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Swaps and Other Derivatives

Swaps and Other Derivatives

Richard R. Flavell

ISBN: 978-0-470-86748-8

Apr 2003

464 pages

Select type: E-Book



Swaps and Other Instruments focuses on the pricing and hedging of swaps, showing how various models work in practice and how they can be built. The book also covers options and interest rates as they relate to swaps, as they are often traded together. The book will include coverage of all the latest swaps including credit, commodity and equity swaps. Exercises and simulations are also provided on an accompanying CD ROM, including Excel spreadsheets enabling the reader to simulate and build their own spreadsheet models.
Preface and Acknowledgements.


Short-term Interest Rate Swaps.

Generic Interest Rate Swaps.

The Pricing and Valuation of Non-generic Swaps.

More Complex Swaps.

Cross-currency Swaps.

Interest Rate OTC Options.

Traditional Market Risk Management.

Imperfect Risk Management.