interest rate derivative

Financial Modelling in Python

by Shayne Fletcher and Christopher Gardner  · 3 Aug 2009  · 246pp  · 16,997 words

. John Wiley & Sons, Ltd, 1999. [12] Jaan Kiusalaas. Numerical Methods in Engineering with Python. Cambridge University Press, 2005. [13] Peter Kohl-Landgraf. PDE Valuation of Interest Rate Derivatives. From Theory to Implementation. Books on Demand GmbH, 2008. [14] Hans Peter Langtangen. Python Scripting for Computational Science (Third Edition). Springer, Berlin, Heidelberg, 2008. [15

Getting a Job in Hedge Funds: An Inside Look at How Funds Hire

by Adam Zoia and Aaron Finkel  · 8 Feb 2008  · 192pp  · 75,440 words

an investment bank, we recommend doing what you can to learn more about the products you are working with. For example, if you focus on interest rate derivatives, in addition to being able to explain the operations side of those products, you should understand how they work. If you can do that you

Fool's Gold: How the Bold Dream of a Small Tribe at J.P. Morgan Was Corrupted by Wall Street Greed and Unleashed a Catastrophe

by Gillian Tett  · 11 May 2009  · 311pp  · 99,699 words

for Pittsburgh-based bank PNC. Demchak already knew that group well, since PNC was his hometown bank, and he had helped to restructure some troubled interest-rate derivatives deals that PNC had made in the early 1990s. A flurry of other American regional banks and European banks expressed interest. The European banks were

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credit was supposed to be J.P. Morgan’s strength. By late 2004, the bank could still claim a leading position in the trading of interest-rate derivatives, foreign exchange, and corporate loans, and a respectable operation in the arena of corporate bonds, too. But the situation in securitization—or the selling of

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an anonymous basis). The 2005 scorecard made dismal reading for JPMorgan Chase. The bank was performing well in some areas, such as foreign exchange or interest-rate derivatives. However, in securitization, the bank’s underperformance was getting worse. Equities and commodities were weak, too. As a result, the total revenue gap between JPMorgan

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its core when LTCM imploded. LTCM had been leveraged no less than 100 times and had used that money to place massive bets in the interest-rate derivatives world, which later turned sour. After that event, banks and regulators had scrutinized the funds, spurred on by the lessons outlined in Corrigan’s report

The Alpha Masters: Unlocking the Genius of the World's Top Hedge Funds

by Maneet Ahuja, Myron Scholes and Mohamed El-Erian  · 29 May 2012  · 302pp  · 86,614 words

people understood the mechanics of how to price a credit default swap,” says Weinstein. A CDS is the most common credit derivative. “Foreign exchange derivatives, interest rate derivatives, equity derivatives—those instruments had been around for 25 years before J. P. Morgan and Deutsche began figuring out how to structure and trade credit

The City

by Tony Norfield  · 352pp  · 98,561 words

8.1UK current account balance and net components, 1987–2014 8.2External positions of banks, end-2014 8.3Foreign exchange turnover, 1995–2013 8.4OTC interest rate derivatives turnover, April 2013 8.5UK financial account net annual flows, 1987–2014 8.6Net external position of UK MFIs by location, 2000–14 Charts 5

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an integral part of capitalism. For example, while financial operations include trading in company shares on the stock market, or in foreign exchange rates or interest rate derivatives, these things do not occur in a vacuum, or simply on a financier’s whim. They are rooted in capitalist production and commerce. This book

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into its key role in today’s global financial business. Table 8.4 shows London’s even stronger dominance in the ‘over-the-counter’ (OTC) interest rate derivatives market – where trading is done directly between banks and their customers, not on a financial exchange. This global business, of which London has nearly half

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small fraction of that in the OTC market. UK and US financial centres together account for 70 per cent of the world market in OTC interest rate derivatives, illustrating once more the extreme concentration of global trading. The US and the UK are also the leading issuers of international debt securities – to which

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a lot of this derivatives trading is linked – giving them easy access to investment funds from across the world. Table 8.4 OTC interest rate derivatives turnover, April 2013 ($ billion)* FRAs Swaps Options Other Total % World Total UK 472.7 795.8 76.5 2.7 1347.7 48.9% US

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’ for money-market interest rates. Components may not add up exactly to totals due to rounding. Source: Bank for International Settlements, Triennial Central Bank Survey: Interest Rate Derivatives Market Turnover in 2013, December 2013, and author’s calculations There are other dimensions of global financial dealing in addition to those already noted, including

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to UK Call for Central Register’, Financial Times, 27 March 2015. 9These offshore centres are discussed below. 10BoE, ‘The Foreign Exchange and Over-the-Counter Interest Rate Derivatives Market in the United Kingdom’, Bank of England Quarterly Bulletin, Q4, 2013, pp. 394–404 (Table A, p. 397). 11The standard divisions in the balance

