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Money market. Capital market --- 332.632 --- Stock exchanges --- Capital market --- Securities

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The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough understanding of credit derivatives by all parties involved in a transaction, especially traders, structurers, quants and investors. Fully revised and updated to take in to account the new products, markets and risk requirements post financial crisis, Credit Derivatives: Trading, Investing and Risk

International financial management --- Credit derivatives. --- Risk management. --- Credit derivatives --- Risk management --- 332.632 --- 332.7 --- Insurance --- Management --- Derivative securities --- Instruments financiers

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This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance.Features:detailed coverage of interest rate derivatives, from 'vanilla' instruments through to many of the more exotic products currently being tradedoverview of popular term structure models along with their relationships to each other (including Heath-Jarrow-Morton, short rate models and the latest market models)explanation of numeraires as a modelling and pricing toolpricing models for constant maturity swaps and other convexity productsmodels and efficient algorithms for path-dependent and Bermudan swaptionsinsights into how to go about pricing products beyond those treated in the textaccessible yet rigorous treatment of the stochastic calculus required for option pricing

Derivative securities --- Instruments dérivés (Finances) --- Derivative securities. --- 332.632 --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Instruments dérivés (Finances)

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336.7 --- Structured notes (Securities) --- 332.632 --- Structured securities --- Fixed-income securities --- Derivative securities --- Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen --- 336.7 Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen

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This popular text, publishing Spring 1999 in its Second Edition, introduces the mathematics underlying the pricing of derivatives. The increase of interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. Professor Neftci's book answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in these financial products. The Second Edition is designed to make the book the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals.

Derivative securities --- Mathematics --- Basic Sciences. Mathematics --- Mathematics. --- Applied Mathematics. --- International finance --- Probability theory --- -332.632 --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Derivative securities - Mathematics