{"product_id":"interest-rate-swaps-and-their-derivatives-isbn-9780470443941","title":"Interest Rate Swaps and Their Derivatives","description":"\u003cp\u003eAn up-to-date look at the evolution of interest rate swaps and derivatives\u003c\/p\u003e \u003cp\u003e\u003ci\u003eInterest Rate Swaps and Derivatives\u003c\/i\u003e bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main \"rates\" products, including swaps, options (cap\/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics\/structured-notes area, which remains one of the most challenging parts of the market.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eProvides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives\u003c\/li\u003e \u003cli\u003eUses simple settings and illustrations to reveal key results\u003c\/li\u003e \u003cli\u003eWritten by an experienced trader who has worked with swaps, options, and exotics\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eWith this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations.\u003c\/p\u003e \u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003e“Rates” Market ix\u003c\/p\u003e \u003cp\u003eBackground ix\u003c\/p\u003e \u003cp\u003eBook Structure xi\u003c\/p\u003e \u003cp\u003eAcknowledgments xvii\u003c\/p\u003e \u003cp\u003eAbout the Author xix\u003c\/p\u003e \u003cp\u003eList of Symbols and Abbreviations xxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart One Cash, Repo, and Swap Markets 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Bonds: It’s All About Discounting 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTime Value of Money: Future Value, Present Value 3\u003c\/p\u003e \u003cp\u003ePrice-Yield Formula 5\u003c\/p\u003e \u003cp\u003ePV01, PVBP, Convexity 11\u003c\/p\u003e \u003cp\u003eRepo, Reverse Repo 16\u003c\/p\u003e \u003cp\u003eForward Price\/Yield, Carry, Roll-Down 19\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Swaps: It’s Still About Discounting 25\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDiscount Factor Curve, Zero Curve 26\u003c\/p\u003e \u003cp\u003eForward Rate Curve 27\u003c\/p\u003e \u003cp\u003ePar-Swap Curve 31\u003c\/p\u003e \u003cp\u003eConstruction of the Swap\/Libor Curve 34\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Interest Rate Swaps in Practice 43\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMarket Instruments 43\u003c\/p\u003e \u003cp\u003eSwap Trading—Rates or Spreads 48\u003c\/p\u003e \u003cp\u003eSwap Spreads 51\u003c\/p\u003e \u003cp\u003eRisk, PV01, Gamma Ladder 56\u003c\/p\u003e \u003cp\u003eCalendar Rules, Date Minutiae 59\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Separating Forward Curve from Discount Curve 67\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eForward Curves for Assets 67\u003c\/p\u003e \u003cp\u003eImplied Forward Rates 69\u003c\/p\u003e \u003cp\u003eFloat\/Float Swaps 70\u003c\/p\u003e \u003cp\u003eLibor\/Libor Basis Swaps 73\u003c\/p\u003e \u003cp\u003eOvernight Indexed Swaps (OIS) 75\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Two Interest-Rate Flow Options 77\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Derivatives Pricing: Risk-Neutral Valuation 79\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEuropean-Style Contingent Claims 80\u003c\/p\u003e \u003cp\u003eOne-Step Binomial Model 80\u003c\/p\u003e \u003cp\u003eFrom One Time-Step to Two 84\u003c\/p\u003e \u003cp\u003eFrom Two Time-Steps to 90\u003c\/p\u003e \u003cp\u003eRelative Prices 91\u003c\/p\u003e \u003cp\u003eRisk-Neutral Valuation: All Relative Prices Must be Martingales 92\u003c\/p\u003e \u003cp\u003eInterest-Rate Options Are Inherently Difficult to Value 93\u003c\/p\u003e \u003cp\u003eFrom Binomial Model to Equivalent Martingale Measures 94\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Black’s World 97\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Little Bit of Randomness 97\u003c\/p\u003e \u003cp\u003eModeling Asset Changes 103\u003c\/p\u003e \u003cp\u003eBlack-Scholes-Merton\/Black Formulae 104\u003c\/p\u003e \u003cp\u003eGreeks 112\u003c\/p\u003e \u003cp\u003eDigitals 116\u003c\/p\u003e \u003cp\u003eCall Is All You Need 117\u003c\/p\u003e \u003cp\u003eCalendar\/Business Days, Event Vols 120\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 European-Style Interest-Rate Derivatives 123\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMarket Practice 124\u003c\/p\u003e \u003cp\u003eInterest-Rate Option Trades 124\u003c\/p\u003e \u003cp\u003eCaplets\/Floorlets: Options on Forward Rates 125\u003c\/p\u003e \u003cp\u003eEuropean-Style Swaptions 129\u003c\/p\u003e \u003cp\u003eSkews, Smiles 137\u003c\/p\u003e \u003cp\u003eCMS Products 140\u003c\/p\u003e \u003cp\u003eBond Options 147\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Three Interest-Rate Exotics 149\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Short-Rate Models 151\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Quick Tour 152\u003c\/p\u003e \u003cp\u003eDynamics to Implementation 153\u003c\/p\u003e \u003cp\u003eLattice\/Tree Implementation 154\u003c\/p\u003e \u003cp\u003eBDT Lattice Model 156\u003c\/p\u003e \u003cp\u003eHull-White, Black-Karasinski Models 168\u003c\/p\u003e \u003cp\u003eSimulation Implementation 169\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Bermudan-Style Options 175\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBellman’s Equation—Backward Induction 176\u003c\/p\u003e \u003cp\u003eBermudan Swaptions 177\u003c\/p\u003e \u003cp\u003eBermudan Cancelable Swaps, Callable\/Puttable Bonds 180\u003c\/p\u003e \u003cp\u003eBermudan-Style Options in Simulation Implementation 183\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Full Term-Structure Interest-Rate Models 