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- W620525251 abstract "Preface. Rates Market. Background. Book Structure. Acknowledgments. About the Author . List of Symbols and Abbreviations. PART ONE Cash, Repo, and Swap Markets. CHAPTER 1 Bonds: It's All About Discounting. Time Value of Money: Future Value, Present Value. Price-Yield Formula. PV01, PVBP, Convexity. Repo, Reverse Repo. Forward Price/Yield, Carry, Roll-Down. CHAPTER 2 Swaps: It's Still About Discounting. Discount Factor Curve, Zero Curve. Forward Rate Curve. Par-Swap Curve. Construction of the Swap/Libor Curve. CHAPTER 3 Interest Rate Swaps in Practice. Market Instruments. Swap Trading-Rates or Spreads. Swap Spreads. Risk, PV01, Gamma Ladder. Calendar Rules, Date Minutiae. CHAPTER 4 Separating Forward Curve from Discount Curve. Forward Curves for Assets. Implied Forward Rates. Float/Float Swaps. Libor/Libor Basis Swaps. Overnight Indexed Swaps (OIS). PART TWO Interest-Rate Flow Options. CHAPTER 5 Derivatives Pricing: Risk-Neutral Valuation. European-Style Contingent Claims. One-Step Binomial Model. From One Time-Step to Two. From Two Time-Steps to ... Relative Prices. Risk-Neutral Valuation: All Relative Prices Must be Martingales. Interest-Rate Options Are Inherently Difficult to Value. From Binomial Model to Equivalent Martingale Measures. CHAPTER 6 Black's World. A Little Bit of Randomness. Modeling Asset Changes. Black-Scholes-Merton/Black Formulae. Greeks. Digitals. Call Is All You Need. Calendar/Business Days, Event Vols. CHAPTER 7 European-Style Interest-Rate Derivatives. Market Practice. Interest-Rate Option Trades. Caplets/Floorlets: Options on Forward Rates. European-Style Swaptions. Skews, Smiles. CMS Products. Bond Options. PART THREE Interest-Rate Exotics. CHAPTER 8 Short-Rate Models. A Quick Tour. Dynamics to Implementation. Lattice/Tree Implementation. BDT Lattice Model. Hull-White, Black-Karasinski Models. Simulation Implementation. CHAPTER 9 Bermudan-Style Options. Bellman's Equation-Backward Induction. Bermudan Swaptions. Bermudan Cancelable Swaps, Callable/Puttable Bonds. Bermudan-Style Options in Simulation Implementation. CHAPTER 10 Full Term-Structure Interest-Rate Models. Shifting Focus from Short Rate to Full Curve: Ho-Lee Model. Heath-Jarrow-Morton (HJM) Full Term-Structure Framework. Discrete-Time, Discrete-Tenor HJM Framework. Forward-Forward Volatility. Multifactor Models. HJM Framework Typically Leads to Nonrecombining Trees. CHAPTER 11 Forward-Measure Lens. Numeraires Are Arbitrary. Forward Measures. BGM/Jamshidian Results. Different Measures for Different Rates. Classic or New Improved: Pick Your Poison!. CHAPTER 12 In Search of The Model. Migration to Full-Term Structure Models. Implementation Era. Model versus Market: Liquidity and Concentration Risk. Complexity Risk. Remaining Challenges. APPENDIX A Taylor Series Expansion. Function of One Variable. Function of Several Variables. Ito's Lemma: Taylor Series for Diffusions. APPENDIX B Mean-Reverting Processes. Normal Dynamics. Log-Normal Dynamics. APPENDIX C Girsanov's Theorem and Change of Numeraire. Continuous-Time, Instantaneous-Forwards HJM Framework. BGM Result. Notes. Index." @default.
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- W620525251 date "2009-08-07" @default.
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- W620525251 title "Interest rate swaps and their derivatives : a practitioner's guide" @default.
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