Interest rate derivatives:Practical guide to applications,pricing and modelling. (Record no. 91851)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 03266nam a2200157Ia 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1-904339-94-8 |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | James, Todd |
| 245 ## - TITLE STATEMENT | |
| Title | Interest rate derivatives:Practical guide to applications,pricing and modelling. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2006 |
| Name of publisher, distributor, etc. | Risk Books |
| Place of publication, distribution, etc. | London |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | ix+354+CD |
| Other physical details | 24 cm ; Hard |
| 505 ## - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Chapter 1 Financial Mathematics 1.0 Time Value of Money 1.1 Continuous Interest Rates 1.2 Effective and Nominal Interest Rates 1.3 Money Market Yields 1.4 Day Count Basis Conventions 1.5 Roll Convention Chapter 2 Short term Interest Rates and Futures 2.1 Forward-Forward 2.2 Forward Rates (FRAs) 2.3 Short-Term Interest Rate Futures 2.4 Convexity with Futures 2.5 Calculating "strip" yields from Futures 2.5 Futures versus FRAs Chapter 3 Bonds: Pricing risk and hedging 3.1 Bond Price 3.2 Bond Yields 3.3 Bond Proceeds: Clean vs. Dirty Price 3.4 Odd Coupon Bonds 3.5 Bond PV01 3.6 Bond Duration and Modified Duration 3.7 Bond Convexity 3.8 Bond Portfolio: Modified Duration and Convexity 3.9 Hedging a Bond Portfolio 3.10 Hedging and partial Hedging with Bond Futures 3.11 Basis Risk 3.12 Repos Chapter 4 Interest Rate Swaps: Overview and application 4.1 What is an Interest Rate Swap? 4.2 How Interest Rate swaps are Quoted 4.3 What is a Swap Spread? 4.4 Quotation Basis 4.5 Interest Rate Swap Applications 4.6 The Non-standard (Non-generic) Interest Rate Swaps 4.7 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 6.01 Asset Swaps: Par and Market Value Asset swaps 6.02 Calculating the Bond price from a target asset swap level 6.03 Curvebuilder explained: How to use and price swaps 6.04 Liability Swaps 6.05 Forward Starting Swaps: calculating the cost of Delay 6.06 Amortizing Swaps 6.07 MTM of Swaps 6.08 Spreadlocks 6.09 Treasury Locks Chapter 7 Hedging Interest rate Swaps IRS Risk: PV01 Hedging swaps with Eurodollar Futures Hedging Swaps with Treasuries Managing a Portfolio of Swaps Chapter 8 Cross Currency Interest Rate Swaps Basis Swaps Calculating the Basis point conversion Cashflows Pricing Fixed Fixed Swap Asset Swap: Example Liability Swap: Example Case Study: Relative Borrowing Chapter 9 Interest Rate Options Pricing and application Caps/Floors Swaptions European Bermudan Callable securities Volatility Stripping Digitals Hedging Options More Exotic Structures Range Accrual Swap KO/KI Caps/Floors KO Swaps Chapter 10 More exotic swaps/options Libor in arrears CMS Quantos Chapter 11 FAA 133 and IAS 39 Swaps and options Chapter 12 Documentation and Credit ISDA Credit Credit Midigation Appendix: Glossary Curvebuilder Xl functions explained Conventions (diff currencies) Interpolation FX forwards Data Sources |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Using worked examples, this book offers an explanation of both basic and advanced principles for the valuation of interest rate derivatives and their hedging applications. It describes: pricing methods; application, structuring and valuation of interest rates; methods of managing interest rate exposure; and, trading and hedging strategies. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Derivatives |
| -- | Corporations--Finance |
| -- | Derivative securities |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Todd James |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Books |
| Withdrawn status | Lost status | Damaged status | Not for loan | Collection code | Home library | Current library | Date acquired | Total Checkouts | Total Renewals | Full call number | Barcode | Date last seen | Date last checked out | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GSB Collection | H.T. Parekh Library | 25/03/2010 | 5 | 332.645 JAM | 31473 | 24/06/2019 | 24/06/2019 | 22/06/2019 | Books |