Valuation of Interest Rate Swaps and Swaptions

Przednia okładka
John Wiley & Sons, 15 cze 2000 - 252
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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.
 

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Introduction
1
Calculating Swap Payments
17
Computing the Present Value of Swap Payments and
33
Traditional Approach to the Valuation of a Plain Vanilla Swap
49
Lattice Approach to Valuation
65
Swap Valuation Using the Lattice Approach
77
Valuation of Forward Start Swaps
95
Valuing a Swaption
111
Factors that Affect the Value of a Swaption
129
Valuing NonLIBOR Based Swaps and Basis Swaps
145
Controlling Interest Rate Risk with Swaps
165
Appendix A Theoretical Spot and Forward Rates
195
Appendix B Binomial Interest Rate Model
215
Valuation of Swaps Using the Trinomial Approach
219
Index 241
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Informacje o autorze (2000)

Frank J. Fabozzi, PhD, is editor of the Journal of Portfolio Management, which is read by thousands of institutional investors. An Adjunct Professor of Finance at Yale University's School of Management, he is a chartered Financial Analyst and a Certified Public Accountant. Editor or author of over 100 books, his world-class finance books are used around the world by professionals, academics, students, strategists, and investors in college courses, executive training programs, company training programs, and prepatory courses for the chartered financial analyst (CFA) exam. He serves on the board of directors of the BlackRock complex of funds and the Guardian Life family of funds and is also a Fellow of the International Center for Finance at Yale University. Dr. Fabozzi earned his doctorate in economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Humane Letters from Nova Sotheastern University.

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