Book Description
Interest rate swaps--used globally by both corporate finance departments and investment firms to control interest payments, manage debt, and enhance investment portfolios--constitute a growing 1.9 trillion market. Now, financial personnel, swap traders, corporate treasurers, and professional cash managers can turn to this clear, authoritative guide to master all the methodologies used in the international swap market. Written for anyone whose work is touched by swap market activity, the guide uses diagramming techniques to first explain what swaps are, and how and why they are traded. It then addresses more sophisticated financial transactions, such as rate setting, analysis of swap desks, market-to-market, speculating, and financial statements. Readers will find detailed coverage of more than two dozen derivative products, including spreadlocks, swaptions, caps, and flows, and learn how swap trading works in foreign currencies and interest rates. Critical light is also shed on questions regulators are currently raising about the security and future of the swaps markets.
Customer Reviews:
Me thinks some reviewers protest too much.......2004-07-11
This book has been damned for being too simplistic, therefore consign it to the trash cart, or so we are expected to do. But given the relative novelty of these financial products simplicity in the best sense of word could be seen as a virtue in any work dealing with this topic. So, why the evident annoyance from some. Could it be that this work dissolves some of the mystery involved, and threatens some closed shop in these markets ?
Outdated and Shallow.......1999-09-02
The book easily shows its age in its focus on standards and issues which have long ago fallen by the wayside in this dynamic market. Far worse is that the book is preciously short on quantitative and analytic methods, and long on third-grade-teacher types of admonishments. I read the whole book becasue I paid for it, there are better, more up-to-date volumes out there. Could possibly be re-named "Swaps for English Majors", although, English majors as a group might correctly be upset at this association.
Book Description
Today's financial practitioners need to be fully conversant with the differences in the way that bonds are structured, valued, and traded. "Fixed Income Securities and Derivatives Handbook is a comprehensive guide to the array of techniques and applications used in analysis and valuation of principal debt market instruments. With a wide range of methodologies covered, the reader will gain a solid understanding of fixed-income securities and their associated derivatives. The book investigates the fundamentals of fixed-income analysis by reviewing its underpinnings alongside the latest research and presenting it in an accessible way, whether the practitioner is new to the field or seasoned and needing a refresher on new developments. The research is summarized in a way that enables readers to apply results to their individual requirements. A mix of academic theory and market practice, "Fixed Income Securities and Derivatives Handbook presents an enlightening framework so readers can obtain a firm grounding in fixed-income analytics.
Customer Reviews:
introduces the key ideas like Black-Sholes option modelling.......2006-06-06
Starting from scratch, assuming just a basic knowledge of calculus and the summation of series, Choudhry explains important ideas about how securities and derivatives are priced. Crucial concepts like how to model interest rates, and the various models that do exist for this purpose, are also gone into. This is built upon with the use of interest rate swaps, of varying complexity.
For options, there is the seminal Black-Scholes model. It is shown to be easy to understand, resting on the assumption of a Weiner process for the asset pricing. More elaborate option modelling is possible, and several of these are discussed.
Really good for newbie.......2005-12-31
By saying newbie, I mean at least you should know some basic terminology like duration, convexity, interest rake risk, etc. It's really for those who have some basic knowledge on fixed income securiteis and want to explore more in depth. I personally read some chapters from Fabozzi's handbook, and feel like it's not very technical oriented and I prefer this one.
Haven't finished reading yet, but so far, very comprehensive, concise and lucid.
Book Description
The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, are particularly fascinating and complex. This book introduces the tools required for the arbitrage-free modelling of the dynamics of these markets. Andrew Cairns addresses not only seminal works but also modern developments. Refreshingly broad in scope, covering numerical methods, credit risk, and descriptive models, and with an approachable sequence of opening chapters, Interest Rate Models will make readers--be they graduate students, academics, or practitioners--confident enough to develop their own interest rate models or to price nonstandard derivatives using existing models.
The mathematical chapters begin with the simple binomial model that introduces many core ideas. But the main chapters work their way systematically through all of the main developments in continuous-time interest rate modelling. The book describes fully the broad range of approaches to interest rate modelling: short-rate models, no-arbitrage models, the Heath-Jarrow-Morton framework, multifactor models, forward measures, positive-interest models, and market models. Later chapters cover some related topics, including numerical methods, credit risk, and model calibration. Significantly, the book develops the martingale approach to bond pricing in detail, concentrating on risk-neutral pricing, before later exploring recent advances in interest rate modelling where different pricing measures are important.
Customer Reviews:
An excellent book!!!.......2004-03-29
This book provides an excellent reference and point of view of old and new topics in the interest rate modelling field.
From short rate models, HJM model, multifactor models, positive interest models and market models, it gives you a very well explanation all without forget the calibration of them.
