A Simplified Method for pricing Interest Rate Swaps and Swaptions: Collected Swap Pricing Articles of David Smith (Paperback)

A Simplified Method for pricing Interest Rate Swaps and Swaptions: Collected Swap Pricing Articles of David Smith By David Roy Smith Cover Image
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Description


This book is a collection of three articles written by David Smith on interest rate swap and swaption pricing. It is a simplified approach that uses the bootstrap method to derive a zero coupon curve. For the swap option pricing a basic Black Commodity model is used. Useful for educational and training purposes for beginners to the field. Practical examples are provided.

About the Author


David Smith has over 25 years of experience in capital markets derivatives trading and risk management at large financial institutions like Depfa Bank, Bayern LB, Ambac inc. and New York Life. Me Smith has an MBA in Finance from New York University Stern School of Business.


Product Details
ISBN: 9781535369442
ISBN-10: 1535369442
Publisher: Createspace Independent Publishing Platform
Publication Date: August 24th, 2016
Pages: 44
Language: English