- Taschenbuch: 412 Seiten
- Verlag: Aitch & Dee Limited; Auflage: 2 (17. Mai 2017)
- Sprache: Englisch
- ISBN-10: 099545552X
- ISBN-13: 978-0995455528
- Größe und/oder Gewicht: 17 x 2,4 x 24,4 cm
- Durchschnittliche Kundenbewertung: 1 Kundenrezension
- Amazon Bestseller-Rang: Nr. 108.734 in Fremdsprachige Bücher (Siehe Top 100 in Fremdsprachige Bücher)
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Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps (Englisch) Taschenbuch – 17. Mai 2017
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Über den Autor und weitere Mitwirkende
J H M Darbyshire first studied mathematics at the University of Nottingham, becoming valedictorian of his graduating class. He went on to join the fixed income trading team at Barclays Capital in London, quickly establishing his position as a sterling bond and IRD trader. There he honed his skills and was instrumental in shaping Barclays curve and risk model design, as well as successfully trading outright and basis markets throughout the years of the financial crisis and central bank quantitative easing. Within Barclays he expanded his role to become discretionary manager of a G7 bond, TRS and IRD portfolio. This gave him unique exposure to the financial instruments upon which his books are focused. Later he travelled to Stockholm to spend more time with his Swedish family. This period gave him the opportunity to complete his MSc in mathematics and to author his first publication "Pricing and Trading Interest Rate Derivatives". He has since returned to portfolio management in Scandinavia at Nordea Markets specialising in euro IRDs as part of a linear and non-linear product team.
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Die hilfreichsten Kundenrezensionen auf Amazon.com
I've spent the last 10 years building Trad-X and I've struggled to find a modern trading oriented text that can bootstrap a quant or developer into the rates world with minimal reference chasing and still be something that I can agree with. Even for seasoned professionals, there is a very nice transitioning between the topics that gives the reader the breadth that is often lacking due to silos in the field.
In terms of readability, it's very good, you can read cover-to-cover and enjoy a progression beginning from the very basics of it all.
I'm looking forward to a 3rd edition that covers the emerging trends in OIS (SOFR, et. al.), some more technical matter on AAD, trends in interpolation techniques and hopefully a section on the peculiarities of emerging market swaps.
Overall, this is currently *the* go to book. Once you've finished it, you'll have the solid base required to refine your knowledge through research publications.
I encourage anybody with an interest for swap pricing, regardless of job title, to read this book as it provides valueable knowledge to a specific, but liquid financial product.
My focus when reading the book was on XCSs and the multi-currency curve model with CSAs. But I will definitely revisit all the other fascinating topics covered by the book such as the use of VAR, PCA, reset risks and delta/gamma risks in the fixed-income realm.