This book focuses on the pricing and hedging of swaps, showing how various models work in practice and how they can be built. The book also covers options and interest rates as they relate to swaps, as they are often traded together.Pedagogical in nature, the author provides numerous exercises and simulationsallowing the reader to work through Excel spreadsheets. Fully revised and updated from the first edition, all examples have been recalculated with up-dateddata. There is great emphasis on the use of futures, reflecting the continuedgrowth of the futures market around the world. There is also a section on thebuilding of a FRA curve which will appeal specifically to the South African market. There is a new chapter on Asset packaging, and the section on Credit Derivatives has been greatly extended, reflecting the explosive growth in this market over the past five years. There is also a crucial and extended new section on convexity adjustments. There has been an enormous growth in structured securities over the past 5 years, as investors chase yield, and inevitably theyare swapped. The chapter on swapping structured securities is therefore a major new addition, as this topic has become increasingly important. The theory of hedging is rigorously covered, and hedge effectiveness is measured by IR simulation, based upon BGM, rather than shocking curves. As before there is an important section on Value-at-Risk, with emphasis on the simulation approaches.
- ISBN: 978-0-470-72191-9
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 392
- Fecha Publicación: 04/12/2009
- Nº Volúmenes: 1
- Idioma: Inglés