Swaps and Other Derivatives (With CD-ROM) (The Wiley Finance Series)

asked by gilbert on November 7, 2006 5:28 AM

Swaps and Other Instruments focuses on the pricing and hedging of swaps, showing how various models work in practice and how they can be built. The book also covers options and interest rates as they relate to swaps, as they are often traded together. The book will include coverage of all the latest swaps including credit, commodity and equity swaps. Exercises and simulations are also provided on an accompanying CD ROM, including Excel spreadsheets enabling the reader to simulate and build their own spreadsheet models.

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Reviews

This book fills a huge gap in linking a diverse number of products together. From cross currency swaps to swapping bond issues to floating structures, as well as optionality and fixed income risk management as it should be done. Swaps and other Derivatives is the culmination of Richard Flavell's long and respected career in the markets, giving back to the reader exactly what you need to know..in a practical form. No heavy math, just good clean excel style pricing examples.

reviewed by artdealer on November 29, 2006 12:29 AM

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give clear excel examples on how to implement swap calculation.

reviewed by work on November 29, 2006 11:00 AM

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This is definitely the best book in the market for Swaps and related derivatives. The level of detail is extraordinary in comparision with other available books. Leaves very little gaps which means it is easy to apply the knowledge in practical situations.

Most books lean either towards the technical/quantitative side or the financial business side. Richard Flavell's books is a much-needed well rounded book on the issue. Definitely a much better book than Satyajit Das/Fabozzi books.

I wish Richard Flavell would write more. If you're buying one book on Swaps and related OTC derivatives, its got to be this one!

reviewed by aries on November 29, 2006 3:43 PM

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Whilst I have only read the first 100 pages or so of Favell's book so far, my impression is very favourable. This is simply an excellent book that finds the perfect middle ground between academic texts and introductory works, both of which usually leave out practical market issues such as day count conventions, business day adjustments, rounding rules, interpolation concerns, available market data etc

As a quant working for financial software company finding the detailed information required to write documentation to drive software development is often difficult. This book supplies the level of detail needed, and also contains excellent descriptions of different pricing methodologies for interest rate swaps.

Later chatpers on risk management and pricing of other derivatives look equally impressive, and I look forward to reading them.

This is the best book on swaps that I seen so far; a definite improvement on Das in my opinion.

reviewed by iconfess on November 29, 2006 7:27 PM

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add a new book!