Adaptive Markets: Financial Evolution at the Speed of Thought

by Andrew W. Lo  · 3 Apr 2017  · 733pp  · 179,391 words

sounded (remember, this was back in 1999, before biometrics were cool), the bank agreed to give us access to ten of their foreign-currency and interest-rate derivatives traders who volunteered to be our guinea pigs. To make our measurements, we used portable biofeedback equipment that measured changes in skin conductance, blood pressure

The Greed Merchants: How the Investment Banks Exploited the System

by Philip Augar  · 20 Apr 2005  · 290pp  · 83,248 words

contracts presently outstanding contains hidden losses that will in due course come to haunt their owners. The enormous size of the market – $201 trillion in interest rate derivatives, $12 trillion in credit derivatives and $5 trillion in equity derivatives, according to a recent survey by the International Swaps and Derivatives Association35 – illustrates both

Dark Towers: Deutsche Bank, Donald Trump, and an Epic Trail of Destruction

by David Enrich  · 18 Feb 2020  · 399pp  · 114,787 words

borrow money from other banks. Their estimates were averaged together, and the result was Libor. Libor served as the basis for trillions of dollars of interest-rate derivatives, which were the primary instruments that Bittar was using to make his market bets. Bittar had realized it was surprisingly easy to manipulate Libor. Since

Value of Everything: An Antidote to Chaos The

by Mariana Mazzucato  · 25 Apr 2018  · 457pp  · 125,329 words

. Barba and de Vivo, ‘An “unproductive labour” view of finance' p. 1491. 27. A. Hutton and E. Kent, The Foreign Exchange and Over-the-counter Interest Rate Derivatives Market in the United Kingdom (London: Bank of England, 2016), p. 225. 28. Bank for International Settlements, Basel III phase-in arrangements: http://www.bis

Frequently Asked Questions in Quantitative Finance

by Paul Wilmott  · 3 Jan 2007  · 345pp  · 86,394 words

had not been developed. This was addressed by Vasicek. He started by modelling a short-term interest rate as a random walk and concluded that interest rate derivatives could be valued using equations similar to the Black-Scholes partial differential equation. Figure 1-2: Simulations like this can be easily used to value

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you looked. See Harrison and Kreps (1979) and Harrison and Pliska (1981). 1986 Ho and Lee One of the problems with the Vasicek framework for interest rate derivative products was that it didn’t give very good prices for bonds, the simplest of fixed income products. If the model couldn’t even get

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. • Options on many stocks: Price a multi-asset contract by simulating correlated random walks. You’ll see how time taken varies with number of dimensions. • Interest rate derivatives, spot rate model: This is not that much harder than equities. Just remember to present value along each realized path of rates before taking the

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, T & Lee, S 1986 Term structure movements and pricing interest rate contingent claims. Journal of Finance 42 1129-1142 Hull, JC & White, A 1990 Pricing interest rate derivative securities. Review of Financial Studies 3 573-592 Rebonato, R 1996 Interest-rate Option Models. John Wiley & Sons Vasicek, OA 1977 An equilibrium characterization of

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, T & Lee, S 1986 Term structure movements and pricing interest rate contingent claims. Journal of Finance 42 1129-1142 Hull, JC & White, A 1990 Pricing interest rate derivative securities. Review of Financial Studies 3 573-592 Vasicek, OA 1977 An equilibrium characterization of the term structure. Journal of Financial Economics 5 177-188

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underpinning Black-Scholes and it won’t fall over. Example Transaction costs? Simply adjust volatility. Time-dependent volatility? Use root-mean-square-average volatility instead. Interest rate derivatives? Black ’76 explains how to use the Black-Scholes formulæ in situations where it wasn’t originally intended. Long Answer Here are some assumptions that

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of volatility parameter is small then closed-form asymptotic solutions can be found. Since the model requires small volatility of volatility it is best for interest rate derivatives. Fast drift and high volatility in stochastic volatility models: These are a bit more complicated, singular perturbation problems. Now the parameter is large, representing both

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, JC & White, A 1987 The pricing of options on assets with stochastic volatilities. Journal of Finance 42 281-300 Hull, JC & White, A 1990 Pricing interest rate derivative securities. Review of Financial Studies 3 573-592 Lewis, A 2000 Option valuation under Stochastic Volatility. Finance Press Merton, RC 1973 Theory of rational option

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The Devil's Derivatives: The Untold Story of the Slick Traders and Hapless Regulators Who Almost Blew Up Wall Street . . . And Are Ready to Do It Again

by Nicholas Dunbar  · 11 Jul 2011  · 350pp  · 103,270 words

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by Simon Johnson and James Kwak  · 29 Mar 2010  · 430pp  · 109,064 words

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by Robert P. Baker  · 4 Oct 2015

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by Richard R. Lindsey and Barry Schachter  · 30 Jun 2007

