Praise for Interest Rate Swaps and Their Derivatives ＂This is
it! I have been looking for a practitioner''s guide to interest rate
derivatives for over ten years! Most ''new joiners'' on Wall Street
only gain this knowledge over years of apprenticeship with seasoned
professionals. In his book, Amir Sadr explains not only the math
behind the products, but the street lingo and, most importantly,
the mechanics of everything from overnight repos to Bermudans.＂
--George Nunn, Head of Fixed Income
內容簡介：
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 instruments and their actual use in
day-to-day life. This comprehensive guide covers the main "rates"
products, including swaps, options capfloors, swaptions, CMS
products, and Bermudan callables. It also covers the main valuation
techniques for the exoticsstructured-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 exotics With 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.
關於作者：
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.
目錄：
Preface. "Rates" Market. Background. Book Structure.
Acknowledgments. About the Author . List of Symbols and
Abbreviations. PART ONE Cash, Repo, and Swap Markets.
CHAPTER 1 Bonds: It''s All About Discounting. Time Value of Money:
Future Value, Present Value. Price-Yield Formula. PV01, PVBP,
Convexity. Repo, Reverse Repo. Forward PriceYield, Carry,
Roll-Down.
CHAPTER 2 Swaps: It''s Still About Discounting. Discount Factor
Curve, Zero Curve. Forward Rate Curve. Par-Swap Curve. Construction
of the SwapLibor Curve.
CHAPTER 3 Interest Rate Swaps in Practice. Market Instruments. Swap
Trading-Rates or Spreads. Swap Spreads. Risk, PV01, Gamma Ladder.
Calendar Rules, Date Minutiae.
CHAPTER 4 Separating Forward Curve from Discount Curve. Forward
Curves for Assets. Implied Forward Rates. FloatFloat Swaps.
LiborLibor Basis Swaps. Overnight Indexed Swaps OIS. PART TWO
Interest-Rate Flow Options.
CHAPTER 5 Derivatives Pricing: Risk-Neutral Valuation.
European-Style Contingent Claims. One-Step Binomial Model. From One
Time-Step to Two. From Two Time-Steps to ... Relative Prices.
Risk-Neutral Valuation: All Relative Prices Must be Martingales.
Interest-Rate Options Are Inherently Difficult to Value. From
Binomial Model to Equivalent Martingale Measures.
CHAPTER 6 Black''s World. A Little Bit of Randomness. Modeling Asset
Changes. Black-Scholes-MertonBlack Formulae. Greeks. Digitals.
Call Is All You Need. CalendarBusiness Days, Event Vols.
CHAPTER 7 European-Style Interest-Rate Derivatives. Market
Practice. Interest-Rate Option Trades. CapletsFloorlets: Options
on Forward Rates. European-Style Swaptions. Skews, Smiles. CMS
Products. Bond Options. PART THREE Interest-Rate Exotics.
CHAPTER 8 Short-Rate Models. A Quick Tour. Dynamics to
Implementation. LatticeTree Implementation. BDT Lattice Model.
Hull-White, Black-Karasinski Models. Simulation
Implementation.
CHAPTER 9 Bermudan-Style Options. Bellman''s Equation-Backward
Induction. Bermudan Swaptions. Bermudan Cancelable Swaps,
CallablePuttable Bonds. Bermudan-Style Options in Simulation
Implementation.
CHAPTER 10 Full Term-Structure Interest-Rate Models. Shifting Focus
from Short Rate to Full Curve: Ho-Lee Model. Heath-Jarrow-Morton
HJM Full Term-Structure Framework. Discrete-Time, Discrete-Tenor
HJM Framework. Forward-Forward Volatility. Multifactor Models. HJM
Framework Typically Leads to Nonrecombining Trees.
CHAPTER 11 Forward-Measure Lens. Numeraires Are Arbitrary. Forward
Measures. BGMJamshidian Results. Different Measures for Different
Rates. "Classic" or "New Improved": Pick Your Poison!.
CHAPTER 12 In Search of "The" Model. Migration to Full-Term
Structure Models. Implementation Era. Model versus Market:
Liquidity and Concentration Risk. Complexity Risk. Remaining
Challenges. APPENDIX A Taylor Series Expansion. Function of One
Variable. Function of Several Variables. Ito''s Lemma: Taylor Series
for Diffusions. APPENDIX B Mean-Reverting Processes. Normal
Dynamics. Log-Normal Dynamics. APPENDIX C Girsanov''s Theorem and
Change of Numeraire. Continuous-Time, Instantaneous-Forwards HJM
Framework. BGM Result. Notes. Index.
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