Pricing and hedging swaps pdf

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pricing and hedging swaps pdf

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A hedge is an investment that protects your finances from a risky situation. It also limits your loss to a known amount if the asset does lose value. It's similar to home insurance. You pay a fixed amount each month. If a fire wipes out all the value of your home, your loss is the only the known amount of the deductible.

Pricing and Hedging Financial Derivatives

This book explains both the basic and advanced principles of pricing swaps and their hedge applications. Chapters describe pricing methods, swaps valuation, dealing with interest rate exposure, developing trading strategies and their application in portfolio management.

Lucid clearly structured with extensive use of worked examples. If you know the book but cannot find it on AbeBooks, we can automatically search for it on your behalf as new inventory is added. If it is added to AbeBooks by one of our member booksellers, we will notify you! Items related to Pricing and Hedging Swaps. Pricing and Hedging Swaps. Miron, Paul ; Swannell, Philip.

Publisher: Euromoney Inst Investors Plc , This specific ISBN edition is currently not available. View all copies of this ISBN edition:. Synopsis This book explains both the basic and advanced principles of pricing swaps and their hedge applications. Create a Want. Customers who bought this item also bought.

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Both individuals and organizations that work with arXivLabs have embraced and accepted our values of openness, community, excellence, and user data privacy. Have an idea for a project that will add value for arXiv's community? Learn more about arXivLabs and how to get involved. Authors: Marco Bianchetti. Comments: Working paper Subjects: Pricing of Securities q-fin.

Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. DOI: Assuming the absence of arbitrage in a single-name credit risk model, it is shown how to replicate the risk-free bank account until a credit event by a static portfolio of a bond and infinitely man View PDF. Save to Library.


1. PRICING AND HEDGING SWAPS by Paul Miron and Philip Swannell Published by Euromoney Books 2. Published by Euromoney.


ISBN 13: 9781855640528

A hedge is an investment position intended to offset potential losses or gains that may be incurred by a companion investment. A hedge can be constructed from many types of financial instruments , including stocks , exchange-traded funds , insurance , forward contracts , swaps , options , gambles, [1] many types of over-the-counter and derivative products, and futures contracts. Public futures markets were established in the 19th century [2] to allow transparent, standardized, and efficient hedging of agricultural commodity prices; they have since expanded to include futures contracts for hedging the values of energy , precious metals , foreign currency , and interest rate fluctuations.

Both individuals and organizations that work with arXivLabs have embraced and accepted our values of openness, community, excellence, and user data privacy.

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Hedge (finance)

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