A Simplified Method for pricing Interest Rate Swaps and Swaptions: Collected Swap Pricing Articles of David Smith - Softcover

Smith, Mr. David Roy

 
9781535369442: A Simplified Method for pricing Interest Rate Swaps and Swaptions: Collected Swap Pricing Articles of David Smith
Softcover
ISBN 10: 1535369442 ISBN 13: 9781535369442
Publisher: CreateSpace Independent Publishing Platform, 2016

Synopsis

This book is a collection of three articles written by David Smith on interest rate swap and swaption pricing. It is a simplified approach that uses the bootstrap method to derive a zero coupon curve. For the swap option pricing a basic Black Commodity model is used. Useful for educational and training purposes for beginners to the field. Practical examples are provided

"synopsis" may belong to another edition of this title.

About the Author

David Smith has over 25 years of experience in capital markets derivatives trading and risk management at large financial institutions like Depfa Bank, Bayern LB, Ambac inc. and New York Life. Me Smith has an MBA in Finance from New York University Stern School of Business.

"About this title" may belong to another edition of this title.

Publisher
CreateSpace Independent Publishing Platform
Publication date
2016
Language
English
ISBN 10 
1535369442
ISBN 13 
9781535369442
Binding
Paperback
Number of pages
42