Interest rate swaps and their derivatives : a practitioner's guide /
Sadr, Amir,1963-
Hoboken, N.J. : Wiley,
c2009.
Includes bibliographical references (p. 235-237) and index.
Bonds : it's all about discounting -- Swaps : it's still about discounting -- Interest rate swaps in practice -- Separating forward curve from discount curve -- Derivatives pricing : risk-neutral valuation -- Black's world -- European-style interest-rate derivatives -- Short-rate models -- Bermudan-style options -- Full term-structure interest-rate models -- Forward-measure lens -- In search of "the" model -- Appendix A. Taylor series expansion -- Appendix B. Mean-reverting processes - Appendix C. Girsanov's theorem and change of numeraire.
Interest rate swaps.
Interest rate futures.
Derivative securities.