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Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps
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Barnes and Noble
Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps
Current price: $79.99
Barnes and Noble
Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps
Current price: $79.99
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The most professional and industry relatable text currently available for linear interest rate derivatives.
Written by a practicing derivatives portfolio manager with over fifteen 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, updated for a risk free rate (RFR, such as SOFR and ESTR) framework as opposed to LIBOR. 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 author formally analyses modern market-maker techniques to accurately predict PnL, and successfully implement multiple, consistent perspectives to view all details of risks.
Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. Certainly this book sets the benchmark for the level of expertise that swaps traders should strive for, and the style is aimed at the novice and professional alike.