P R EFAC E
couple of exotic product innovations that have emerged over the last several
years.
Each chapter is broken down into sections exploring various topics of study.
Examples are provided throughout the text, the end of each is indicated by
the symbol ✷. A problem set is found at the end of each chapter, and solu-
tions to selected problems are provided in a separate section located toward
the end of the book. Five appendixes are also provided. Appendix A provides
a refresher in option pricing for readers who might do well with reacquainting
themselves with concepts of basic option pricing theory. This is also the only
appendix that includes a problem set (see the Solutions to Selected Problems
section as well). Appendix B provides a very brief review of some basic topics
germane to the analysis of fixed income securities. Appendix C delves into
some particulars of day count and payment conventions used in the swaps
market. Appendix D provides a brief review of mortgages and mortgage-
backed securities, a market that has traditionally had a very close link with
the swaps market. Finally, Appendix E provides a derivation of the normal
model for the pricing of options and explores the relationship between the
normal model and Black’s model. At the beginning of the book a list of ab-
breviations contains some (but not all) terms used throughout the text.
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