Interest Rate Swaps and Other Derivatives

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Columbia University Press, Jun 19, 2012 - Business & Economics - 624 pages
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Interest rate swaps allow counterparties to exchange fixed rate streams of payment for floating ones. The first swap was executed over thirty years ago, and since then, the interest rate swaps market and other related derivative markets have grown and diversified in phenomenal directions. Today interest rate swaps and other derivatives are used by myriad institutional investors for the purposes of risk management, expressing a view on the market, and exploiting market opportunities that are otherwise unavailable using more traditional financial instruments.

In this volume, Howard M. Corb further explains the concepts behind interest rate swaps and the derivatives spawned from their success. While his book is filled with sophisticated formulas and analysis, it is geared toward the average reader in search of an in depth understanding of these markets. Corb helps readers develop an intuition about these products and their use in the market, and he follows their manipulation into more complicated trades and structures. Through examples from financial and reverse engineering, he demonstrates how such products are created and how they can be deconstructed and analyzed effectively.
 

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Contents

1 An Introduction to Swaps
1
2 The Risk Characteristics and the Traditional Uses of Swaps
40
3 The Pricing of Swaps
76
4 Caps and Floors
135
5 Swaptions
166
6 Swaps with Embedded Options
230
7 Structured Notes
292
8 Relative Value and Macro Trades
353
9 More Recent Product Innovations
414
Appendixes
463
Solutions to Selected Problems
545
Bibliography
585
Index
589
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About the author (2012)

Howard Corb is an adjunct associate professor in finance and economics at Columbia Business School and a managing director at Tradeweb Markets LLC. After receiving his Ph.D. in finance from Stanford University, he began his Wall Street career at J.P. Morgan and later joined Morgan Stanley, during which time he worked with a variety of institutional clients to help manage their interest rate risk using derivatives.

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