Interest Rate Swaps And Their Derivatives: A Practitioner'S Guide 9780470443941 阿里云 kindle chm umd 极速 pdf txt 下载

　　An up-to-date look at the evolution of interest rate swaps and

derivatives "Interest Rate Swaps and Derivatives" 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. Provides a balance of

relevant theory and real-world trading instruments for rate swaps

and swap derivatives Uses simple settings and illustrations to

reveal key results Written by an experienced trader who has worked

with swaps, options, and exotics With 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.

Preface. "Rates" Market. Background. Book Structure.

Acknowledgments. About the Author . List of Symbols and

Abbreviations. PART ONE Cash, Repo, and Swap Markets.

CHAPTER 1 Bonds: It's All About Discounting. Time Value of Money:

Future Value, Present Value. Price-Yield Formula. PV01, PVBP,

Convexity. Repo, Reverse Repo. Forward Price/Yield, Carry,

Roll-Down.

CHAPTER 2 Swaps: It's Still About Discounting. Discount Factor

Curve, Zero Curve. Forward Rate Curve. Par-Swap Curve. Construction

of the Swap/Libor Curve.

CHAPTER 3 Interest Rate Swaps in Practice. Market Instruments. Swap

Trading-Rates or Spreads. Swap Spreads. Risk, PV01, Gamma Ladder.

Calendar Rules, Date Minutiae.

CHAPTER 4 Separating Forward Curve from Discount Curve. Forward

Curves for Assets. Implied Forward Rates. Float/Float Swaps.

Libor/Libor Basis Swaps. Overnight Indexed Swaps (OIS). PART TWO

Interest-Rate Flow Options.

CHAPTER 5 Derivatives Pricing: Risk-Neutral Valuation.

European-Style Contingent Claims. One-Step Binomial Model. From One

Time-Step to Two. From Two Time-Steps to ... Relative Prices.

Risk-Neutral Valuation: All Relative Prices Must be Martingales.

Interest-Rate Options Are Inherently Difficult to Value. From

Binomial Model to Equivalent Martingale Measures.

CHAPTER 6 Black's World. A Little Bit of Randomness. Modeling Asset

Changes. Black-Scholes-Merton/Black Formulae. Greeks. Digitals.

Call Is All You Need. Calendar/Business Days, Event Vols.

CHAPTER 7 European-Style Interest-Rate Derivatives. Market

Practice. Interest-Rate Option Trades. Caplets/Floorlets: Options

on Forward Rates. European-Style Swaptions. Skews, Smiles. CMS

Products. Bond Options. PART THREE Interest-Rate Exotics.

CHAPTER 8 Short-Rate Models. A Quick Tour. Dynamics to

Implementation. Lattice/Tree Implementation. BDT Lattice Model.

Hull-White, Black-Karasinski Models. Simulation

Implementation.

CHAPTER 9 Bermudan-Style Options. Bellman's Equation-Backward

Induction. Bermudan Swaptions. Bermudan Cancelable Swaps,

Callable/Puttable Bonds. Bermudan-Style Options in Simulation

Implementation.

CHAPTER 10 Full Term-Structure Interest-Rate Models. Shifting Focus

from Short Rate to Full Curve: Ho-Lee Model. Heath-Jarrow-Morton

(HJM) Full Term-Structure Framework. Discrete-Time, Discrete-Tenor

HJM Framework. Forward-Forward Volatility. Multifactor Models. HJM

Framework Typically Leads to Nonrecombining Trees.

CHAPTER 11 Forward-Measure Lens. Numeraires Are Arbitrary. Forward

Measures. BGM/Jamshidian Results. Different Measures for Different

Rates. "Classic" or "New Improved": Pick Your Poison!.

CHAPTER 12 In Search of "The" Model. Migration to Full-Term

Structure Models. Implementation Era. Model versus Market:

Liquidity and Concentration Risk. Complexity Risk. Remaining

Challenges. APPENDIX A Taylor Series Expansion. Function of One

Variable. Function of Several Variables. Ito's Lemma: Taylor Series

for Diffusions. APPENDIX B Mean-Reverting Processes. Normal

Dynamics. Log-Normal Dynamics. APPENDIX C Girsanov's Theorem and

Change of Numeraire. Continuous-Time, Instantaneous-Forwards HJM

Framework. BGM Result. Notes. Index.

　　AMIR SADR, PhD , 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.

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　　Praise for Interest Rate Swaps and Their Derivatives "This is

it! I have been looking for a practitioner's guide to interest rate

derivatives for over ten years! Most 'new joiners' on Wall Street

only gain this knowledge over years of apprenticeship with seasoned

professionals. In his book, Amir Sadr explains not only the math

behind the products, but the street lingo and, most importantly,

the mechanics of everything from overnight repos to Bermudans."

--George Nunn, Head of Fixed Income Structuring, Americas, BNP

Paribas "Dr. Sadr has produced a single, comprehensive guide to the

interest rate swap market. Bank dealers and corporate risk

professionals already active in this market will find the book to

be one of the best trading floor reference guides out there.

Students who want the real-world insights of a seasoned

professional will also discover Dr. Sadr's book to be an invaluable

resource." --Morris Sachs, Chief Risk Officer, 5:15 Capital

书籍介绍

An up-to-date look at the evolution of interest rate swaps and derivatives "Interest Rate Swaps and Derivatives" 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. Provides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives Uses simple settings and illustrations to reveal key results Written by an experienced trader who has worked with swaps, options, and exotics With 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.