Interest-Rate Derivatives
Volume 1: Swaps
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Beschreibung
A comprehensive, technically rigorous guide to interest-rate derivatives from a trading floor perspective
This book provides extensive coverage of bonds and money markets; yield curves; interest-rate and cross-currency swaps; swaps risk-management; breakdowns of classical swaps pricing in the credit crunch; and modern multi-curve calibration methodologies. It closes with a section on counterparty credity risk for swaps, an issue that has come to the forefront of market practice in the aftermatch of the financial crisis. Written by a practitioner for practitioners, Interest-Rate Derivatives, Volume 1 is the ideal reference for derivatives practitioners everywhere.
Autor*in
Richard Fedrick
Themen in »Interest-Rate Derivatives«
Finance & Investments Financial Engineering Finanz- u. Anlagewesen Finanztechnik