You can not find many books about this topic. This one gives a clear and easy to follow chapters in order to increase your knowledge of this not easy field. The formality is a key point in all the book.
Book Description
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.
Customer Reviews:
why bother.......2003-02-14
It's hard to believe a reviewer with such a myopic view of Derivatives pricing could go through the whole book, understood it and found time to rate it. Mindblowing waste of time !
Few hundreds years ago, he would have recommended burning the Madmen claiming the earth was round.
Anyway, while Derivatives Pricing achieves little for the welfare of mankind, the recent need for assets based on ever complex market scenarios calls for a more refined pricing methodology. There no supply and demand here, only customers who want hedge/trade/tradge assets /liabilities and traders who need to make sure their firms don't go burst when market move.
The author answers that demand by formatting and publishing his papers.
rebonato does it again.......2003-01-18
My avid reading kept jostling out superb hot ideas from this book. Rebonato carries out a comprehensive survey of the LIBOR market model. He tackles historical background, calibration, and effective implementation. The later chapters also cover extensions to the LIBOR market model to take account of smile and skew. In particular, there is extensive discussion of the cutting-edge Joshi-Rebonato stochastic-vol, displaced-diffusion LIBOR market model.
If you are working on the pricing of exotic interest rate derivatives, this book is a must buy.
Such pearls of wisdom.......2003-01-09
I am not qualified to write a review of this book, but neither is the above author as his "review" is nothing more than an uninformed assault on modern finance.
In fact, I submit, that said reviewer knows nothing of finance whatsoever.
(Since this book happens to be well regarded, I'll give it a five)
A theoretical substitute for supply and demand.......2002-12-20
A complicated body of mathematical theory, developed over a period of about 30 years, addresses the question: how should derivative X be valued if we know certain parameters, especially the volatility of the price of its underlying asset?
But why exactly does the question need answering? After all, the price of X, like that of its underlying, is determined by the point at which the demand for X is equal to the supply of X. One doesn't need a computer for that, one just needs a liquid marketplace. I can look up the price of a share of Microsoft's equity in my daily newspaper. I'm not tempted to develop a body of theory to figure it out, when I can flip through a few pages and find it.
Nowadays, I can also look up the price of a standardized option to buy Microsoft in the newspaper. In 1973, when people like Fischer Black began developing this body of theory, that was not yet the case.
This brings us to the point of my little sermon. The purpose of this body of theory is to produce a price figure in cases where there is not a liquid market for X. The theories answer the question a portfolio manager must often ask himself: if I were able to find a buyer for X, how much could I charge for it?
This book has its moments, but in general I believe this body of theory accomplishes less than its adepts believe. The imagery of a God-like Newton on the dust jacket indicates, I submit, some of the pretentiousness that gets into their ivory towers.
Average customer rating:
|
Managing Interest Rate Risk: Using Financial Derivatives (Institute of Internal Auditors Risk Management Series)
John J. Stephens
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Managing Currency Risk: Using Financial Derivatives
ASIN: 0471485497 |
Book Description
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. Whether borrowing, investing, saving or trading, a company will always have to take into account the cost of capital and therefore interest rate risk. The highly accessible style explains everything from the basic principles through to the techniques allowing those without prior knowledge to understand the nature and use of a variety of financial tools, including derivative instruments. This is the third part of the trilogy on market risk, the previous two being Managing Currency Risk and Managing Commodity Risk.
Book Description
The global market for inflation-indexed securities has ballooned in recent years, and this trend is set to continue. This book examines the rationale behind issuance and investment decisions, and details the issues facing anyone who designs indexed securities, illustrating them wherever possible with actual examples from the international capital markets. In particular, an extensive review of indexed debt markets throughout the world is provided - including for the first time, a comprehensive and consistent set of cash flow and price-yield equations for the instruments already in existence in the major bond markets - forming an important reference for those already experienced in the field, as well as practitioners and academics approaching the subject for the first time.
The book also provides unique insight into the development of inflation-indexed derivative products, and the analytical tools required to value such instruments.
Download Description
"The global market for inflation-indexed securities has ballooned in recent years, and this trend is set to continue. This book examines the rationale behind issuance and investment decisions, and details the issues facing anyone who designs indexed securities, illustrating them wherever possible with actual examples from the international capital markets. In particular, an extensive review of indexed debt markets throughout the world is provided - including for the first time, a comprehensive and consistent set of cash flow and price-yield equations for the instruments already in existence in the major bond markets - forming an important reference for those already experienced in the field, as well as practitioners and academics approaching the subject for the first time.
The book also provides unique insight into the development of inflation-indexed derivative products, and the analytical tools required to value such instruments. "
Customer Reviews:
Great overview on Inflation based products.......2004-03-25
wow, incredible improvement to the first edition. coverage of all important aspects (i can think of) on inflation. history, example issues, purpose of use from investor & issuer as well as technical points regarding calculation and pricings.
