Book description
"Richard Flavell has a strong theoretical perspective on swaps
with considerable practical experience in the actual trading of these
instruments. This rare combination makes this welcome updated second
edition a useful reference work for market practitioners."
-Satyajit Das, author of Swaps and Financial Derivatives Library
and Traders and Guns & Money: Knowns and Unknowns in the
Dazzling World of Derivatives
Fully revised and updated from the first edition, Swaps and Other
Derivatives, Second Edition, provides a practical explanation of
the pricing and evaluation of swaps and interest rate derivatives.
Based on the author's extensive experience in derivatives and risk
management, working as a financial engineer, consultant and trainer
for a wide range of institutions across the world this book discusses
in detail how many of the wide range of swaps and other derivatives,
such as yield curve, index amortisers, inflation-linked, cross-market,
volatility, diff and quanto diffs, are priced and hedged. It also
describes the modelling of interest rate curves, and the derivation of
implied discount factors from both interest rate swap curves, and
cross-currency adjusted curves.
There are detailed sections on the risk management of swap and option
portfolios using both traditional approaches and also Value-at-Risk.
Techniques are provided for the construction of dynamic and robust
hedges, using ideas drawn from mathematical programming.
This second edition has expanded sections on the credit derivatives
market - its mechanics, how credit default swaps may be priced and
hedged, and how default probabilities may be derived from a market
strip. It also prices complex swaps with embedded options, such as
range accruals, Bermudan swaptions and target accrual redemption
notes, by constructing detailed numerical models such as interest rate
trees and LIBOR-based simulation. There is also increased discussion
around the modelling of volatility smiles and surfaces.
The book is accompanied by a CD-ROM where all the models are
replicated, enabling readers to implement the models in practice with
the minimum of effort.
Richard Flavell has spent over twenty years
working as a financial engineer, consultant and trainer, specialising
in complex derivatives and risk management. He spent seven years as
Director of Financial Engineering at Lombard Risk, where he was
responsible for the mathematical development and implementation of
models in its varied pricing and risk systems. He is currently
Chairman of Lucidate, a company which specialises in the provision of
consultancy and training to financial institutions.
