Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps
| Author | : | |
| Rating | : | 4.61 (748 Votes) |
| Asin | : | 099545552X |
| Format Type | : | paperback |
| Number of Pages | : | 412 Pages |
| Publish Date | : | 2016-06-15 |
| Language | : | English |
DESCRIPTION:
Later he travelled to Stockholm to spend more time with his Swedish family. J H M Darbyshire first studied mathematics at the University of Nottingham, becoming valedictorian of his graduating class. He went on to join the fixed income trading team at Barclays Capital in London, quickly establishing his position as a sterling bond and IRD trader. He has since returned to portfolio management in Scandinavia at Nordea Markets specialising in euro IRDs as part of a linear and non-linear pro
Topics are presented from that perspective, outlining the importance of regulations in an IRD capacity, with volatility and swaptions taught from a practical point of view rather than an overly cumbersome academic one.The treatment of risk is expansive and thorough. The most professional and industry relatable text currently available for linear interest rate derivatives. This revised edition markedly expands the first edition released in 2016, with revised content based on multiple recommendations from active portfolio managers.Learn more at TradingInterestRatesWritten by a practicing derivatives portfolio manager with over twelve years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multi-currency), risk, credit and CSAs, regulations, VaR and PCA, volatility, cross-gamma, trade strategy analysis and market moving influences.The book’s focus is interest rate swaps and cross-currency swaps. The author formally analyses modern market-maker techniques to a
A must read for pricing of interest rate swaps Amazon Customer For everybody interested in learning more about the world of interest rate swaps, I believe this book does the job in an excellent manner. Not only does the book provides the reader with a general overview of market concepts and conventions, it also serves as a guideline in terms of more conceptual thinking and application to any market participant.I encourage anybody with an interest for swap pricing, regardless of job title, to read this book as it provides valueable knowledge to a specific, but liquid financial product.. Amazon Customer said Full of very relevant, modern instruction.. This book covers so much ground. He did write in the intro that the pace wouldn't stall, but I'm surprised how much he manages to get through, particularly on IR swaps, which I thought were fairly simple products (and I bought this primarily for the XCCY swaps and CSA curve info)The best thing were the examples which illuminated the concepts coming at you quite quickly.. A T Malsagov said A gem among the fixed income and risk management literature. The book covers the full spectrum of linear interest-rate derivatives and succeeds to admiration and then some. Treatment of each topic is compact yet very elucidating, with many numerical examples to boot. All presented from the vantage-point of a down-to-earth trader. The discussion is not hampered by excessive exposition of mathematical rigour and where possible qualitative explanations are provided, which helps the reader to develop a mindset within which the maths and models can really start working for you, instead of just being tools for computation. The appendix further expands upon the mathematics an
He went on to join the fixed income trading team at Barclays Capital in London, quickly establishing his position as a sterling bond and IRD trader. This period gave him the opportunity to complete his MSc in mathematics and to author his first publication "Pricing and Trading Interest Rate Derivatives". This gave him unique exposure to the financial instruments upon which his books are focused. Later he travelled to Stockholm to spend more time with his Swedish family. . He has since returned to portfolio management in Scandinavia at Nordea Markets specialising in euro IRDs as part of a linear and non-linear product team. Within Barclays he expanded his role to become discretionary manager of a G7 bond, TRS and IRD portfolio. There he honed his skills and was instrumental in shaping Barclays curve and risk model design, as well as successfully trading outright and basis mar