Interest rate derivatives a practical guide to applications pricing and modelling todd james on amazoncom free shipping on qualifying offers written in a straightforward clearly structured manor with extensive use of worked examples this easy to use book gives you an explanation of both basic and advanced principles for the valuation of interest rate derivatives and their hedging . 44 quotation basis 45 interest rate swap applications 46 the non standard non generic interest rate swaps 47 case studies chapter 5 deriving a zero coupon curve boostrapping a zero curve from market instruments deposits futures par swap rates chapter 6 asset and liability swaps cashflows and pricing 601 asset swaps par and market . A practical guide to interest rate derivative modelling fundamentals from wikibooks open books for an open world mark to market accounting price and avoid arbitrage pricing on unseen point hedging q quant vs p quant q quant key is hedging and replication p quant a practical guide to interest rate derivative modelling . Interest rate derivatives describes pricing methods application structuring and valuation of interest rate and cross currency swap and interest options methods of managing interest rate exposure and trading and hedging strategies and their application in portfolio management basic interest rate mathematics are explored and built upon to delve into a more complex development of interest . Find helpful customer reviews and review ratings for interest rate derivatives a practical guide to applications pricing and modelling at amazoncom read honest and unbiased product reviews from our users
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