive and will benefit both practitioners and those wanting to get a solid understanding of the complex world of swaps and other derivatives." —Lars Drauschke, First Vice President, Danske Bank "Richard ... First published in 1996. Routledge is an imprint of Taylor & Francis, an informa company. As with previous titles in the IIA (Institute of Internal Auditors) series this is a clear and practical guide to a subject of key importance to financial managers. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Class of interest rate swaps and the many derivatives that evolved from them the financial engineering of equity and rates... Of interest-rate modeling for readers at the graduate level with a background in mathematics, Danske Bank ``...... 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