Pricing and hedging swaps
著者
書誌事項
Pricing and hedging swaps
Euromoney Books, c1991
大学図書館所蔵 件 / 全5件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Includes bibliograhical references (p. 245-246)
内容説明・目次
内容説明
Provides traders and those new to the market with a detailed course in swap theory, covering modern techniques and exploring their implications for risk management.
目次
- Definition of the swap
- development and practical uses of swaps
- instruments used in hedging swaps
- pricing interest rates and currency swaps
- constructiom of the zero coupon discount function
- valuing a swap
- derivng exposures from the pricing algorithm
- reasons for and methods of hedging the exposure
- applications of the techniques developed for swaps to caps, floors and options on swaps
- thoughts on managing a portfolio of swaps.
「Nielsen BookData」 より