Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability)

Book Description

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.

The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.

Customer Reviews:

Excellent introductory book to financial math.......2006-11-03

This book takes you through the math of finance step-by-step, passing through very simple examples first and then slowly adding complexity to the models studied. It is written very clearly and the prerequisites to reading this book are only some basic notions of probabilities (sigma-fields, probability measures).

Sometimes, the problem with math books is that they are "dry" and contain only a succession of theorems and proofs. In this one, the authors make a point of explaining in detail how different theorems and models relate to each other, and make extensive comparisons between them so that you get a better feel for how they work in practice.

The book is primarily a math book and can be light on market specifics. Do not buy this book as a practical "howto" in derivatives trading.

At the Forefront of Modern Mathematical Finance.......2005-05-23

This advanced text provides an excellent account of the current state-of-the art of options pricing/hedging models and interest rate term structure models. The book is accessible to both advanced practitioners of mathematical finance as well as to pure researchers in the field.

The book is in written in a mathematical style and contains rigorous proofs of many results. However, the main focus of the text is to describe the frontier of knowledge in the subject. Each section contains copious references to the literature and is so current that several references are to working papers. Many sections detail open problems and other areas suitable for scholarly research.

In their second edition, the authors provide an extremely useful critique of each modeling paradigm that they investigate. They also provide evidence for their position in the form of literature references which instruct the reader as to the shortcomings/limitations of a particular model. This information should prove quite valuable to model practitioners and implementers.

The authors assume an advanced background from the field of stochastic analysis, although they do provide an appendix which summarizes key results needed from the field. For the stochastic calculus prerequisites, I recommend Rogers & Williams "Diffusions, Markov Processes and Martingales" volumes I and II. Suitable prerequisites are also covered by Karatzas and Shreve in "Brownian Motion and Stochastic Calculus" 2nd edition. A good foundation in arbitrage pricing theory is also needed. I recommend the nice treatment by Bjork in "Arbitrage Theory in Continuous Time" 2nd edition.

The book is divided into two parts. The first part deals with options pricing in equity markets. Chapter 1 sets premlinaries required for the arbitrage theoretic framework, while Chapter 2 has a very nice treatment of discrete time models and finite financial markets.

In Chapter 3, the authors develop the Black-Scholes model along with the Bachelier model using arbitrage techniques. The models are compared and used as benchmark continuous time models and form the basis for all subsequent analysis.

Chapter 4 provides a nice survey of techniques used to price/hedge options in foreign equity and currency markets. The authors assume familarity of the basic workings of foriegn markets.

Chapter 5 is a terrific chapter on valuing American-style options. The American call option is thoroughly studied and approximation techniques for the American put option are introduced. The explicit derivations of the formulas are referenced to the literature.

Chapter 6 provides an introduction to exotic options, although the authors vary their use of the term 'exotic' to meaning 'not a standard European-style or American-style' in this chapter to meaning 'no readily available liquid market' in Chapter 7. The descriptions are quite accessible and the basic properties of the options are described along with pricing formulas (assuming the Black-Scholes framework).

Chapter 7 provides as complete an accounting as I have ever seen of the generalizations of the Black-Scholes model and motivates this from the point of view of volatility surfaces. Many of the well-known models are studied in detail, such as CEV, local volatility, and mixture models. The strengths and weaknesses of each model are analyzed. The stochastic volatility models of Wiggins (via Orenstien-Uhlenbeck processes), Hull-White, and Heston are studied, as is the SABR model. The chapter wraps up with a study of the SIV models, describes how the stochastic volatility models can be obtained via limits of GARCH models and surveys Jump-diffusion processes and Levy processes.

The second part of the book is concerned with term structure models and interest rate derivatives. The authors are quite well-know for their many contributions to this study and their treatment is authoritative.

Martingales & Finance.......2003-04-12

I have used this book for two courses in my MSc degree in Financial Maths...well this book is hard to understand at first glance, but, once you are introduced with a good course on stochastic analysis and applied probability, this is an illuminating book...I particularly enjoyed the part on foreing equity derivatives and exotic derivatives.....Harmed with patience this is definitely the book by which you can effectively gain a sound a knowledge on modern mathematical finance theory....reading in conjunction with Bingham-Kiesel book, could help understanding the foundation of the subject.

yes, but ..........2000-03-17

I've been using this book on and off over the last year. At first I was very impressed with the level of detail in the mathematics, especially as it was the only book at the time focussing on risk-neutral methods and covering BGM. But I've become increasing disillusioned with it of late. It's difficult to explain, but although the whole book is written in traditional theorem-proof style, there are no real proofs! (I have a PhD in math and have done research for 10 years so I should know a little about proofs.) The only "proofs" provided are basically symbol shifting, but the heart of the math is strangely absent. This is especially strange given the Springer series in which it appears.

