Written in a straightforward, clearly structured manor with extensive use of worked examples, this easy to use book gives you an explanation of both basic and advanced principles for the valuation of interest rate derivatives and their hedging applications. Interest Rate Derivatives describes: • Pricing methods, • Application, structuring and valuation of: o Interest rate and Cross currency Swap and o Interest Options • Methods of managing interest rate exposure and • Trading and hedging strategies and their application in portfolio management. Basic interest rate mathematics are explored and built upon to delve into a more complex development of interest rate derivatives in general. This work is accompanied by a CD and gives you a unique stand-alone product which serves as a major reference guide on interest rate derivatives. The book itself is developed around a user-friendly excel based pricing system helping you to better understand the content by applying the theory to real life pricing. This allows you to use the book as an initial reference or learning tool to see how the maths work and leaves you with a practical calculation tool. We recommend this book for all financial and corporate treasury staff, MBA students, graduates and anyone looking for a mathematical guide to the practical pricing and modelling of interest rate derivatives.
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Editorial Reviews
About the Author
Todd James has over 12 years of experience in derivatives and debt capital markets including trading, marketing and structuring derivative transactions. He holds a BBA in business and economics from WLU, Waterloo, Canada and an MBA in finance from the University of Toronto. Having worked in Toronto and London, Todd is currently based in Hong Kong where he structures and develops structured products. He has also been providing regular workshops and seminars for corporate and financial institutions on derivatives, risk management and structured products. His past experience covers debt capital markets, interest rates, cross currency swaps trading and structuring, and structured products marketing and structuring.
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1.0 out of 5 stars
Bogus book,
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This review is from: Interest Rate Derivatives: A Practical Guide to Applications, Pricing and Modelling (Hardcover)
Its very very costly book. I purchased this book to understand the interest rate derivatives but only thing this book is good at is giving a breif description of construction of zero rates, which is available free on net. The main allure of this book is CD-ROM having excel models but the models do not work on Excel 2007 and above version (for previoius version I have no idea but one of my friends who used it in Excel 2003 reported some critial errors which render those models useless at best and egregious at worst, though it runs in Excel 2003 ). If you try to contact the authour there is no response as he is selling the model for a price through his website . In essence this book has nothing to offer what is very easily available on net for free (just look at the table of contents and search on net- the first entries itself will be suffice). So buy the book if you think you have money in your pocket to burn and you are dead averse to googling things
2.0 out of 5 stars
A good primer but VBA models broken,
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This review is from: Interest Rate Derivatives: A Practical Guide to Applications, Pricing and Modelling (Hardcover)
A good primer. Good, high-level discussion and introduction to interest rate derivatives. Thought the VBA models are broken and password protected, so impossible to troubleshoot and fix the models. The models definitely do not work with MS-Excel 2007 as MS-Excel 2007 has same-named functions as user-defined by the author. I had mixed success using MS-Excel 2003. Don't buy this for the VBA models. Though as a basic reference book, it is good, but would be made more complete with working models as without the models, the book is a bit thin.
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Inside This Book
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Key Phrases - Statistically Improbable Phrases (SIPs):
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principal upfront, daycount basis, swap spread risk, par swap rates, value asset swap, interest calculation period, floating rate spread, fair value fixed rate, fixed swap rate, hedging item, accrual swap, floating rate exposure, treasury lock, bps increase, floating margin, forward starting swap, hedge bond, roll convention, forward swap rate, floating rate coupon, underlying hedged item, qualified hedge, basis swap, implied repo rate, coupon flows Key Phrases - Capitalized Phrases (CAPs): (learn more)
Floating Cpn Freq, First Cpn Rate, Float Leg, First Coupon Normal, Fixed Cpn Freq, New York, Notional Maturity Coupon, Period Days, Break Even Rate, Coupon Principal, Source Hull, Sum Coupons, Term Coupon, Total Estimated New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
principal upfront, daycount basis, swap spread risk, par swap rates, value asset swap, interest calculation period, floating rate spread, fair value fixed rate, fixed swap rate, hedging item, accrual swap, floating rate exposure, treasury lock, bps increase, floating margin, forward starting swap, hedge bond, roll convention, forward swap rate, floating rate coupon, underlying hedged item, qualified hedge, basis swap, implied repo rate, coupon flows Key Phrases - Capitalized Phrases (CAPs): (learn more)
Floating Cpn Freq, First Cpn Rate, Float Leg, First Coupon Normal, Fixed Cpn Freq, New York, Notional Maturity Coupon, Period Days, Break Even Rate, Coupon Principal, Source Hull, Sum Coupons, Term Coupon, Total Estimated New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 6
books:
See all 6 books this book cites
- Financial Reporting: Study System by T. Dupeyron in Back Matter
- Pricing and Hedging Swaps by Paul Miron in Back Matter
- The Handbook of Fixed Income Securities by Frank J. Fabozzi in Back Matter
- The Complete Guide to Option Pricing Formulas by Espen Gaardner Haug in Back Matter
- Options, Futures and Other Derivatives (6th Edition) by John C. Hull in Back Matter
See all 6 books this book cites
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