Valuation of Interest Rate Swaps and Swaptions
by Gerald W. Buetow, Frank J. Fabozzi
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Book Summary Information
Author: Frank J. Fabozzi, Gerald W. BuetowEdition: Hardcover
Audio: English (Original Language); English (Unknown); English (Published)
Published: 2000-06
ISBN: 1883249899
Number of pages: 248
Publisher: Wiley
Book Reviews of Valuation of Interest Rate Swaps and Swaptions
Book Review: Very clear and detailed explanations
Summary: 4 Stars
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.
Summary of Valuation of Interest Rate Swaps and Swaptions
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.General Books
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