Description
Book SynopsisTrade ReviewHoward Corb's comprehensive treatment of interest rate swaps and related derivatives is destined to be the standard source for all professionals and students anxious to learn both concepts and practice. This book is authoritative, accessible, and rich with applications and illustrative examples. -- Darrell Duffie, Stanford University Finally, a complete and comprehensive derivative textbook that is both commercial and quantitative. This book is written in a wonderful conversational manner that will appeal to students of many derivative applications-corporations of all sizes, institutional investors of all kinds, public sector borrowers, global regulators, quants and educators at all levels. Howard Corb has really captured everything-the broad array of products and the necessary maths and associated variables-covering both common applications along with all the nuances. Undoubtedly this book will serve as both a textbook for the inquisitive and a reference book for all practitioners. I have grown with the swaps and derivatives market for the last quarter century and would have valued having this book at my side on many occasions. I commend Corb for creating such an inclusive work. His book clearly captures his passion for the derivatives market and his sincere interest in education. -- Richard Prager, head of global trading, BlackRock Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. Academic Lounge
Table of ContentsPreface Acknowledgments List of Abbreviations 1. An Introduction to Swaps 2. The Risk Characteristics and the Traditional Uses of Swaps 3. The Pricing of Swaps 4. Caps and Floors 5. Swaptions 6. Swaps with Embedded Options 7. Structured Notes 8. Relative Value and Macro Trades 9. More Recent Product Innovations Appendixes A. Refresher in Option Pricing B. A Brief Review of Some Fixed Income Topics C. A Closer Look at Day Count and Payment Conventions in Swaps D. A Quick Look at Mortgages E. The Normal Model Solutions to Selected Problems Bibliography Index