Average customer rating:
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Asia's Credit Markets: From High-Yield to High-Grade
Florian H. A. Schmidt
Manufacturer: Wiley
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ASIN: 0470821183 |
Book Description
Debt capital markets and loans business has become truly global during the past few years. Many European and US issuers are visiting Asia's credit markets regularly to tap into what is one of the most important investor pools. The same holds true for non-Asian investors who are regularly approached by Asian issuers planning or conducting international road shows and non-Asian bankers who facilitate such investor relations' exercises, or simply want to understand the dynamics and mechanics of Asia's credit markets.
Book Description
Efficient Methods for Valuing Interest Rate Derivatives provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore the practical issues, such as the implementation of models, and model selection.
Aimed at people with a solid quantitative background, this book will be of particular interest to risk managers, interest rate derivative traders, quantitative researchers, portfolio and fund managers, and students of mathematics and economics, but it will also prove invaluable to anyone looking for a good overview of interest rate derivative modelling.
Customer Reviews:
Finally... a road map to interest rate models!!!.......2003-08-07
I had a strong background in equity derivative models but found the leap to interest rate models difficult. What are the relationships between short rates, forward rates, and term structure? How do assumptions translate into restrictions on our ability to model the "stylized facts" of interest rates? How are assumption violations "corrected" by practitioners?
This book answers all of these questions in a straightforward yet rigorous manner. Explanations are supplemented with simple examples.
After reading this book, I had the roadmap and analytical context I needed to tackle implementation focused books like Brigo and Mercurio.
As a bonus, this book provides a very nice summary of major valuation tools. (Monte Carlo simulation of martingale processes, development of pricing PDE via Feynman-Kac, development of fundamental solutions, etc.)
Begin your BGM, Libor & Swap market model journey here........2003-03-02
If you want a concise, clearly written and excellently explained introduction to the cutting edge interest rate models used in dealing rooms today. Look no further. With an elementary stochastic calculus background from Rennie & Baxter, this book is very readable, even on a crowded train! For those who want more details & case studies, have Interest Rate Models by Brigo & Mercurio as a companion text. With useful tips on Libor & swap market model implementation, and a whole chapter devoted to convexity correction. One of the best texts on the subject I have read.
Average customer rating:
- Good overview for beginners
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Bonds and Bond Derivatives
Miles Livingston
Manufacturer: Blackwell Publishing Limited
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Bond Markets, Analysis and Strategies (6th Edition)
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Essentials of Investments with Standard & Poor's Bind-in Card
ASIN: 1405119128 |
Book Description
This book provides an introduction to bond markets and bond derivatives for students as well as for executives in commercial businesses and financial institutions. While many topics about debt instruments involve mathematics, this text presents the essential elements in an intuitive manner. Containing material that is accessible and engaging to students and practitioners alike, the book is ideally suited for debt markets courses, and provides a good fit with any finance curriculum. For practitioners, the book can be readily used as a training manual and reference source for firms involved in debt markets.This new edition includes updated institutional material; new sections on callable bonds and the yield to call, convertible bonds, and methods for estimating and modern models of term structure of interest rates; as well as a comprehensive discussion of bonds in the European Economic Union. Additional end-of-chapter questions, PowerPoint slides, and an Instructor's test bank make this text and invaluable resource to students, scholars, and practitioners.
Customer Reviews:
Good overview for beginners.......2000-04-20
This book gives a very good review for beginners investing in the US bond market only. If you are a professional it is more a dictionnary, it doesn't analyse properly instruments. I would like to finally see an author able to understand that a bond is a bond, and a book like that should focus on this and not to give us a extensive listing of all US bonds in the market ....Second USA are not anymore the only financial market in the world : so "International" chapter should be at least as important as the rest of the exercise...
Book Description
The third book in the top-selling Magic Numbers series clarifies the key concepts and formulas of finance
Magic Numbers for Bonds and Derivatives takes difficult financial concepts and breaks them down into easily understandable formulas that can be readily applied by finance professionals and individual investors. It examines key ratios and concepts for assessing bond investments from conventional to index-linked bonds, along with commonly used derivatives including futures, options, warrants, and convertibles. Ratios and concepts are described in detail, with guidelines on where to find the data needed to actually calculate them. The author includes explanations of compounding and discounting, internal rates of return, accrued interest, yield curves and spreads, duration, convexity, default rates, and more.
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Valuation of Interest Rate Swaps and Swaptions
Understanding Swaps (Wiley Finance)
Interest Rate and Currency Swaps: A Tutorial (Research Foundation of AIMR and Blackwell Series in Finance)
Swaps and Other Derivatives (With CD-ROM) (The Wiley Finance Series)
Analysing and Interpreting the Yield Curve (Wiley Finance)
