Wiley Finance
6 total works
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
Structured Products Volume 1 consists of 4 Parts and 20 Chapters covering applications of derivatives, the creation of synthetic assets using derivatives (such as asset swaps, structured notes and repackaged assets), exotic options, non-generic derivative structures used in interest rates and currency markets (including non-generic swaps, basis (floating-to-floating) swaps, swaptions (options on interest rate swaps), callable bonds, CMT products, IAR products, interest rate and currency structured products.
The Third Edition of Credit Derivatives is a complete reference work offering comprehensive information on credit derivative products, applications, pricing/valuation approaches, documentation issues and accounting/taxation aspects of such transactions. Previous editions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format -- all chapters have been written by the author, Satyajit Das. Key areas of new and enhanced coverage include: * Inclusion of latest developments in documentation (the 2003 Credit Derivative Definitions and market developments such as Master Confirmations).* Description of developments in structured credit products, including portfolio products, up-front credit default swaps, quanto credit default swaps, credit swaptions, zero recovery credit default swaps, first-to-default swaps/ Nth to-default swaps, and many more.* Increased coverage of credit linked notes including repackaging structures.*
Detailed discussion of the collateralized debt obligations ( CDO ) market, including CDO structures, pricing and valuation, rating methodology, CDO variations, single tranche CDOs, hedging of CDO tranches, behavior of CDO tranche (equity, mezzanine, senior and super senior) investments.* Increased coverage of pricing of credit default swaps (including models and valuation approaches) and discussion of cash-synthetic basis and its causes and behavior.* Coverage of E2C (equity to credit) hedging.* Detailed examples of applications of credit derivatives by different market participants.* Discussion of trading in credit derivatives including more complex trading strategies such as basis trading and capital structure arbitrage trades.* Updated coverage of regulatory framework for credit derivatives.* Updated discussion of market structures, developments and prospects. Order your copy of this comprehensive work today.
Detailed discussion of the collateralized debt obligations ( CDO ) market, including CDO structures, pricing and valuation, rating methodology, CDO variations, single tranche CDOs, hedging of CDO tranches, behavior of CDO tranche (equity, mezzanine, senior and super senior) investments.* Increased coverage of pricing of credit default swaps (including models and valuation approaches) and discussion of cash-synthetic basis and its causes and behavior.* Coverage of E2C (equity to credit) hedging.* Detailed examples of applications of credit derivatives by different market participants.* Discussion of trading in credit derivatives including more complex trading strategies such as basis trading and capital structure arbitrage trades.* Updated coverage of regulatory framework for credit derivatives.* Updated discussion of market structures, developments and prospects. Order your copy of this comprehensive work today.
Risk Management consists of 8 Parts and 18 Chapters covering risk management, market risk methodologies (including VAR and stress testing), credit risk in derivative transactions, other derivatives trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers documentation/legal aspects of derivative transactions (including ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities dealers (including the Basel framework for capital to be held against credit and market risk).
"Structured Products, Volume 2" consists of 5 Parts and 21 Chapters covering equity derivatives (including equity swaps/options, convertible securities and equity linked notes), commodity derivatives (including energy, metal and agricultural derivatives), credit derivatives (including credit linked notes/collateralised debt obligations ("CDOs")), new derivative markets (including inflation linked derivatives and notes, insurance derivatives, weather derivatives, property, bandwidth/telephone minutes, macro-economic index and emission/environmental derivatives ) and tax based applications of derivatives. It also covers the structure and evolution of derivative markets including electronic trading markets and the origins, evolution and prospects for derivative markets. This title includes: Equity Linked Structures: Equity Derivatives - Equity Futures; Equity Options/Warrants & Equity Swaps; Convertible Securities; Structured Convertible Securities; Equity Linked Notes; Equity Derivatives - Investor Applications; Equity Capital Management - Corporate Finance Applications of Equity Derivatives.
Commodity Linked Structures: Commodity Derivatives - Commodity Futures/Options, Commodity Swaps and Commodity Linked Notes; Commodity Derivatives - Energy (Oil, Natural Gas and Electricity) Markets; Commodity Derivatives - Metal Markets; and, Commodity Derivatives - Agricultural and Other Markets. Credit Derivatives: Credit Derivative Products; Credit Linked Notes/Collateralised Debt Obligations; Credit Derivatives/Default Risk - Pricing and Modelling; and, Credit Derivatives - Applications/Markets. New Markets: Inflation Indexed Notes and Derivatives; Alternative Risk Transfer/Insurance Derivatives; Weather Derivatives; New Markets - Property; Bandwidth; Macro-Economic and Environmental Derivatives; and, Tax and Structured Derivatives Transactions. Evolution Of Derivatives Markets: Electronic Markets and Derivatives Trading; and, Financial Derivatives - Evolution and Prospects.
Commodity Linked Structures: Commodity Derivatives - Commodity Futures/Options, Commodity Swaps and Commodity Linked Notes; Commodity Derivatives - Energy (Oil, Natural Gas and Electricity) Markets; Commodity Derivatives - Metal Markets; and, Commodity Derivatives - Agricultural and Other Markets. Credit Derivatives: Credit Derivative Products; Credit Linked Notes/Collateralised Debt Obligations; Credit Derivatives/Default Risk - Pricing and Modelling; and, Credit Derivatives - Applications/Markets. New Markets: Inflation Indexed Notes and Derivatives; Alternative Risk Transfer/Insurance Derivatives; Weather Derivatives; New Markets - Property; Bandwidth; Macro-Economic and Environmental Derivatives; and, Tax and Structured Derivatives Transactions. Evolution Of Derivatives Markets: Electronic Markets and Derivatives Trading; and, Financial Derivatives - Evolution and Prospects.
Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.