In short, if you want a catalogue of methods this book does the job, but if you want a deeper understanding try Lars Nielsens book.

excellent book for post-John-Hull readers.......1999-08-17

This book covers essentially everything needed for a serious financial math study. It captures the spirit of modern financial math. For people with math, physics or engineering background, when you feel comfortable woth John Hull's books, then this book is right one, and a must one.

Structured Products Volume 1: Exotic Options; Interest Rates & Currency (The Swaps & Financial Derivatives Library) (Wiley Finance)

Average customer rating:

Structured Products Volume 1: Exotic Options; Interest Rates & Currency (The Swaps & Financial Derivatives Library) (Wiley Finance)
Satyajit Das
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books

Options | Investing | Business & Investing | Subjects | Books

Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes
Structured Products
Credit Derivatives: CDOs and Structured Credit Products (Wiley Finance)
The Volatility Surface: A Practitioner's Guide (Wiley Finance)
Traders, Guns & Money: Knowns and unknowns in the dazzling world of derivatives

ASIN: 0470821663

Book Description

Structured Products Volume 1 consists of 4 Parts and 20 Chapters covering applications of derivatives, the creation of synthetic assets using derivatives (such as asset swaps, structured notes and repackaged assets), exotic options, non-generic derivative structures used in interest rates and currency markets (including non-generic swaps, basis (floating-to-floating) swaps, swaptions (options on interest rate swaps), callable bonds, CMT products, IAR products, interest rate and currency structured products.

Average customer rating:

Me thinks some reviewers protest too much
Outdated and Shallow

Understanding Interest Rate Swaps
Mary S. Ludwig
Manufacturer: McGraw-Hill
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

Public Finance | Economics | Business & Investing | Subjects | Books

Interest | Finance | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Bonds | Investing | Business & Investing | Subjects | Books

Futures | Investing | Business & Investing | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

Valuation of Interest Rate Swaps and Swaptions
Understanding Swaps (Wiley Finance)
Interest Rate and Currency Swaps: A Tutorial (Research Foundation of AIMR and Blackwell Series in Finance)
Swaps and Other Derivatives (With CD-ROM) (The Wiley Finance Series)
Analysing and Interpreting the Yield Curve (Wiley Finance)

ASIN: 0070390207

Book Description

Interest rate swaps--used globally by both corporate finance departments and investment firms to control interest payments, manage debt, and enhance investment portfolios--constitute a growing 1.9 trillion market. Now, financial personnel, swap traders, corporate treasurers, and professional cash managers can turn to this clear, authoritative guide to master all the methodologies used in the international swap market. Written for anyone whose work is touched by swap market activity, the guide uses diagramming techniques to first explain what swaps are, and how and why they are traded. It then addresses more sophisticated financial transactions, such as rate setting, analysis of swap desks, market-to-market, speculating, and financial statements. Readers will find detailed coverage of more than two dozen derivative products, including spreadlocks, swaptions, caps, and flows, and learn how swap trading works in foreign currencies and interest rates. Critical light is also shed on questions regulators are currently raising about the security and future of the swaps markets.

Customer Reviews:

Me thinks some reviewers protest too much.......2004-07-11

This book has been damned for being too simplistic, therefore consign it to the trash cart, or so we are expected to do. But given the relative novelty of these financial products simplicity in the best sense of word could be seen as a virtue in any work dealing with this topic. So, why the evident annoyance from some. Could it be that this work dissolves some of the mystery involved, and threatens some closed shop in these markets ?

Outdated and Shallow.......1999-09-02

The book easily shows its age in its focus on standards and issues which have long ago fallen by the wayside in this dynamic market. Far worse is that the book is preciously short on quantitative and analytic methods, and long on third-grade-teacher types of admonishments. I read the whole book becasue I paid for it, there are better, more up-to-date volumes out there. Could possibly be re-named "Swaps for English Majors", although, English majors as a group might correctly be upset at this association.

