| 000 | 03275nam a2200313Ia 4500 | ||
|---|---|---|---|
| 001 | 1092 | ||
| 008 | 230305s2001 xx 000 0 und d | ||
| 020 | _a9781883249892 | ||
| 040 | _cTBS | ||
| 041 | _aeng | ||
| 245 | 0 | _aValuation of interest rate swaps and swaptions | |
| 260 |
_bFrank J. Fabozzi Associates, _c2001 |
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| 300 | _a242 p. ; 24 cm | ||
| 505 |
_aAbout the Authors. _rIntroduction.-- _rCalculating Swap Payments.-- _rComputing the Present Value of Swap Payments and Determining the Swap Fixed Rate.-- _rTraditional Approach to the Valuation of a Plain Vanilla Swap.-- _rLattice Approach to Valuation.-- _rSwap Valuation Using the Lattice Approach.-- _rValuation of Forward Start Swaps.-- _rValuing a Swaption.-- _rFactos that Affect the Value of a Swaption.-- _rValuing Non-LIBOR Based Swaps and Basis Swaps.-- _rControlling Interest Rate Risk with Swaps.-- _rAppendix A: Theoretical Spot and Forward Rates.-- _rAppendix B: Binomial Interest Rate Model.-- _rAppendix C: Valuation of Swaps Using the Trinomial Approach.-- _rIndex.-- |
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| 520 | _aAmong the major innovations in the financial markets have been interest rate swaps and swaptions, instruments which entail having the 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 Swaptions 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. ; ; 'Frank Fabozzi's series is the gold standard for investment reference books. Always topical and often influential this is the first place I send students or practitioners when they want to get up to speed on a new area.' (Stephen A. Ross, Franco ModiglianiProfessor of Finance and Economics, Sloan School, MIT) ; ; 'The Fabozzi series provides the ultimate educational encyclopedia for the global debt capital markets. Each day, billions of dollars of debt securities trade around the world according to the principles clearly and comprehensively explained in this unrivaled series dedicated to the advancement of our knowledge-based profession.' (Jack Malvey, Managing Director, ChiefGlobal Fixed-Income Strategist, Lehman Brothers) ; ; 'When in doubt, you can always look it up in a book by FrankFabozzi. Fabozzi, who are not called the Prolific Professor for nothing, has written or edited dozens of textbooks on investing--all rock-solid, for advanced investors only.' (Jason Zweig, Money.com) | ||
| 590 | _bIncludes index | ||
| 650 |
_aMercantile speculation _96246 |
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| 650 |
_a Options (Finance) _96247 |
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| 650 |
_a Interest rate futures _96248 |
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| 650 |
_a Swaps (Finance) _96249 |
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| 650 | 0 |
_aFinance _93911 |
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| 700 |
_aBuetow, Gerald W. _eAuthor |
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| 700 |
_aFabozzi, Frank J. _eAuthor |
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| 856 | _uhttp://books.google.es/books?id=KZ0BbLmKnMIC&printsec=frontcover&dq=valuation+of+interest+rate+swaps&hl=ca&sa=X&ei=Y_i0UKrqMJCEhQef74GYBg&ved=0CDUQ6AEwAA | ||
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| 905 | _am | ||
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_c1097 _d1097 |
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