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Interest Rate Swaps and Other Derivatives
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(c) 2025 Columbia University Press. All Rights reserved.
Page
Front Matter
Page 7
Table of Contents
Page 13
Preface
Page 17
Acknowledgments
Page 19
List of Abbreviations
Page 23
1. An Introduction to Swaps
Page 62
2. The Risk Characteristics and the Traditional Uses of Swaps
Page 98
3. The Pricing of Swaps
Page 157
4. Caps and Floors
Page 188
5. Swaptions
Page 252
6. Swaps with Embedded Options
Page 314
7. Structured Notes
Page 375
8. Relative Value and Macro Trades
Page 436
9. More Recent Product Innovations
Page 485
Appendix A. Refresher in Option Pricing
Page 541
Appendix B. A Brief Review of Some Fixed Income Topics
Page 545
Appendix C. A Closer Look at Day Count and Payment Conventions in Swaps
Page 551
Appendix D. A Quick Look at Mortgages
Page 559
Appendix E. The Normal Model
Page 567
Solutions to Selected Problems
Page 607
Bibliography
Page 611
Index
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Front Matter (6)
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Table of Contents (6)
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Preface (4)
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Acknowledgments (2)
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List of Abbreviations (4)
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1. An Introduction to Swaps (39)
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2. The Risk Characteristics and the Traditional Uses of Swaps (36)
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3. The Pricing of Swaps (59)
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4. Caps and Floors (31)
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5. Swaptions (64)
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6. Swaps with Embedded Options (62)
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7. Structured Notes (61)
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8. Relative Value and Macro Trades (61)
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9. More Recent Product Innovations (49)
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Appendix A. Refresher in Option Pricing (56)
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Appendix B. A Brief Review of Some Fixed Income Topics (4)
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Appendix C. A Closer Look at Day Count and Payment Conventions in Swaps (6)
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Appendix D. A Quick Look at Mortgages (8)
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Appendix E. The Normal Model (8)
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Solutions to Selected Problems (40)
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Bibliography (4)
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Index (12)
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Interest Rate Swaps and Other Derivatives
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(c) 2025 Columbia University Press. All Rights reserved.
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Interest Rate Swaps and Other Derivatives
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(c) 2025 Columbia University Press. All Rights reserved.
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