GW Buetow
John Wiley & Sons
e druk, 2000
9781883249892
Valuation of Interest Rate Swaps & Swaptions
Specificaties
Gebonden, 252 blz.
|
Engels
John Wiley & Sons |
e druk, 2000
ISBN13: 9781883249892
Rubricering
Juridisch
:
Onderdeel van serie
Frank J. Fabozzi Series
Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value–an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end–of–chapter questions and solutions included.
Specificaties
ISBN13:9781883249892
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:252
Uitgever:John Wiley & Sons
Hoofdrubriek:Financieel management
Serie:Frank J. Fabozzi Series
Inhoudsopgave
About the Authors.
<br />
<br /> Introduction.
<br />
<br /> Calculating Swap Payments.
<br />
<br /> Computing the Present Value of Swap Payments and Determining the Swap Fixed Rate.
<br />
<br /> Traditional Approach to the Valuation of a Plain Vanilla Swap.
<br />
<br /> Lattice Approach to Valuation.
<br />
<br /> Swap Valuation Using the Lattice Approach.
<br />
<br /> Valuation of Forward Start Swaps.
<br />
<br /> Valuing a Swaption.
<br />
<br /> Factos that Affect the Value of a Swaption.
<br />
<br /> Valuing Non–LIBOR Based Swaps and Basis Swaps.
<br />
<br /> Controlling Interest Rate Risk with Swaps.
<br />
<br /> Appendix A: Theoretical Spot and Forward Rates.
<br />
<br /> Appendix B: Binomial Interest Rate Model.
<br />
<br /> Appendix C: Valuation of Swaps Using the Trinomial Approach.
<br />
<br /> Index.
<br />
<br /> Introduction.
<br />
<br /> Calculating Swap Payments.
<br />
<br /> Computing the Present Value of Swap Payments and Determining the Swap Fixed Rate.
<br />
<br /> Traditional Approach to the Valuation of a Plain Vanilla Swap.
<br />
<br /> Lattice Approach to Valuation.
<br />
<br /> Swap Valuation Using the Lattice Approach.
<br />
<br /> Valuation of Forward Start Swaps.
<br />
<br /> Valuing a Swaption.
<br />
<br /> Factos that Affect the Value of a Swaption.
<br />
<br /> Valuing Non–LIBOR Based Swaps and Basis Swaps.
<br />
<br /> Controlling Interest Rate Risk with Swaps.
<br />
<br /> Appendix A: Theoretical Spot and Forward Rates.
<br />
<br /> Appendix B: Binomial Interest Rate Model.
<br />
<br /> Appendix C: Valuation of Swaps Using the Trinomial Approach.
<br />
<br /> Index.
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