Isbn: 9798896654643 - swaption strategies: vol surfaces, sabr, and options hedging for rates desks (5 Ergebnisse)

Zustand: New.

PAP. Zustand: New. New Book. Shipped from UK. Established seller since 2000.

PAP. Zustand: New. New Book. Shipped from UK. Established seller since 2000.

Taschenbuch. Zustand: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Interest rate options sit at the intersection of market convention, quantitative modeling, and live risk management, and small misunderstandings in any one of those areas can become costly on a rates desk. This book is written for swaption traders, structured rates professionals, junior quants, and risk managers who need a practical, desk-ready guide to how swaptions are actually priced, quoted, modeled, and hedged in modern markets.The book takes the reader from the foundations of curves, swaps, forward rates, annuity, and multi-curve valuation into the full practitioner toolkit for swaptions. It covers product definitions and market quoting, Black-76 and Bachelier pricing, the normal-versus-lognormal choice, volatility smiles and surfaces, SABR dynamics and calibration, and implementation-level greeks under different conventions. It then moves beyond theory into hedge construction, delta-gamma and vega management, P&L explain, cap/floor linkages, relative-value structures, and the market consequences of the LIBOR-to-SOFR transition.What distinguishes this treatment is its focus on the workflow of a real rates volatility desk rather than on isolated formulas. The presentation is structured to help readers connect model choices to tradable risks, surface behavior, hedge slippage, and market structure. A working familiarity with fixed income and derivatives is helpful, but the progression is designed to build the necessary framework in a clear, self-contained way. …

Taschenbuch. Zustand: Neu. Swaption Strategies | Vol Surfaces, SABR, and Options Hedging for Rates Desks | Lennox R. Draper | Taschenbuch | Englisch | 2026 | NobleTrex Press | EAN 9798896654643 | Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, 36244 Bad Hersfeld, gpsr[at]libri[dot]de | Anbieter: preigu Print on Demand.…