Swaps and Financial Derivatives
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Swaps and Financial Derivatives: Products, Pricing, Applications and Risk Management

Swaps and Financial Derivatives: Products, Pricing, Applications and Risk Management


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About the Book

Swaps/ Financial Derivatives - Third Edition is a unique, authoritative and comprehensive reference work for practitioners on derivatives. It brings together all aspects of derivative instruments within a cohesive and integrated framework covering: * Derivative instruments including exchange-traded markets and over-the-counter markets * Pricing, valuation and trading/hedging of derivatives. * Management of market, credit and other risk associated with derivatives trading. * Documentation, accounting, taxation and regulatory aspects of derivatives. * Applications of derivatives. * Derivative structures including synthetic asset structures using derivatives, exotic options, interest rate/ currency, equity, commodity (energy, metals and agricultural), credit and new derivative markets (insurance, weather, inflation/ macro-economic indicators, property and emissions) Key Features of Swaps/ Financial Derivatives include: * Unparalleled up-to-date coverage of derivative markets in all asset classes. * Written by experienced practitioner. * Practical approach using actual transactions that are analysed to illustrate the structure, application, pricing, hedging and risk management of individual instruments. * Four volumes; 4,500 pages; * Hundreds of Exhibits and diagrams * Detailed Index and extensive references

Table of Contents:
Introduction; Volume 1; ROLE AND FUNCTION OF DERIVATIVES; 1. Financial Derivatives Building Blocks - Forward & Option Contracts; DERIVATIVE INSTRUMENTS; 2. Exchange-Traded Products - Futures & Options On Futures Contracts; 3. Over-The-Counter Products - FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options; PRICING & VALUING DERIVATIVE INSTRUMENTS; 4. Derivatives Pricing Framework; 5. Interest Rates & Yield Curves; 6. Pricing Forward & Futures Contracts; 7. Option Pricing; 8. Interest Rate Options Pricing; 9. Estimating Volatility & Correlation; 10. Pricing Interest Rate & Currency Swaps; 11. Swap Spreads; DERIVATIVE TRADING & PORTFOLIO MANAGEMENT; 12. Derivatives Trading & Portfolio Management; 13. Hedging Interest Rate Risk - Individual Instruments; 14. Hedging Interest Rate Risk - Portfolios; 15. Measuring Option Price Sensitivities - The Greek Alphabet of Risk; 16. Delta Hedging/Management of Option Portfolios; Volume 2; RISK MANAGEMENT PRINCIPLES; 17. Framework For Risk Management; MARKET RISK; 18. Market Risk Measurement; 19. Stress Testing; 20. Portfolio Valuation/Mark-To-Market; CREDIT RISK; 21. Derivative Credit Risk: Measurement; 22. Derivative Credit Exposure: Management & Credit Enhancement; 23. Derivative Product Companies; OTHER RISKS; 24. Liquidity Risk; 25. Model Risk; 26. Operational Risk; ORGANISATION OF RISK MANAGEMENT; 27. Risk Management Function; 28. Risk Adjusted Performance Management; OPERATIONAL ASPECTS; 29. Operational, Systems & Technology Issues; 30. Legal Issues and Documentation; 31. Accounting for Swaps and Financial Derivatives; 32. Taxation Aspects of Swaps and nFinancial Derivatives; REGULATORY ASPECTS OF DERIVATIVES; 33. Credit Risk: Regulatory Framework; Appendix: Basle II; 34. Market Risk: Regulatory Framework; Appendix: Basle 1996; Volume 3; DERIVATIVE APPLICATIONS; 35. Applications of Derivative Products; 36. Applications of Futures, Swaps & Options; 37. New Issues Arbitrage; SYNTHETIC ASSETS; 38. Synthetic Assest - Asset Swaps, Structured Notes, Repackaging and Structured Investment Vehicles; EXOTIC OPTIONS; 39. Exotic Options; 40. Packaged Forwards & Options; 41. Path Dependent Exotic Options; 42. Time Dependent Exotic Options; 43. Limit Dependent Exotic Options; 44. Pay-off Modified Exotic Options; 45. MultiFactor Exotic Options; 46. Volatility Products; INTEREST RATE & FX STRUCTURES; 47. Non Generic Swaps; 48. Basis Swaps; 49. Option On Swaps/Swaptions; 50. Callable Bonds; 51. Constant Maturity Products; 52. Index Amortising Products; 53. Interest Rate Linked Notes; 54. Currency Linked Notes; Volume 4; EQUITY LINKED STRUCTURES; 55. Equity Derivatives - Equity Index Futures; Equity Options/Warrants; Equity Swaps; 56. Convertible Securities; 57. Structured Convertible Securities; 58. Equity Linked Notes; 59. Equity Derivatives - Investor Applications; 60. Equity Capital Management - Corporate Financial Applications of Equity Derivatives; COMMODITY LINKED STRUCTURES; 61. Commodity Derivatives - Commodity Futures & Options/Commodity Swaps/Commodity Linked Notes; 62. Commodity Derivatives - Energy (Oil, Natural Gas and Electricity) Markets; 63. Commodity Derivatives - Metal Markets; 64. Commodity Derivatives - Agricultural and Other Markets; CREDIT DERVIATIVES; 65. Credit Derivative Products; 66. Credit Linked Notes/Collateralised Debt Obligations; 67. Credit Derivatives/Default Risk - Pricing and Modelling; 68. Credit Derivatives - Applications/Markets; NEW MARKETS; 69. Inflation Indexed Notes and Derivatives; 70. Alternative Risk Transfer/Insurance Derivatives; 71. Weather Derivatives; 72. New Markets - Property; Bandwidth; Macro-Economic & Environmental Derivatives; 73. Tax and Structured Derivatives Transaction; EVOLUTION OF DERIVATIVES MARKETS; 74. Electronic Markets and Derivatives Trading; 75. Financial Derivativers - Evolution and Prospects.

About the Author :
Satyajit Das is an international specialist in the area of financial derivatives and risk management and capital markets. He presents seminars on financial derivatives/ risk management and capital markets in Europe, North America, Asia and Australia. He acts as a consultant to financial institutions and corporations on derivatives and financial products, risk management, and capital markets issues.Between 1988 and 1994, Das was the Treasurer of the TNT Group, an Australian based international transport and logistics company with responsibility for the Global Treasury function, including liquidity management, corporate finance, funding/ capital markets and financial risk management. Between 1977 and 1987, he worked in banking with the Commonwealth Bank of Australia, Citicorp Investment Bank and Merrill Lynch Capital Markets, specialising in fund raising in domestic and international capital markets and risk management/ derivative products. In 1987, Das was a Visiting Fellow at the Centre for Studies in Money, Banking and Finance, Macquarie University.Das holds Bachelors' degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters degree in Business Administration from the Australian Graduate School of Management.


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Product Details
  • ISBN-13: 9780470821091
  • Publisher: John Wiley & Sons (Asia) Pte Ltd
  • Publisher Imprint: John Wiley & Sons (Asia) Pte Ltd
  • Edition: Revised edition
  • Language: English
  • Sub Title: Products, Pricing, Applications and Risk Management
  • Width: 290 mm
  • ISBN-10: 0470821094
  • Publisher Date: 16 Jan 2004
  • Binding: Hardback
  • Height: 310 mm
  • Returnable: N
  • Weight: 6715 gr


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