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Informationen zum Autor AMIR SADR, PHD, has experience as a quant, trader, financial software developer, and academic in fixed income markets. He traded options and exotics at HSBC in New York from 2005 to 2006 and traded at the proprietary desk for Greenwich Capital Markets (GCM) for four years prior to that. Sadr also has experience at Morgan Stanley as a vice president in the derivatives products group where he traded interest rate derivatives and exotics. Since 1996, Sadr has served as an adjunct professor at New York University in the Department of Finance and Accounting. Klappentext An up-to-date look at the evolution of interest rate swaps and derivativesInterest 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 exoticsWith 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. Zusammenfassung Interest Rate Derivatives is unique in that it is written by an experienced trader who has traded swaps, options and exotics. Sadr has written the book for practitioners in the field of interest rate derivatives (traders, marketers, operations). Inhaltsverzeichnis Preface ix "Rates" Market ix Background ix Book Structure xi Acknowledgments xvii About the Author xix List of Symbols and Abbreviations xxi Part One Cash, Repo, and Swap Markets 1 Chapter 1 Bonds: It's All About Discounting 3 Time Value of Money: Future Value, Present Value 3 Price-Yield Formula 5 PV01, PVBP, Convexity 11 Repo, Reverse Repo 16 Forward Price/Yield, Carry, Roll-Down 19 Chapter 2 Swaps: It's Still About Discounting 25 Discount Factor Curve, Zero Curve 26 Forward Rate Curve 27 Par-Swap Curve 31 Construction of the Swap/Libor Curve 34 Chapter 3 Interest Rate Swaps in Practice 43 Market Instruments 43 Swap Trading-Rates or Spreads 48 Swap Spreads 51 Risk, PV01, Gamma Ladder 56 Calendar Rules, Date Minutiae 59 Chapter 4 Separating Forward Curve from Discount Curve 67 Forward Curves for Assets 67 Implied Forward Rates 69 Float/Float Swaps 70 Libor/Libor Basis Swaps 73 Overnight Indexed Swaps (OIS) 75 Part Two Interest-Rate Flow Options 77 Chapter 5 Derivatives Pricing: Risk-Neutral Valuation 79 European-Style Contingent Claims 80 One-Step Binomial Model 80 From One Time-Step to Two 84 From Two Time-Steps to 90 Relative Prices 91 Risk-Neutral Valuation: All Relative Prices Must be Martingales 92 Interest-Rate Options Are Inherently Difficult to Value 93 From Binomial Model to Equivalent Martingale Measures 94 Chapter 6 Black's World 97 A Little Bit of Randomness 97 Modeling Asset Changes 103 Black-Scholes-Merton/Black Formulae 104 Greeks 112 Digitals 116 Call Is All You Need 117 Calendar/Business Days, Event Vols 120 Chapter 7 European-Style Interest-Rate Derivatives 123 Market Practice 124 Interest-Rate Option Trades 124 Caplets/Floorlets: Options on Forward Rates 125<...