Valuation of Interest Rate Swaps and Swaptions

Average customer rating:

Very clear and detailed explanations
excellent book , very clear.
Is this book a joke?
Educational use only
Not worth spending money

Valuation of Interest Rate Swaps and Swaptions
Gerald W. Buetow , and Frank J. Fabozzi
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

Interest | Finance | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books

General | Business & Finance | New & Used Textbooks | Stores | Books

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Business & Investing | Amazon Upgrade | Stores | Books

Professional & Technical | Amazon Upgrade | Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Look Inside Business Books | Trip | Specialty Stores | Books
Similar Items:

Understanding Interest Rate Swaps
Swaps and Other Derivatives (With CD-ROM) (The Wiley Finance Series)
Interest Rate, Term Structure, and Valuation Modeling
The Eurodollar Futures and Options Handbook (Irwin Library of Investment & Finance.)
Options, Futures and Other Derivatives (6th Edition)

ASIN: 1883249899

Book Description

Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.

Customer Reviews:

Very clear and detailed explanations.......2006-06-03

I dont work for a trading desk, but work for IT that supports the trading desk and needed to understand the workings of swap pricing etc. This book gives a very clear explanation of how to price a swap at inception and through the life of the swap agreement. It ties all together volatility, swap curve/term structure of interest rates etc. If you were looking for a more detailed explanation and are actually going to be trading swaps then this is probably not the book.

excellent book , very clear........2006-03-30

I trade derivatives, and this book was amazing to get me started in the valuation of IRS and swaptions. It provides very clear steps used to value an IRS from a sting of libor futures. It describes the swaption valuation with an introduction to binomial trees in a very simmple manner. Everything is explained very clearly and takes you through the math step by step. I own more than 10 books that describe the valuation of an IRS and by far this is the best.

Is this book a joke?.......2005-03-15

A book written on "valuation of swaps and swaptions" is obviously not for the lay man. I was extremely disappointed to go through this book, which seems to be fit for 5th graders. It's a shame that a supposed leading thinker like Fabozzi can write such a shallow, meaningless book. Mr. Fabozzi, please name one practitioner who cares to use this good-for-nothing book of yours. Perhaps a better title for the book would have been, "Swaps and swaptions for dummies".

Educational use only.......2004-06-05

The book is terrific for a classroom setting. It is far easier to understand the interactions between valuation inputs (term structure, volatility, level of rates, etc) than any other book in the market. The use of the lattice approach is great - and very original. Most students find the lattice approach more easy to understand and therefore more able to better understand these instruments. The book is not designed for a swap dealer by any stretch of the imagination. I have used it in a training program several times with great effect.

Not worth spending money.......2004-02-04

Like all other Fabozzi books this one also just scratches the surface of the topic (swap and swaptions) with text book style examples which are not seen in real world. He starts with an example where both the fixed and floating leg of a swap is semiannual and actual/360 which is not the case of US Swaps and nowhere through out the book he discusses how to deal with different day counts (30/360 & actual/360) in the fixed and floating legs as well as different payment styles (semianually for fixed and quarterly for floating). Anyone who is trying to build a swap valuation tool will realize the importance of the above meniotned topics which is not covered in this book. Even a slight change in numbers can change the P&L by several hundred thousand dollars as the notional are generally upwards of 100 million. This book may be good for an undergrad student who is taking the first course in finance and trying to understand what a swap is. But even then it will facilitate only an abstract theoretical knowledge which he/she will never be able to relate to in real world swaps. Avoid this book, it's a waste of your hard earned money.

Fixed Income and Interest Rate Derivative Analysis

Average customer rating:

Good book for intermediate level

Fixed Income and Interest Rate Derivative Analysis
Mark Britten-Jones
Manufacturer: Butterworth-Heinemann
ProductGroup: Book
Binding: Hardcover

Econometrics | Economics | Business & Investing | Subjects | Books

General | Popular Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Look Inside Business Books | Trip | Specialty Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books
ASIN: 075064012X

Book Description

Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts.

* A comprehensive and accessible explanation of underlying theory, and its practical application * Case studies and worked examples from around the world's capital markets * How to use spreadsheet modelling in fixed income and interest rate derivative analysis

Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding.

Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance.

A comprehensive and accessible explanation of underlying theory, and its practical application.
Case studies and worked examples from around the world's capital markets.
How to use spreadsheet modelling in fixed income and interest rate derivative valuation.

Customer Reviews:

Good book for intermediate level.......2000-02-04

The book, though terse and short, is brilliant for a quick tour through the fixed income aspects of bonds, swaps and derivative instruments.

