By Fred D.Arditti
Size 2.3 MB
File Type : Epub
The growth of derivative markets during the past decade has
been nothing short of astounding and so, of late, has been the misunderstanding
of their use. This book is the definitive resource on derivatives. It is the
first to explain all four major classes of derivative instruments - options,
futures, interest rate swaps, and mortgage securities - in terms of their
market structure, applications, and pricing, with a focus on the valuation
methods used most commonly by professional market participants. Unlike most
treatments of derivatives, this book offers detailed explanations of the
institutional procedure and market practice for each class of derivative as
well as the pricing and hedging of mortgage-backed securities and the central
role of prepayment in both activities. It also covers a wide variety of topics
such as the structuring of CMOs, PACs, and TACs; smile option pricing; and
pricing and hedging of long-dated swaps.
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