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Pricing and Trading Interest Rate Derivatives - Swaps Guide

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£69.99 £66.49 £67.89 £69.29 £70.69 £72.09 £73.49 09 July 2026 21 July 2026 02 August 2026 14 August 2026 26 August 2026

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Description

Master the complexities of linear interest rate derivatives with this professional guide. Written by a practicing derivatives portfolio manager with nearly twenty years of fixed income trading experience, this text provides industry-relatable insights into core trading concepts. The content focuses on interest rate swaps and cross-currency swaps, providing practical knowledge for modern markets. This guide is updated for the current risk free rate (RFR) framework, covering essential standards like SOFR and ESTR instead of LIBOR. Readers will gain a deep understanding of curve building for single and multi-currency environments, risk management, credit and CSAs, and regulatory requirements. It also addresses technical topics such as VaR, PCA, volatility, cross-gamma, and trade strategy analysis to help navigate market moving influences.

Key Features

Covers core trading concepts including pricing, curve building, and risk management for interest rate derivatives.

Focuses on interest rate swaps and cross-currency swaps to provide practical industry knowledge.

Updated for the modern risk free rate (RFR) framework using SOFR and ESTR instead of LIBOR.

Provides detailed analysis of technical topics like VaR, PCA, volatility, and cross-gamma.

Written by a professional portfolio manager with almost twenty years of fixed income trading experience.

Explains complex market elements including credit, CSAs, regulations, and trade strategy analysis.

Product Specifications

Format
hardcover
Domain
Amazon UK
Release Date
07 August 2022
Listed Since
08 August 2022

Barcode

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