I would have liked more detail on FRNs and Swaps with some practical examples of real FRNs with Interest swaps. An area which many books fail to address. Also the book should have put more emphasis on the mark-to-market of these instruments.

Book Description

Arditti describes and explains four major classes of derivative instruments: options, futures, interest rate swaps, and mortgage derivatives. He discusses each market's structure and the applications and pricing of each instrument, focusing on the valuation methods that are most commonly used by professional market participants. Each segment begins with a description of the institutional arrangements that have come to characterize the markets in which the instruments trade. Arditti examines basic derivatives in each class with respect to their risk transference properties, risk management applications, and pricing. He then traces the evolution of these markets in terms of new instruments introduced, the factors inspiring their development, and the alterations in pricing technology required by more complex derivatives. Arditti includes numerical examples to clarify the procedures. The Financial Management Association Survey and Synthesis Series.

Customer Reviews:

Very good Book for a practitioner.......2005-12-09

I found the book very useful in practice. It gave you a lot of details.

Very poorly written.......2004-02-13

I found Arditti's writing to be simply attrocious. What the marketplace needs is a clear, concise guide to instrument structure and valuation, and Mr. Arditti writes in circles. As an example, his chapter on option pricing refers to "using the methods used previously in this chapter" without referring to how to apply these to the method just introduced. The method just introduced was explained using numbers that were presumably fabricated, but lord only knows, because the author can't be bothered to specify how his example was structured.

In trying to explain things simply, the author fails to explain anything clearly. "Derivatives" is an extreme disappointment. As a reference, this book may have some use, but if you're looking to learn something from it, stear clear.

He knows how to design derivatives and make them work.......2003-07-28

I am completely satisfied with this book. He knows how to design derivatives and make them work. This book does a remarkable job of explaining the theory and practice of derivative securities.

EXCELLENT AND IN PATCHES OUTSTANDING.......2000-08-09

This book is an excellent resource for beginning and intermediate level fund managers who want to understand the derivatives to be able to use them in risk hedging and income maximization.

The book is excellently organized in four sections and each section is self sufficient. Each of the sections begin with basics, illustrates the concepts with example, introduces the mathematics of pricing and methodology of hedginag of risks

Every section has also a nice subsection on terminology and definitions.

The book is an excellent attempt to explain a highly technical and complex subject.The section on Interest Rate swaps is outstanding. A must read for all corporate money managers and a must addition to all financial libraries.

Interest Rate and Currency Swaps: A Tutorial (Research Foundation of AIMR and Blackwell Series in Finance)
Average customer rating:
Interest Rate and Currency Swaps: A Tutorial (Research Foundation of AIMR and Blackwell Series in Finance)
Keith C. Brown , and Donald J. Smith
Manufacturer: Blackwell Publishing Limited
ProductGroup: Book
Binding: Paperback

General | Popular Economics | Business & Investing | Subjects | Books
International | Economics | Business & Investing | Subjects | Books
Money & Monetary Policy | Economics | Business & Investing | Subjects | Books
Interest | Finance | Business & Investing | Subjects | Books
General | Business & Investing | Subjects | Books
Interest | Finance | International | Accounting & Finance | Professional & Technical | Subjects | Books
General | Finance | Accounting & Finance | Professional & Technical | Subjects | Books
All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books
Professional | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

Swaps and Other Derivatives (With CD-ROM) (The Wiley Finance Series) Swaps and Other Derivatives (With CD-ROM) (The Wiley Finance Series)

Understanding Interest Rate Swaps

Valuation of Interest Rate Swaps and Swaptions

Understanding Swaps (Wiley Finance)

Derivatives Demystified: A Step-by-Step Guide to Forwards, Futures, Swaps and Options (The Wiley Finance Series)

ASIN: 0943205328
Release Date: 2005-08-31

What Determines U.S. Swap Spreads? (World Bank Working Papers)
Average customer rating:
What Determines U.S. Swap Spreads? (World Bank Working Papers)
Adam Kobor , Lishan Shi , and Ivan Zelenko
Manufacturer: World Bank Publications
ProductGroup: Book
Binding: Paperback

General | Popular Economics | Business & Investing | Subjects | Books
General | Business & Investing | Subjects | Books
Futures | Investing | Business & Investing | Subjects | Books
General | Small Business & Entrepreneurship | Business & Investing | Subjects | Books
General | Industries & Professions | Business & Investing | Subjects | Books
Similar Items:

Understanding Interest Rate Swaps

Understanding Swaps (Wiley Finance)

The Treasury Bond Basis (Mcgraw-Hill Library of Investment and Finance)

ASIN: 0821363387
Release Date: 2005-07-15

Product Description

This title examines the evolution of the U.S. interest swap market. It reviews the theory and past empirical studies on U.S. swap spreads and estimates an error correction model for maturities of 2-, 5- and 10-year over the period 1994¡V2004. Financial theory depicts swaps as contracts indexed on LIBOR rates, rendered almost free of counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the LIBOR credit quality (credit component) and a liquidity convenience premium present in Treasury rates (liquidity component). Multifactor models which were estimated on observed swap rates highlighted the central role played by the liquidity component in explaining swap spread dynamics over the past fifteen years. They also found, however, some puzzling empirical results. Statistical models, on the other hand, mainly based on market analysis, faced technical difficulties, arising from the presence of regime changes, the non-stationarity in swap! spreads, and the co-existence of long-term and shorter-term determinants. Against this background, the authors applied the error correction methodology based on the concept of cointegration. They find that U.S. dollar swap spreads and the supply of U.S. Treasury bonds are cointegrated, suggesting that the Treasury supply is a key determinant on a long-term horizon. They then estimate an error correction model which integrates this long-term relationship with the influence of four shorter-term determinants: the AA spread, the repo rate, the difference between on-the-run and off-the-run yields, and the duration of mortgage backed securities. The error correction model fits observed swap spreads quite well over the sample period. The authors then illustrate how the same model can be used to carry out scenario analysis.

Download Description

"This title examines the evolution of the U.S. interest swap market. It reviews the theory and past empirical studies on U.S. swap spreads and estimates an error correction model for maturities of 2-, 5- and 10-year over the period 1994-2004. Financial theory depicts swaps as contracts indexed on LIBOR rates, rendered almost free of counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the LIBOR credit quality (credit component) and a liquidity convenience premium present in Treasury rates (liquidity component). Multifactor models which were estimated on observed swap rates highlighted the central role played by the liquidity component in explaining swap spread dynamics over the past fifteen years. They also found, however, some puzzling empirical results. Statistical models, on the other hand, mainly based on market analysis, faced technical difficulties, arising from the presence of regime changes, the non-stationarity in swap spreads, and the co-existence of long-term and shorter-term determinants. Against this background, the authors applied the error correction methodology based on the concept of cointegration. They find that U.S. dollar swap spreads and the supply of U.S. Treasury bonds are cointegrated, suggesting that the Treasury supply is a key determinant on a long-term horizon. They then estimate an error correction model which integrates this long-term relationship with the influence of four shorter-term determinants: the AA spread, the repo rate, the difference between on-the-run and off-the-run yields, and the duration of mortgage backed securities. The error correction model fits observed swap spreads quite well over the sample period. The authors then illustrate how the same model can be used to carry out scenario analysis."

Average customer rating:

Interest Rate Swaps
Carl R. Beidleman
Manufacturer: McGraw-Hill
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

International | Economics | Business & Investing | Subjects | Books

Public Finance | Economics | Business & Investing | Subjects | Books

Foreign Exchange | Finance | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Futures | Investing | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books

Book Description

This broad overview of swaps brings you the experience of prominent international authorities who explain how to effectively manage interest rate risk.

Interest Rate Modeling and the Risk Premiums in Interest Rate Swaps (The Research Foundation of AIMR and Blackwell Series in Finance)

Average customer rating:

Interest Rate Modeling and the Risk Premiums in Interest Rate Swaps (The Research Foundation of AIMR and Blackwell Series in Finance)
Robert Brooks
Manufacturer: Research Foundation of AIMR & Blackwell Publishers
ProductGroup: Book
Binding: Paperback

General | Popular Economics | Business & Investing | Subjects | Books

Public Finance | Economics | Business & Investing | Subjects | Books

Corporate Finance | Finance | Business & Investing | Subjects | Books

Interest | Finance | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Book Description

This monograph addresses the return side of the decision to use interest rate swaps or other interest-rate-contingent claims. Because the economic costs of decisions related to a company's policies toward debt maturities are important to stock price performance, the analysis in this monograph has practical implications for investment analysts. Brooks demonstrates how an at-the-market swap with a risk premium can have a significant impact on the expected return from using the swap.

Books:

Books Index

Books Home

Recommended Books