Pricing and Trading Interest Rate Derivatives

Pricing and Trading Interest Rate Derivatives
Author :
Publisher : Aitch & Dee Limited
Total Pages : 0
Release :
ISBN-10 : 0995455538
ISBN-13 : 9780995455535
Rating : 4/5 (38 Downloads)

Book Synopsis Pricing and Trading Interest Rate Derivatives by : J Hamish M Darbyshire

Download or read book Pricing and Trading Interest Rate Derivatives written by J Hamish M Darbyshire and published by Aitch & Dee Limited. This book was released on 2022-08-07 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most professional and industry relatable text currently available for linear interest rate derivatives. Written by a practicing derivatives portfolio manager with over fifteen years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multi-currency), risk, credit and CSAs, regulations, VaR and PCA, volatility, cross-gamma, trade strategy analysis and market moving influences. The book's focus is interest rate swaps and cross-currency swaps, updated for a risk free rate (RFR, such as SOFR and ESTR) framework as opposed to LIBOR. Topics are presented from that perspective, outlining the importance of regulations in an IRD capacity, with volatility and swaptions taught from a practical point of view rather than an overly cumbersome academic one. This third edition (2022) markedly expands the second edition (2017), by not only providing extensive analysis but also building up a modern codebase, step-by-step, in Python. It constructs and solves interest rate curves and goes on to implement risk and cross-gamma calculations, demonstrating the implementation of automatic differentiation for superior efficiency. Read more at https: //github.com/attack68/book_irds3. The treatment of risk is expansive and thorough. The author formally analyses modern market-maker techniques to accurately predict PnL, and successfully implement multiple, consistent perspectives to view all details of risks. Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. Certainly this book sets the benchmark for the level of expertise that swaps traders should strive for, and the style is aimed at the novice and professional alike.


Pricing and Trading Interest Rate Derivatives Related Books

Pricing and Trading Interest Rate Derivatives
Language: en
Pages: 0
Authors: J Hamish M Darbyshire
Categories:
Type: BOOK - Published: 2022-08-07 - Publisher: Aitch & Dee Limited

DOWNLOAD EBOOK

The most professional and industry relatable text currently available for linear interest rate derivatives. Written by a practicing derivatives portfolio manage
Interest Rate Swaps and Other Derivatives
Language: en
Pages: 623
Authors: Howard Corb
Categories: Business & Economics
Type: BOOK - Published: 2012-08-28 - Publisher: Columbia University Press

DOWNLOAD EBOOK

The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal dir
Interest Rate Swaps and Their Derivatives
Language: en
Pages: 276
Authors: Amir Sadr
Categories: Business & Economics
Type: BOOK - Published: 2009-09-09 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instr
Interest Rate Markets
Language: en
Pages: 373
Authors: Siddhartha Jha
Categories: Business & Economics
Type: BOOK - Published: 2011-02-11 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. T
Interest Rate Derivatives
Language: en
Pages: 354
Authors: Todd James
Categories: Corporations
Type: BOOK - Published: 2006-01 - Publisher:

DOWNLOAD EBOOK

Written in a straightforward, clearly structured manner with extensive use of worked examples, this easy to use book gives you an explanation of both basic and