185\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eShifting Focus from Short Rate to Full Curve: Ho-Lee Model 186\u003c\/p\u003e \u003cp\u003eHeath-Jarrow-Morton (HJM) Full Term-Structure Framework 186\u003c\/p\u003e \u003cp\u003eDiscrete-Time, Discrete-Tenor HJM Framework 188\u003c\/p\u003e \u003cp\u003eForward-Forward Volatility 191\u003c\/p\u003e \u003cp\u003eMultifactor Models 197\u003c\/p\u003e \u003cp\u003eHJM Framework Typically Leads to Nonrecombining Trees 199\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Forward-Measure Lens 201\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eNumeraires Are Arbitrary 201\u003c\/p\u003e \u003cp\u003eForward Measures 206\u003c\/p\u003e \u003cp\u003eBGM\/Jamshidian Results 208\u003c\/p\u003e \u003cp\u003eDifferent Measures for Different Rates 210\u003c\/p\u003e \u003cp\u003e“Classic” or “New Improved”: Pick Your Poison! 212\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 In Search of “The” Model 215\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMigration to Full-Term Structure Models 215\u003c\/p\u003e \u003cp\u003eImplementation Era 216\u003c\/p\u003e \u003cp\u003eModel versus Market: Liquidity and Concentration Risk 216\u003c\/p\u003e \u003cp\u003eComplexity Risk 217\u003c\/p\u003e \u003cp\u003eRemaining Challenges 218\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix A Taylor Series Expansion 219\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFunction of One Variable 219\u003c\/p\u003e \u003cp\u003eFunction of Several Variables 220\u003c\/p\u003e \u003cp\u003eIto’s Lemma: Taylor Series for Diffusions 220\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix B Mean-Reverting Processes 223\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eNormal Dynamics 224\u003c\/p\u003e \u003cp\u003eLog-Normal Dynamics 226\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix C Girsanov’s Theorem and Change of Numeraire 229\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eContinuous-Time, Instantaneous-Forwards HJM Framework 230\u003c\/p\u003e \u003cp\u003eBGM Result 232\u003c\/p\u003e \u003cp\u003eNotes 235\u003c\/p\u003e \u003cp\u003eIndex 239\u003c\/p\u003e   \u003cp\u003e\u003cb\u003eAMIR SADR, P\u003csmall\u003eH\u003c\/small\u003eD,\u003c\/b\u003e has experience as a quant, trader, financial software developer, and academic in fixed income markets. He traded options and exotics at HSBC in New York from 2005 to 2006 and traded at the proprietary desk for Greenwich Capital Markets (GCM) for four years prior to that. Sadr also has experience at Morgan Stanley as a vice president in the derivatives products group where he traded interest rate derivatives and exotics. Since 1996, Sadr has served as an adjunct professor at New York University in the Department of Finance and Accounting.     \u003c\/p\u003e\u003cp\u003e\u003cb\u003eINTEREST RATE SWAPS AND THEIR DERIVATIVES\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eInterest rate swaps and their derivatives have become an integral part of the fixed income market, but many of the pricing and risk management issues for these now mainstream products can only be learned on a trading floor. While there are many books on fixed income and interest rate derivatives, they generally suffer from being either too elementary and bond-centric, mentioning swaps in passing, or too technical and focused on exotics and the myriad implementation issues and algorithms used to tackle them. \u003c\/p\u003e\u003cp\u003eRather than focusing on exotics, \u003ci\u003eInterest Rate Swaps and Their Derivatives\u003c\/i\u003e thoroughly covers the mainstream products—swaps, flow options, Bermudans, semi-exotics—showing the common pricing techniques while also explaining how to generalize the concepts to more nuanced products. \u003c\/p\u003e\u003cp\u003eAuthor Amir Sadr, experienced as a quant, trader, financial software developer, and academic in the fixed income field, begins by presenting plain-vanilla swaps as an extension of fixed rate bonds—revealing how techniques for pricing these instruments are a generalization of similar methods used for pricing bonds and repos, and for the most part involve the concepts of financing cost, discount factors, and projection of forward curves. He then moves on to cover the options markets for flow products, including options on futures, caps and floors, and European swaptions—with detailed attention to the actual trading practice of these products. Sadr explains how, as with any option product, the pricing and risk management of these requires dealing with volatility as the main risk factor—and he shows that one does not need to have a PhD in math to understand options. Sadr presents risk-neutral valuation as the fundamental pricing paradigm for derivatives, and illustrates the core idea of dynamic replication in a simple binomial setting. This unified framework is used to derive industry-standard Black formula for flow products, and is developed into short-rate and full term-structure models for more complex interest rate exotics including Bermudans. \u003c\/p\u003e\u003cp\u003eFor current or aspiring practitioners in interest rate products, \u003ci\u003eInterest Rate Swaps and Their Derivatives\u003c\/i\u003e provides a sound working knowledge and appreciation of the main features of these products and their pricing and risk management issues.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989443461349,"sku":"NP9780470443941","price":94.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470443941.jpg?v=1761784119","url":"https:\/\/k12savings.com\/es\/products\/interest-rate-swaps-and-their-derivatives-isbn-9780470443941","provider":"K12savings","version":"1.0","type":"link"}