000			03266nam a2200157Ia 4500
020			_a1-904339-94-8
100			_aJames, Todd
245			_aInterest rate derivatives:Practical guide to applications,pricing and modelling.
260			_c2006 _bRisk Books _aLondon
300			_aix+354+CD _b24 cm ; Hard
505			_aChapter 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			_aUsing 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			_aDerivatives _aCorporations--Finance _aDerivative securities
700			_aTodd James
942			_cBK
999			_c91851 _d91851