Interest Rate Markets

Interest Rate Markets PDF
Author: Siddhartha Jha
Publisher: John Wiley & Sons
ISBN: 0470932201
Category : Business & Economics
Languages : un
Pages : 368

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Interest Rate Markets

by Siddhartha Jha, Interest Rate Markets Books available in PDF, EPUB, Mobi Format. Download Interest Rate Markets books, How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models



Interest Rate Management

Interest Rate Management PDF
Author: Rudi Zagst
Publisher: Springer Science & Business Media
ISBN: 3662121069
Category : Business & Economics
Languages : un
Pages : 341

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Interest Rate Management

by Rudi Zagst, Interest Rate Management Books available in PDF, EPUB, Mobi Format. Download Interest Rate Management books, This book combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook on financial markets for graduate and PhD students in mathematics. Interesting and comprehensive case studies illustrate the theoretical concepts.



Interest Rate Swaps And Their Derivatives

Interest Rate Swaps and Their Derivatives PDF
Author: Amir Sadr
Publisher: John Wiley & Sons
ISBN: 9780470526118
Category : Business & Economics
Languages : un
Pages : 272

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Interest Rate Swaps And Their Derivatives

by Amir Sadr, Interest Rate Swaps And Their Derivatives Books available in PDF, EPUB, Mobi Format. Download Interest Rate Swaps And Their Derivatives books, 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.



Interest Rate Currency Swaps

Interest Rate   Currency Swaps PDF
Author: Ravi E. Dattatreya
Publisher: Probus Professional Pub
ISBN:
Category : Debt equity conversion
Languages : un
Pages : 232

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Interest Rate Currency Swaps

by Ravi E. Dattatreya, Interest Rate Currency Swaps Books available in PDF, EPUB, Mobi Format. Download Interest Rate Currency Swaps books, "The swap market has revolutionized the world of finance. No other instrument provides such flexibility in managing the risk of assets and liabilities. Indeed, swaps simply have no equal as financing and risk-management tools." "The growth of the swap market has been phenomenal. After coming into being less than 20 years ago, the notional value of the swap market has expanded to around $3 trillion. Among financial professionals, the influence of the swap market is second only to the Treasury yield curve in importance." "Interest Rate and Currency Swaps explains how swaps work and how they can be applied to a variety of situations. In clear, straightforward language this book describes the structure of swaps from simple to complex, risk and price analysis of swap transactions and hedging principles." "Many corporations use interest rate swaps to borrow at lower costs than they could through more traditional financing means. Similarly, with the globalization of business, currency swaps are frequently used to hedge foreign exchange risk. Indeed, for most large companies and financial institutions, swap transactions have become routine." "As the swap market has grown, so has the complexity of swap instruments. Authors Ravi Dattatreya, Raj Venkatesh and Vijaya Venkatesh describe in detail a variety of swap structures including: off-market swaps, zero coupon swaps, swaps-in-arrears, basis swaps and forward swaps." "In addition, the authors devote considerable attention to asset/liability management through swaps. They describe basic hedging techniques, as well as unveiling a new method for managing yield curve risk. For any financial institution or corporation grappling with interest rate risk, this section alone is well worth the book's price." "Other topics addressed include measuring interest rate risk, multi-currency hedging, arbitrage and speculation, scenario analysis, and Monte Carlo simulation." "Without question, swaps are the single most important finance development in recent years. Interest Rate and Currency Swaps is the definitive source to understand and apply these powerful instruments."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved



Einf Hrung In Die Statistik Der Finanzm Rkte

Einf  hrung in die Statistik der Finanzm  rkte PDF
Author: Jürgen Franke
Publisher: Springer-Verlag
ISBN: 3642170498
Category : Business & Economics
Languages : de
Pages : 428

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Einf Hrung In Die Statistik Der Finanzm Rkte

by Jürgen Franke, Einf Hrung In Die Statistik Der Finanzm Rkte Books available in PDF, EPUB, Mobi Format. Download Einf Hrung In Die Statistik Der Finanzm Rkte books, Das Buch vermittelt die nötigen mathematischen und statistischen Grundlagen für eine Tätigkeit im Financial Engineering und gibt eine Einführung in die wichtigsten Ideen aus den verschiedensten Bereichen der Finanzmathematik und Finanzstatistik. Die klassische Theorie der Bewertung von Derivaten, die Grundlagen der Finanzzeitreihenanalyse wie auch statistische Aspekte beim Einsatz finanzmathematischer Verfahren, d.h. die Auswahl geeigneter Modelle, werden vorgestellt und ihre Anpassung und Validierung anhand von Daten gegeben. Die 2. Auflage wurde durch folgende Kapitel erweitert: Copulas und Value at Risk, Multivariate GARCH Modelle, Statistik extremer Ereignisse. Die elektronische Version unter http://www.xplore-stat.de/ebooks/ebooks.html bietet die Möglichkeit, alle Tabellen und Grafiken interaktiv zu bearbeiten.



