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- Product code: 23103
- ISBN: 0470821760,
ISBN13: 9780470821763,
4700 pages, Box set
Published by John Wiley & Sons on 2005
, 3rd Revised edition Rate this book...
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Description of Swaps and Financial Derivatives Library |
"The Das Swaps & Financial Derivatives Library - Third Edition Revised" is the successor to "Swaps & Financial Derivatives", which was first published in 1989 (as Swap Financing). A second edition was published in 1994 (as "Swaps & Financial Derivatives - Second Edition" (in most of the world)) and "Swaps & Derivative Financing - Second Edition" (in the USA). The changes in the market since the publication of the second edition have necessitated this third edition."The Das Swaps & Financial Derivatives Library - Third Edition Revised" is a four-volume set that incorporates extensive new material in all sections to update existing areas of coverage. In addition, several new chapters covering areas of market development have been included. This has resulted in a significant expansion in the size of the text. The four volumes in this set are: Derivative Products & Pricing Risk Management Structured Products Volume 1: Exotic Options, Interest Rates & Currency Structured Products Volume 2: Equity, Commodity, Credit & New Markets.
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Contents of Swaps and Financial Derivatives Library |
Introduction
Volume 1
ROLE AND FUNCTION OF DERIVATIVES
1. Financial Derivatives Building Blocks - Forward & Option Contracts
DERIVATIVE INSTRUMENTS
2. Exchange-Traded Products - Futures & Options On Futures Contracts
3. Over-The-Counter Products - FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options
PRICING & VALUING DERIVATIVE INSTRUMENTS
4. Derivatives Pricing Framework
5. Interest Rates & Yield Curves
6. Pricing Forward & Futures Contracts
7. Option Pricing
8. Interest Rate Options Pricing
9. Estimating Volatility & Correlation
10. Pricing Interest Rate & Currency Swaps
11. Swap Spreads
DERIVATIVE TRADING & PORTFOLIO MANAGEMENT
12. Derivatives Trading & Portfolio Management
13. Hedging Interest Rate Risk - Individual Instruments
14. Hedging Interest Rate Risk - Portfolios
15. Measuring Option Price Sensitivities - The Greek Alphabet of Risk
16. Delta Hedging/Management of Option Portfolios
Volume 2
RISK MANAGEMENT PRINCIPLES
17. Framework For Risk Management
MARKET RISK
18. Market Risk Measurement
19. Stress Testing
20. Portfolio Valuation/Mark-To-Market
CREDIT RISK
21. Derivative Credit Risk: Measurement
22. Derivative Credit Exposure: Management & Credit Enhancement
23. Derivative Product Companies
OTHER RISKS
24. Liquidity Risk
25. Model Risk
26. Operational Risk
ORGANISATION OF RISK MANAGEMENT
27. Risk Management Function
28. Risk Adjusted Performance Management
OPERATIONAL ASPECTS.
29. Operational, Systems & Technology Issues
30. Legal Issues and Documentation
31. Accounting for Swaps and Financial Derivatives
32. Taxation Aspects of Swaps and financial Derivatives
REGULATORY ASPECTS OF DERIVATIVES
33. Credit Risk: Regulatory Framework
Appendix: Basle II
34. Market Risk: Regulatory Framework
Appendix: Basle 1996
Volume 3
DERIVATIVE APPLICATIONS
35. Applications of Derivative Products
36. Applications of Futures, Swaps & Options
37. New Issues Arbitrage
SYNTHETIC ASSETS
38. Synthetic Assets - Asset Swaps, Structured Notes, Repackaging and Structured Investment Vehicles
EXOTIC OPTIONS
39. Exotic Options
40. Packaged Forwards & Options
41. Path Dependent Exotic Options
42. Time Dependent Exotic Options
43. Limit Dependent Exotic Options
44. Pay-off Modified Exotic Options
45. Multifactor Exotic Options
46. Volatility Products
INTEREST RATE & FX STRUCTURES
47. Non Generic Swaps
48. Basis Swaps
49. Option On Swaps/Swaptions
50. Callable Bonds
51. Constant Maturity Products
52. Index Amortising Products
53. Interest Rate Linked Notes
54. Currency Linked Notes.
Volume 4.
EQUITY LINKED STRUCTURES
55. Equity Derivatives - Equity Index Futures; Equity Options/Warrants; Equity Swaps
56. Convertible Securities
57. Structured Convertible Securities
58. Equity Linked Notes
59. Equity Derivatives - Investor Applications
60. Equity Capital Management - Corporate Financial Applications of Equity Derivatives
COMMODITY LINKED STRUCTURES
61. Commodity Derivatives - Commodity Futures & Options/Commodity Swaps/Commodity Linked Notes
62. Commodity Derivatives - Energy (Oil, Natural Gas and Electricity) Markets
63. Commodity Derivatives - Metal Markets
64. Commodity Derivatives - Agricultural and Other Markets
CREDIT DERVIATIVES
65. Credit Derivative Products
66. Credit Linked Notes/Collateralised Debt Obligations
67. Credit Derivatives/Default Risk - Pricing and Modelling
68. Credit Derivatives - Applications/Markets
NEW MARKETS
69. Inflation Indexed Notes and Derivatives
70. Alternative Risk Transfer/Insurance Derivatives
71. Weather Derivatives
72. New Markets - Property; Bandwidth; Macro-Economic & Environmental Derivatives
73. Tax and Structured Derivatives Transaction
EVOLUTION OF DERIVATIVES MARKETS
74. Electronic Markets and Derivatives Trading
75. Financial Derivativers - Evolution and Prospects
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About Satyajit Das |
Satyajit Das is an international specialist in the area of financial derivatives and risk management and capital markets. He presents seminars on financial derivatives/risk management and capital markets in Europe, North America, Asia and Australia.
He acts as a consultant to financial institutions and corporations on derivatives and financial products, risk management, and capital markets issues.Between 1988 and 1994, Das was the Treasurer of the TNT Group, an Australian based international transport and logistics company with responsibility for the Global Treasury function, including liquidity management, corporate finance, funding/capital markets and financial risk management.
Between 1977 and 1987, he worked in banking with the Commonwealth Bank of Australia, Citicorp Investment Bank and Merrill Lynch Capital Markets, specialising in fund raising in domestic and international capital markets and risk management/derivative products. In 1987, Das was a Visiting Fellow at the Centre for Studies in Money, Banking and Finance, Macquarie University.Das holds Bachelors' degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters degree in Business Administration from the Australian Graduate School of Management.
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