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Description of The 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

Title Information

ISBN:

9780470821763

Pages:

4700 pages

Format:

Hardback

Product Code:

23103

Publisher:

John Wiley & Sons Ltd

Published:

07/10/2005

Edition:

3rd Edition Revised

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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.

Contents of The 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