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Valuation of Interest Rate Swaps and Swaptions

Valuation of Interest Rate Swaps and Swaptions

Hardcover

Series: Frank J. Fabozzi, Book 80

Investing & Finance

Publisher Price: $95.00

ISBN10: 1883249899
ISBN13: 9781883249892
Publisher: John Wiley & Sons
Published: Jun 1 2000
Pages: 252
Weight: 1.17
Height: 0.63 Width: 6.14 Depth: 9.21
Language: English
Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.

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Investing & Finance