{"product_id":"interest-rate-swaps-and-their-derivatives-9780470443941","title":"Interest Rate Swaps and Their Derivatives","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\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\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\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","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49402333462871,"sku":"9780470443941","price":54.75,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780470443941.jpg?v=1730480097","url":"https:\/\/bookcurl.com\/products\/interest-rate-swaps-and-their-derivatives-9780470443941","provider":"Book 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