Biblioteca Univ. Surcolombiana

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Interest rate swaps and their derivatives a practitioner's guide Amir Sadr.

By: Sadr, Amir, 1963-.
Series: Wiley finance series: Hoboken, N.J. Wiley ©2009Description: xxii, 247 páginas ilustrado 24 cm.ISBN: 9780470443941.Subject(s): Interest rate swaps | Interest rate futures | Derivative securities | Tasa de interés de intercambio | Futuro de tasa de interés | Valor derivadoDDC classification: 332.6323
Contents:
"Rates" Market -- List of Symbols and Abbreviations -- Cash, Repo, And Swap Markets -- Bonds: It's All About Discounting -- Swaps: It's Still About Discounting -- Interest Rate Swaps in Practice -- Separating Forward Curve from Discount Curve -- Interest Rate Flow Options.i -- Derivatives Pricing: Risk-Neutral Valuation -- Black's World -- European-Style Interest Rate Derivatives -- Interest Rate Exotics -- Short-Rate Models -- Bermudan-Style Options -- Full Term-Structure Interest Rate Models -- Forward-Measure Lens -- In Search of "The" Model -- Taylor Series Expansion -- Mean-Reverting Processes -- Girsanov's Theorem and Change of Numeraire.
List(s) this item appears in: Economia
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Item type Current location Collection Call number Copy number Status Date due Barcode Item holds
Libros Libros Biblioteca Central
General 332.6323 / SA126i (Browse shelf) Ej.1 Available 8000022245
Total holds: 0

Series statement from jacket.

Incluye referencias bibliográficas e índice.

"Rates" Market -- List of Symbols and Abbreviations -- Pt. 1. Cash, Repo, And Swap Markets -- Ch. 1. Bonds: It's All About Discounting -- Ch. 2. Swaps: It's Still About Discounting -- Ch. 3. Interest Rate Swaps in Practice -- Ch. 4. Separating Forward Curve from Discount Curve -- Pt. 2. Interest Rate Flow Options.i -- Ch. 5. Derivatives Pricing: Risk-Neutral Valuation -- Ch. 6. Black's World -- Ch. 7. European-Style Interest Rate Derivatives -- Pt. 3. Interest Rate Exotics -- Ch. 8. Short-Rate Models -- Ch. 9. Bermudan-Style Options -- Ch. 10. Full Term-Structure Interest Rate Models -- Ch. 11. Forward-Measure Lens -- Ch. 12. In Search of "The" Model -- Appendix A. Taylor Series Expansion -- Appendix B. Mean-Reverting Processes -- Appendix C. Girsanov's Theorem and Change of Numeraire.

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