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Interest rate swaps allow counterparties to exchange fixed rate streams of payment for floating ones. The first swap was executed over thirty years ago, and since then, the interest rate swaps market and other related derivative markets have grown and diversified in phenomenal directions. Today interest rate swaps and other derivatives are used by myriad institutional investors for the purposes of risk management, expressing a view on the market, and exploiting market opportunities that are otherwise unavailable using more traditional financial instruments.In this volume, Howard M

Interest rate futures. --- Swaps (Finance) --- Interest rate swaps. --- Derivative securities. --- Finance

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Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk.

Interest rate futures --- Capital market --- Hedging (Finance) --- Portfolio management --- E-books --- AA / International- internationaal --- 333.451.4 --- 333.451.7 --- 333.642 --- Rente arbitrage. --- Speculatie. Wisselrisico's. --- Termijn. Financial futures. --- Interest rate futures. --- Capital market. --- Portfolio management. --- Investment management --- Investment analysis --- Investments --- Securities --- Options (Finance) --- Speculation --- Financial futures --- Capital markets --- Market, Capital --- Finance --- Financial institutions --- Loans --- Money market --- Crowding out (Economics) --- Efficient market theory --- Futures, Interest rate --- Rente arbitrage --- Speculatie. Wisselrisico's --- Termijn. Financial futures

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Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.

Capital assets pricing model. --- Portfolio management. --- Uncertainty. --- Interest rates --- Fixed-income securities --- Options (Finance) --- Interest rate risk --- Economic Theory --- Banking --- Finance --- Business & Economics --- Mathematical models --- Valuation --- Interest rate futures --- Geometry, Affine. --- Econometric models. --- Mathematical models. --- Affine geometry --- Futures, Interest rate --- Mathematics. --- Applied mathematics. --- Engineering mathematics. --- Game theory. --- Economics, Mathematical. --- Probabilities. --- Quantitative Finance. --- Probability Theory and Stochastic Processes. --- Applications of Mathematics. --- Game Theory, Economics, Social and Behav. Sciences. --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- Economics --- Mathematical economics --- Econometrics --- Games, Theory of --- Theory of games --- Engineering --- Engineering analysis --- Mathematical analysis --- Math --- Science --- Methodology --- Financial futures --- Geometry, Modern