Swaps and Other Derivatives (With CD-ROM) (The Wiley Finance Series) --Free PDF Ebook Download

Free PDF Ebook Download Hardcover: 320 pages Publisher: Wiley (June 15, 2002) Language: English ISBN-10: 0471495891 ISBN-13: 978-0471495895 Product Dimensions: 9.9 x 7.6 x 0.9 inches Product Description Swaps and Other Instruments 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. The book will include coverage of all the latest swaps including credit, commodity and equity swaps. Exercises and simulations are also provided on an accompanying CD ROM, including Excel spreadsheets enabling the reader to simulate and build their own spreadsheet models. From the Inside Flap Based on the author's own extensive experience as a financial engineer, trainer and consultant, Swaps and Other Derivatives provides a detailed and practical approach to the pricing of a wide range of swap structures, including non-generic interest rate and cross currency swaps such as forward starts, amortizers and roller coasters, yield curve, basis, OISs, diffs and quanto diffs, credit swaps and credit-adjusted pricing, equity and commodity, inflation-linked and volatility swaps. The applications of swaps in techniques such as asset packaging and pricing and hedging of LTFX are also discussed in detail. The book also covers interest rate and FX options, concentrating particularly on the construction and pricing of hybrid structures such as swaps with embedded options, but also covers practical issues such as the estimation of a forward volatility curve and swaption volatilities from par cap volatilities. Traditional and advanced risk management techniques for the control of portfolios, such as the construction of robust hedging portfolios using mathematical programming, delta and gamma neutrality, and minimum Value-at-Risk, are also described and demonstrated in practical detail. Alternative methods for the estimation of the VaR of a complex option portfolio are discussed, including the use of techniques such as delta-gamma, extreme value theory and Monte-Carlo sampling strategies.