Pricing and Hedging Interest and Credit Risk Sensitive Instruments
eBook - PDF

Pricing and Hedging Interest and Credit Risk Sensitive Instruments

  1. 288 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Pricing and Hedging Interest and Credit Risk Sensitive Instruments

About this book

This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD.* Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models* Can be used for self-study - a complete book on the topic, which includes examples with answers

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Yes, you can access Pricing and Hedging Interest and Credit Risk Sensitive Instruments by Frank Skinner in PDF and/or ePUB format, as well as other popular books in Economics & Business Strategy. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Butterworth-Heinemann
Year
2004
Print ISBN
9780750662598
eBook ISBN
9780080473956
Topic
Economics
Subtopic
Business Strategy
Index
Economics

Table of contents

  1. Front Cover
  2. Pricing and Hedging Interest and Credit Risk Sensitive Instruments
  3. Copyright Page
  4. Contents
  5. ACKNOWLEDGEMENTS
  6. CHAPTER 1. AN INTRODUCTION TO INTEREST AND CREDIT RISKY INSTRUMENTS AND THEIR MARKETS
  7. CHAPTER 2. THE SOVEREIGN TERM STRUCTURE AND THE RISK STRUCTURE OF INTEREST RATES
  8. CHAPTER 3. MEASURING THE EXISTING SOVEREIGN TERM STRUCTURE AND THE RISK STRUCTURE OF INTEREST RATES
  9. CHAPTER 4. MODELLING THE SOVEREIGN TERM STRUCTURE OF INTEREST RATES: THE BINOMIAL APPROACH
  10. CHAPTER 5. INTEREST RATE MODELLING: THE TERM STRUCTURE CONSISTENT APPROACH
  11. CHAPTER 6. INTEREST AND CREDIT RISK MODELLING
  12. CHAPTER 7. HEDGING SOVEREIGN BONDS: THE TRADITIONAL APPROACH
  13. CHAPTER 8. ACTIVE AND PASSIVE STRATEGIES
  14. CHAPTER 9. ALTERNATIVE HEDGE RATIOS
  15. CHAPTER 10. PRICING AND HEDGING NON-FIXED INCOME SECURITIES
  16. CHAPTER 11. CREDIT DERIVATIVES
  17. CHAPTER 12. EMBEDDED OPTIONS
  18. ANSWERS TO SELECTED PROBLEMS
  19. REFERENCES
  20. INDEX