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Zusatztext The book brings to the widely traded Brazilian derivatives an intelligent analysis, that includes the latest developments in pricing – such as the choice of collateral and numéraire currency – as well as a variety of operational considerations. A 'must-read' for a number of actors.' -Helyette Geman, Professor of Mathematical Finance, Birkbeck, University of London & Johns Hopkins University "It is interesting to witness publication of a volume on Brazilian derivatives and securities more generally. The book is interesting not only for the emphasis on Brazilian markets. Discussion of often overlooked details on valuation and on curves makes it an interesting read for a potential broad audience. It is written in an engaging style while reporting relevant information and analysis, thanks also to the passionate approach of the authors.' -Professor Damiano Brigo, Chair in Mathematical Finance and Stochastic Analysis, Imperial College London 'This interesting and innovative book contains everything you need to know about doing quantitative finance in Brazil, where markets, products and rates behave very differently. It expertly tackles modeling problems unheard of in developed markets, and will be useful to anyone building financial models in non-G7 markets.' -Emanuel Derman, Author of My Life as a Quant and Models.Behaving.Badly 'This book describes the Brazilian market since its inception, presenting the main actors and forces that transformed the Brazil of Pres. Juscelino Kubitschek in 1960 to a market economy with some of the most liquid contracts in the world. The book motivates carefully the rationale behind the major exchange-traded derivatives and their operational aspects; it also covers extensively over-the-counter derivatives. It is the first book of its kind, giving the reader a complete perspective of Brazil's formidable derivatives markets. This is a 'must-read' for asset-managers, corporate treasurers, traders, investors and academics that are interested gaining knowledge on Brazilian derivatives markets.' -Marco Avellaneda, PhD, Professor of Mathematics, Courant Institute NYU; Managing Partner, Finance Concepts Informationen zum Autor Marcos Carreira is responsible for Traded Risk at HSBC Brazil. Previously he was first the Derivative Products Officer and later the Technical Modeling Officer at BM&FBovespa, with contributions on risk management, derivatives pricing, exchange fees, microstructure and HFT. At Credit Suisse Brazil, he was a Managing Director in charge of the FX and IR Options desk, after being the Risk Manager responsible for Market, Counterparty and Liquidity Risks. He started his career in Finance/Product Control at Banco de Investimentos Garantia. Mr Carreira holds an engineering degree from Instituto Tecnológico de Aeronáutica (ITA), is part of the 2016 class of the Professional Masters in Economics at Insper. He has more than 20 years of experience in the Brazilian Capital Markets. Marcos lectures for the MECAI Professional Masters course in Mathematical Finance at ICMC-USP.Richard Brostowicz is an Executive Director and Head of Brazil Quants at Banco Morgan Stanley, Brazil. He has 8 yearsof experience as a quant in global markets, having worked previously at Credit Suisse, and 11 years in the Brazilian market. He studied at the University of Sao Paulo (USP) and is a lecturer for a MECAI Professional Masters course in Mathematical Finance at ICMC-USP. Klappentext Zusammenfassung The Brazilian financial markets operate in a very different way to G7 markets. Inhaltsverzeichnis 1 Financial archeology 1.1 Interest Rates and Inflation 1.2 Foreign Exchange 2 We mean business 2.1 Calendars 2.2 Interest Rate Fixings 2.3 Inflation Fixings 2.4 Foreign Exchange Fixings 2.5 The 3 Ts in FX option pricing: A more precise version of the B...
