Interest Rate Swaps and Other Derivatives

Howard Corb

eISBN: 978-0-231-53036-1

2012 (624 pages 50 charts, 55 graphs)

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(pages 1-622)
Complete Book Download (pages 1-622)

Download Front Matter
(pages 1-6)
Front Matter (pages 1-6)

Download Table of Contents
(pages 7-12)
Table of Contents (pages 7-12)

Download Preface
(pages 13-16)
Preface (pages 13-16)

Download Acknowledgments
(pages 17-18)
Acknowledgments (pages 17-18)

Download List of Abbreviations
(pages 19-22)
List of Abbreviations (pages 19-22)

Download 1. An Introduction to Swaps
(pages 23-61)
1. An Introduction to Swaps (pages 23-61)

Download 2. The Risk Characteristics and the Traditional Uses of Swaps
(pages 62-97)
2. The Risk Characteristics and the Traditional Uses of Swaps (pages 62-97)

Download 3. The Pricing of Swaps
(pages 98-156)
3. The Pricing of Swaps (pages 98-156)

Download 4. Caps and Floors
(pages 157-187)
4. Caps and Floors (pages 157-187)

Download 5. Swaptions
(pages 188-251)
5. Swaptions (pages 188-251)

Download 6. Swaps with Embedded Options
(pages 252-313)
6. Swaps with Embedded Options (pages 252-313)

Download 7. Structured Notes
(pages 314-374)
7. Structured Notes (pages 314-374)

Download 8. Relative Value and Macro Trades
(pages 375-435)
8. Relative Value and Macro Trades (pages 375-435)

Download 9. More Recent Product Innovations
(pages 436-484)
9. More Recent Product Innovations (pages 436-484)

Download Appendix A. Refresher in Option Pricing
(pages 485-540)
Appendix A. Refresher in Option Pricing (pages 485-540)

Download Appendix B. A Brief Review of Some Fixed Income Topics
(pages 541-544)
Appendix B. A Brief Review of Some Fixed Income Topics (pages 541-544)

Download Appendix C. A Closer Look at Day Count and Payment Conventions in Swaps
(pages 545-550)
Appendix C. A Closer Look at Day Count and Payment Conventions in Swaps (pages 545-550)

Download Appendix D. A Quick Look at Mortgages
(pages 551-558)
Appendix D. A Quick Look at Mortgages (pages 551-558)

Download Appendix E. The Normal Model
(pages 559-566)
Appendix E. The Normal Model (pages 559-566)

Download Solutions to Selected Problems
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Solutions to Selected Problems (pages 567-606)

Download Bibliography
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Bibliography (pages 607-610)

Download Index
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Index (pages 611-622)

Interest Rate Swaps and Other Derivatives

The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them.

Corb’s book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.

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