Why Aren't They Shouting?: A Banker’s Tale of Change, Computers and Perpetual Crisis

by Kevin Rodgers  · 13 Jul 2016  · 318pp  · 99,524 words

The Concepts and Practice of Mathematical Finance

by Mark S. Joshi  · 24 Dec 2003

My Life as a Quant: Reflections on Physics and Finance

by Emanuel Derman  · 1 Jan 2004  · 313pp  · 101,403 words

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by Christian Fries  · 9 Sep 2007

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by Kariappa Bheemaiah  · 26 Feb 2017  · 492pp  · 118,882 words

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by James Rickards  · 10 Nov 2011  · 381pp  · 101,559 words

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by Marek Capinski and Tomasz Zastawniak  · 6 Jul 2003

The Spider Network: The Wild Story of a Math Genius, a Gang of Backstabbing Bankers, and One of the Greatest Scams in Financial History

by David Enrich  · 21 Mar 2017  · 513pp  · 141,153 words

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by Philip Augar  · 4 Jul 2018  · 457pp  · 143,967 words

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by Alexis Stenfors  · 14 May 2017  · 312pp  · 93,836 words

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by Anastasia Nesvetailova and Ronen Palan  · 28 Jan 2020  · 218pp  · 62,889 words

Traders, Guns & Money: Knowns and Unknowns in the Dazzling World of Derivatives

by Satyajit Das  · 15 Nov 2006  · 349pp  · 134,041 words

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by Alexander Davidson  · 1 Apr 2008  · 368pp  · 32,950 words

Stigum's Money Market, 4E

by Marcia Stigum and Anthony Crescenzi  · 9 Feb 2007  · 1,202pp  · 424,886 words

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by Steven Drobny  · 31 Mar 2006  · 385pp  · 128,358 words

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by Ludwig B. Chincarini  · 29 Jul 2012  · 701pp  · 199,010 words

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by David Goldenberg  · 2 Mar 2016  · 819pp  · 181,185 words

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by Alain Ruttiens  · 24 Apr 2013  · 447pp  · 104,258 words

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by Rana Foroohar  · 16 May 2016  · 515pp  · 132,295 words

The Fix: How Bankers Lied, Cheated and Colluded to Rig the World's Most Important Number (Bloomberg)

by Liam Vaughan and Gavin Finch  · 22 Nov 2016

Bad Money: Reckless Finance, Failed Politics, and the Global Crisis of American Capitalism

by Kevin Phillips  · 31 Mar 2008  · 422pp  · 113,830 words

Other People's Money: Masters of the Universe or Servants of the People?

by John Kay  · 2 Sep 2015  · 478pp  · 126,416 words

Financial Statement Analysis: A Practitioner's Guide

by Martin S. Fridson and Fernando Alvarez  · 31 May 2011

The Global Money Markets

by Frank J. Fabozzi, Steven V. Mann and Moorad Choudhry  · 14 Jul 2002

Layered Money: From Gold and Dollars to Bitcoin and Central Bank Digital Currencies

by Nik Bhatia  · 18 Jan 2021

The Missing Billionaires: A Guide to Better Financial Decisions

by Victor Haghani and James White  · 27 Aug 2023  · 314pp  · 122,534 words

Buffett

by Roger Lowenstein  · 24 Jul 2013  · 612pp  · 179,328 words

Crashed: How a Decade of Financial Crises Changed the World

by Adam Tooze  · 31 Jul 2018  · 1,066pp  · 273,703 words

Asset and Risk Management: Risk Oriented Finance

by Louis Esch, Robert Kieffer and Thierry Lopez  · 28 Nov 2005  · 416pp  · 39,022 words

The End of Wall Street

by Roger Lowenstein  · 15 Jan 2010  · 460pp  · 122,556 words

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by Christopher Varelas  · 15 Oct 2019  · 477pp  · 144,329 words

Where Does Money Come From?: A Guide to the UK Monetary & Banking System

by Josh Ryan-Collins, Tony Greenham, Richard Werner and Andrew Jackson  · 14 Apr 2012

Virtual Competition

by Ariel Ezrachi and Maurice E. Stucke  · 30 Nov 2016

European Spring: Why Our Economies and Politics Are in a Mess - and How to Put Them Right

by Philippe Legrain  · 22 Apr 2014  · 497pp  · 150,205 words

Trading at the Speed of Light: How Ultrafast Algorithms Are Transforming Financial Markets

by Donald MacKenzie  · 24 May 2021  · 400pp  · 121,988 words

The Tyranny of Nostalgia: Half a Century of British Economic Decline

by Russell Jones  · 15 Jan 2023  · 463pp  · 140,499 words

The Production of Money: How to Break the Power of Banks

by Ann Pettifor  · 27 Mar 2017  · 182pp  · 53,802 words

Liberalism at Large: The World According to the Economist

by Alex Zevin  · 12 Nov 2019  · 767pp  · 208,933 words