Interest Rate Modelling

Interest Rate Modelling PDF
Author: Jessica James
Publisher: John Wiley & Sons Incorporated
ISBN:
Category : Business & Economics
Languages : un
Pages : 654

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Interest Rate Modelling

by Jessica James, Interest Rate Modelling Books available in PDF, EPUB, Mobi Format. Download Interest Rate Modelling books, Back Cover ( this section should include endorsements also) As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. This book covers the latest developments in full, with descriptions and implementation techniques for all the major classes of interest rate models - both those actively used in practice as well as theoretical models still 'waiting in the wings'. Interest rate models, implementation methods and estimation issues are discussed at length by the authors as are important new developments such as kernel estimation techniques, economic based models, implied pricing methods and models on manifolds. Providing balanced coverage of both the practical use of models and the theory that underlies them, Interest Rate Modelling adopts an implementation orientation throughout making it an ideal resource for both practitioners and researchers. Back Flap Jessica James Jessica James is Head of Research for Bank One's Strategic Risk Management group, based in the UK. Jessica started life as a physicist at Manchester University and completed her D Phil in Theoretical Atomic and Nuclear Physics at Christ Church, Oxford, under Professor Sandars. After a year as a college lecturer at Trinity, Oxford, she began work at the First National Bank of Chicago, now Bank One, where she still works. She is well known as a speaker on the conference circuit, lecturing on a variety of topics such as VaR, capital allocation, credit derivatives and interest rate modelling, and has published articles on various aspects of financial modelling. Nick Webber Nick Webber is a lecturer in Finance at Warwick Business School. Prior to his academic career, Nick had extensive experience in the industrial and commercial world in operational research and computing. After obtaining a PhD in Theoretical Physics from Imperial College he began research into financial options. His main area of research centres on interest rate modelling and computational finance. He has taught practitioner and academic courses for many years, chiefly on options and interest rates. Front Flap Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products. A series of introductory chapters reviews the theoretical background, pointing out the problems in using naïve valuation and implementation techniques. There follows a full analysis of interest rate models including major categories, such as Affine, HJM and Market models, and in addition, lesser well known types that include Consol, Random field and Jump-augmented Models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, Lattice and Monte Carlo methods and their particular application to the valuation of interest rate derivatives. Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementing models for real and for academics teaching and researching in the field.



European Fixed Income Markets

European Fixed Income Markets PDF
Author: Jonathan A. Batten
Publisher: John Wiley & Sons
ISBN: 0470092874
Category : Business & Economics
Languages : un
Pages : 504

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European Fixed Income Markets

by Jonathan A. Batten, European Fixed Income Markets Books available in PDF, EPUB, Mobi Format. Download European Fixed Income Markets books, The introduction of the euro in 1999 cast a new focus on the financial markets of constituent euro-zone countries, which have subsequently emerged with the second largest bond market in the world. This new book offers in depth insights and advice for any practitioner in the European fixed-income and ancillary derivative markets, and includes in-depth analysis of euro and non-euro markets as well as emerging countries.



Handbook Of Debt Securities And Interest Rate Derivatives

Handbook of Debt Securities and Interest Rate Derivatives PDF
Author: A V Rajwade
Publisher: Tata McGraw-Hill Education
ISBN: 0070656614
Category : Derivative securities
Languages : un
Pages : 348

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Handbook Of Debt Securities And Interest Rate Derivatives

by A V Rajwade, Handbook Of Debt Securities And Interest Rate Derivatives Books available in PDF, EPUB, Mobi Format. Download Handbook Of Debt Securities And Interest Rate Derivatives books, The importance of fixed income portfolios and the need to manage them prudently and optimally has grown rapidly in the recent years. Liberalization of the interest rate regime and consequent volatility of interest rates have added to both the risks and rewards of fixed income portfolios. Handbook of Debt Securities and Interest Rate Derivatives covers:*Debt Securities and Markets*Money Market*Bond Market in India*Primary Market in G-Secs*Secondary Market*Interest Rate Derivatives*Market Practices and Data SourcesCD-ROM contains excel worksheets for calculating price yields, cash flows, amortising swaps, etc.



Fixed Income Securities

Fixed Income Securities PDF
Author: Bruce Tuckman
Publisher: John Wiley & Sons
ISBN: 0470891696
Category : Business & Economics
Languages : un
Pages : 640

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Fixed Income Securities

by Bruce Tuckman, Fixed Income Securities Books available in PDF, EPUB, Mobi Format. Download Fixed Income Securities books, Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates. [FOR THE UNIVERSITY EDITION] This university edition includes problems which students can use to test and enhance their understanding of the text.