The Pricing and Trading of Interest Rate Derivatives

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About the author:
JHM Darbyshire studied applied mathematics at the University of Nottingham, graduating top of his class. He went on to join one of the foremost fixed income trading teams in the industry at Barclays Capital in London. Starting out market-making sterling interest rate products, he progressed to managing a multi-asset portfolio, comprising G20 linear rates and cross-currency derivatives, and European government bonds.
He has since moved to Scandinavia to spend more time with his Swedish family, and currently trades a Euro denominated multi-asset portfolio for a Nordic investment bank.

The Pricing and Trading of Interest Rate Derivatives

A Practical Guide to Swaps

Authored by J H M Darbyshire

A comprehensive guide for pricing and trading linear interest rate derivatives. The author focuses on practical aspects, aided by numerous examples. A wealth of topics are covered including the basics of interest rate products, cash and collateral, curve modelling, single currency risks and risk modelling, cost-of-carry, value at risk (VaR), principal component analysis (PCA), reset risk, cross-currency swaps, multi-currency curve modelling, multi-currency risks, regulatory impact on pricing and earnings, using differing CSAs, and over-arching risk management techniques. Appendix entries complement the main text with the mathematics for clear instruction.

With over ten years of fixed income trading experience, comparing pre-financial crisis approaches with modern approaches, the author completely rewrites the literature. By choosing to focus directly on linear derivatives and omitting options and volatility this book provides a level of specific detail that none of the modern generalist derivatives books can give. This holistic approach offers the reader a host of different perspectives from which to appreciate pricing and trading. Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager.

Further details can be seen on the publisher's associated site,

Publication Date:
0995455511 / 9780995455511
Page Count:
Binding Type:
US Trade Paper
Trim Size:
6" x 9"
Black and White
Related Categories:
Business & Economics / Investments & Securities / Derivatives

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