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Author: Satyajit Das Publisher: ISBN: Category : Debt equity conversion Languages : en Pages : 1310
Book Description
The Das Swaps & Financial Derivatives Library - Third Edition Revised is the successor to Swaps & Financial Derivatives, which was first published in 1989 (as Swap Financing).
Author: Satyajit Das Publisher: ISBN: Category : Debt equity conversion Languages : en Pages : 1310
Book Description
The Das Swaps & Financial Derivatives Library - Third Edition Revised is the successor to Swaps & Financial Derivatives, which was first published in 1989 (as Swap Financing).
Author: Satyajit Das Publisher: John Wiley & Sons ISBN: 0470821647 Category : Business & Economics Languages : en Pages : 873
Book Description
Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.
Author: Satyajit Das Publisher: John Wiley & Sons ISBN: 0470821655 Category : Business & Economics Languages : en Pages : 1348
Book Description
Risk Management consists of 8 Parts and 18 Chapters covering risk management, market risk methodologies (including VAR and stress testing), credit risk in derivative transactions, other derivatives trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers documentation/legal aspects of derivative transactions (including ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities dealers (including the Basel framework for capital to be held against credit and market risk).
Author: Amir Sadr Publisher: John Wiley & Sons ISBN: 0470443944 Category : Business & Economics Languages : en Pages : 276
Book Description
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.
Author: Satyajit Das Publisher: Wiley ISBN: 9780470821763 Category : Business & Economics Languages : en Pages : 0
Book Description
The Das Swaps & Financial Derivatives Library – Third Edition, Revised is the successor to Swaps & Financial Derivatives, which was first published in 1989 (as Swap Financing). A second edition was published in 1994 (as Swaps & Financial Derivatives – Second Edition (in most of the world) and Swaps & Derivative Financing – Second Edition (in the USA). The changes in the market since the publication of the second edition have necessitated this third edition. The Das Swaps & Financial Derivatives Library – Third Edition, Revised is a four-volume set that incorporates extensive new material in all sections to update existing areas of coverage. In addition, several new chapters covering areas of market development have been included. This has resulted in a significant expansion in the size of the text. The four volumes in this set are: Derivative Products & Pricing Risk Management Structured Products Volume 1: Exotic Options, Interest Rates & Currency Structured Products Volume 2: Equity, Commodity, Credit & New Markets
Author: Leonardo Marroni Publisher: John Wiley & Sons ISBN: 1119954584 Category : Business & Economics Languages : en Pages : 277
Book Description
The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code
Author: Terence Lim Publisher: Now Publishers Inc ISBN: 1933019212 Category : Business & Economics Languages : en Pages : 225
Book Description
The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.
Author: Harry M. Kat Publisher: Wiley ISBN: 9780471486527 Category : Business & Economics Languages : en Pages : 390
Book Description
Although the pricing and hedging of derivatives contracts has been the subject of a large number of books, hardly any books exist on the actual design of derivatives contracts. Structured Equity Derivatives fills this gap in a remarkable way. The book introduces an approach to the structuring and practical application of derivatives that allows the reader to create his own derivatives solutions to an endless variety of problems. The approach is extremely natural - the only limit is the reader's own creativity. Since it clearly explains the reasons why derivatives exist and why there is such a large variety, this is the book that should be read before picking up any other book on the pricing and hedging of derivatives. As the book concentrates on product design instead of pricing, there are no complex pricing formulas or numerical procedures. The emphasis is on intuition and common sense rather than complex formal results, which makes the book accessible to people from many different backgrounds.
Author: Fabrice D. Rouah Publisher: John Wiley & Sons ISBN: 1118429206 Category : Business & Economics Languages : en Pages : 456
Book Description
This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
Author: Satyajit Das
Author: Satyajit Das
Author: Satyajit Das
Author: Satyajit Das
Author: Satyajit Das
Author: Amir Sadr
Author: Satyajit Das
Author: Leonardo Marroni
Author: Terence Lim
Author: Harry M. Kat
Author: Fabrice D. Rouah