Pricing and hedging swaps ebook

A derivative is a financial instrument whose value is dependent upon, or derived from, one or more other financial instruments or observable variables; these instruments or observable variables are generally known as underlying assets.

Derivatives are financial instruments in their own right with their own price dynamics. Consequently, we can say that the price of Skip to main content.

Start your free trial. Get it now. Empirical examples and case studies specific to this volume include:. Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, 'best-of' and spread options;. Gain a deep, intuitive and technical understanding of practical options theory The main challenges in successful ….

A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner …. Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, …. This book makes quantitative finance almost easy! Its new visual approach makes quantitative finance accessible to …. Skip to main content. Start your free trial. Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, 'best-of' and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models Matlab code ; Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.