Interest Rate Swaps and Other Derivatives

Howard Corb

Columbia University Press

Interest Rate Swaps and Other Derivatives

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Pub Date: August 2012

ISBN: 9780231159647

624 Pages

Format: Hardcover

List Price: $69.95£59.00

Pub Date: August 2012

ISBN: 9780231530361

624 Pages

Format: E-book

List Price: $68.99£58.00

Interest Rate Swaps and Other Derivatives

Howard Corb

Columbia University Press

The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them.

Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.

Howard Corb's comprehensive treatment of interest rate swaps and related derivatives is destined to be the standard source for all professionals and students anxious to learn both concepts and practice. This book is authoritative, accessible, and rich with applications and illustrative examples.

Darrell Duffie, Stanford University

Finally, a complete and comprehensive derivative textbook that is both commercial and quantitative. This book is written in a wonderful conversational manner that will appeal to students of many derivative applications—corporations of all sizes, institutional investors of all kinds, public sector borrowers, global regulators, quants and educators at all levels. Howard Corb has really captured everything—the broad array of products and the necessary maths and associated variables—covering both common applications along with all the nuances. Undoubtedly this book will serve as both a textbook for the inquisitive and a reference book for all practitioners. I have grown with the swaps and derivatives market for the last quarter century and would have valued having this book at my side on many occasions. I commend Corb for creating such an inclusive work. His book clearly captures his passion for the derivatives market and his sincere interest in education.

Richard Prager, head of global trading, BlackRock

Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style.

Academic Lounge
Preface
Acknowledgments
List of Abbreviations
1. An Introduction to Swaps
2. The Risk Characteristics and the Traditional Uses of Swaps
3. The Pricing of Swaps
4. Caps and Floors
5. Swaptions
6. Swaps with Embedded Options
7. Structured Notes
8. Relative Value and Macro Trades
9. More Recent Product Innovations
Appendixes
A. Refresher in Option Pricing
B. A Brief Review of Some Fixed Income Topics
C. A Closer Look at Day Count and Payment Conventions in Swaps
D. A Quick Look at Mortgages
E. The Normal Model
Solutions to Selected Problems
Bibliography
Index

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About the Author

Howard Corb is an adjunct associate professor in finance and economics at Columbia Business School and a partner at Arel Capital. After receiving his Ph.D. in finance from Stanford University, he began his Wall Street career at J. P. Morgan and later joined Morgan Stanley, during which time he worked with a variety of institutional clients to help manage their interest rate risk using derivatives.