Customer Reviews

Interest Rate Swaps and Their Derivatives: A Practitioner's Guide (Wiley Finance)

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1 star:		(1)

 

 

The book fills a great niche in between very simple overviews and the very mathematical oriented work. If you need to know things like day counts for different indices, CMS convexity adjustments and a general overview over the different measures used to price derivatives, the different interest rate models etc. this is the book to own.

There are loads of books on the theory behind derivatives pricing - this book is unique in that it identifies and clearly explains the important practical aspects of these markets, including the jargon and conventions. Even after 20 years in the industry, this book completed many gaps in my knowledge base. It fills an important gap between the Handbook of Fixed Income Securities and Options, Futures and Other Derivatives.

Comparing with other books on swap subject, this book offer a good balance between clearness of the concepts and just enough technical details to handle the real world problem. Reading this books is like attending a seminar taught by senior quantitative trader, it really filled the gaps in my knowledge.

This is finally a good, clear, concise and accurate book.
It is very hard to find a book on interest rates derivatives and this is finally the one. It is very up-to-date and contains a lot of information and improvements that were the results of the recent financial crisis.

"Interest Rate Swaps and Their Derivatives" is a book written by a veteran Wall Street practitioner and an experienced New York University teacher. It offers a practical introduction on how interest-rate based instruments are valued.
I have taken Dr. Sadr class at NYU and this was the course textbook. I can say that this book offers a hands-on approach on how to value IR products. It builds on risk-neutral principles and martingale methodology to lead the student through calibration of interest rate models, including computation of Arrow-Debreu state prices, as well as valuation of a large variety of IR instruments. Flow options that are priced include caps and floors, swaptions, and CMS (constant maturity swap) products. Interest-rate exotics are covered and include for instances Bermudan-style options like cancelable swaps. Each chapter is filled with examples.

This is a book for traders and quant apprentices alike. If you live near New York City, taking the NYU class, 8 weekly evening sessions, will take you a long way in covering the book. That is the way I digested the book. I should add that the reader would certainly benefit from having the examples and Excel workbooks available through a web site.

There are few books about financial derivatives that walk that very fine line between technicalities and basic understanding. This book is one of them. Mathematics is used as a very insightful tool to help understand the inner workings of interest rate derivatives. I would definitely recommend this book if you are looking for a text that treats these derivatives in an easy to grasp technical manner, without being trivial.

This is a very helpful book. It goes into considerable depths and actually explains the working of interest rate swaps and options markets in a clear and methodical manner. There are few books that cover the actual workings of these products on a trading floor, and this book covers both the actual practice and the theory behind it, without an overburden of heavy mathematics. The balance of detail and rigor is outstanding. There are a few minor typos that are well documented. This is a must read for any one wanting to get an understanding of the swaps markets, and I would test my potential hires on this material.

My only complaint is that it wasn't written ten years earlier. Where was this book when I was first learning swaps? Sadr's experience not only in academia, but also on a trading desk, provides an invaluable perspective missing from other books on the subject. Equal parts training manual and desk reference, this book is a must read whether you are an analyst just entering the business, or an experienced practitioner.

Dr. Sadr distills the complexity of fixed income mathematics to several essential concepts which he conveys clearly and concisely in a conversational tone. While other authors provide similar levels of quantitative detail (Hull, Shreve) few provide the insightful contextualization of the mathematics or the depth of implementation details (day counts, payment frequency, settlement days etc) that Dr. Sadr does. As a practitioner of quantitative finance I have on several occasions pulled out Dr. Sadr's book to inform and improve my models.

The book is excellent with good balance of math and conceptual common sense. The book shows me the framework for instrument pricing via replication. With it, I can theoretically price any derivatives in the world which is quite powerful idea. A great book for people who want to learn pricing wide ranges of derivative products.