Interest Rate Swaps and Other Derivatives
The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. 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. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.
What people are saying - Write a review
We haven't found any reviews in the usual places.
1 An Introduction to Swaps
2 The Risk Characteristics and the Traditional Uses of Swaps
3 The Pricing of Swaps
4 Caps and Floors
6 Swaps with Embedded Options
7 Structured Notes
Other editions - View all
1-year LIBOR 3-month LIBOR 4-year swap rate 5-year swap annual bond arbitrage arrears swap asset swap spread assume basis swap Bermudan binary binary options call option cancelable swap caplets cash flows client consider counterparty curve options delta hedging dirty price Equation Eurodollar European expiration fixed coupon fixed rate bond fixed side floater floating rate floating side forward rates forward starting swap implied volatility interest rate investor issuer LIBOR rates LIBOR setting lognormal implied vol mark-to-market mid-market mortgage normal implied vol normal model notional offer side payer swaption paying fixed payment payoff portfolio position present value put option receiver swaption receiving fixed repo sell semi bond shown in Figure skew spot starting swap steepener strike structured note stylized example Suppose swap curve swap dealer swaps market swaption straddle swaption struck swaption vol Table transaction Treasury yields underlying asset underlying swap upfront versus zero coupon rate