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Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps
Free Download Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps
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Review
Darbyshire has written a book that could only be written by a highly experienced trader. The focus of each chapter is on the issues that matter day to day, while at the same time showing an obvious talent for clear explanation. He combines the knowledge of a high-level practitioner with the clarity and rigour of an academic. All of this makes 'Pricing and Trading Interest Rate Derivatives' the go-to text for both practitioners and academics alike. Additionally, it is suitable for those looking to either deepen their knowledge in the sector or for newcomers needing a solid foundation from which to learn.Trevor Pugh, Head of Sterling Rates, HSBC Plc. and Advanced Visiting Fellow, University of Sheffield This is a book with sound structure. Darbyshire's goal of producing something that is practical, explanatory and ultimately very useful is well met. His all round trading experience of interest rate swaps and cross-currency basis swaps shines through. It is complimented by a thorough technical understanding, that has obviously been enhanced whilst working in one of the top investment banks alongside many of the industry's best quantitative analysts and market-makers. Overall, a great success.Kevin Marsh, Head of Sterling IRS Broking, TP-ICAP Plc.This is an invaluable resource that has helped me launch my career as an interest rate swap trader. It has been especially useful for bridging the gap between highly theoretical fixed income books and those light-on-content practical ones. Darbyshire includes material that simply doesn't exist elsewhere. The pedagogical examples and concise structure make this easily digestible and highly effective.Emil Larsson, Trading Analyst, Nordea Markets
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About the Author
J H M Darbyshire first studied mathematics at the University of Nottingham, becoming valedictorian of his graduating class. He went on to join the fixed income trading team at Barclays Capital in London, quickly establishing his position as a sterling bond and IRD trader. There he honed his skills and was instrumental in shaping Barclays curve and risk model design, as well as successfully trading outright and basis markets throughout the years of the financial crisis and central bank quantitative easing. Within Barclays he expanded his role to become discretionary manager of a G7 bond, TRS and IRD portfolio. This gave him unique exposure to the financial instruments upon which his books are focused. Later he travelled to Stockholm to spend more time with his Swedish family. This period gave him the opportunity to complete his MSc in mathematics and to author his first publication "Pricing and Trading Interest Rate Derivatives". He has since returned to portfolio management in Scandinavia at Nordea Markets specialising in euro IRDs as part of a linear and non-linear product team.
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Product details
Paperback: 412 pages
Publisher: Aitch & Dee Limited; 2 edition (May 17, 2017)
Language: English
ISBN-10: 099545552X
ISBN-13: 978-0995455528
Product Dimensions:
6.7 x 0.9 x 9.6 inches
Shipping Weight: 1.5 pounds (View shipping rates and policies)
Average Customer Review:
5.0 out of 5 stars
3 customer reviews
Amazon Best Sellers Rank:
#521,753 in Books (See Top 100 in Books)
There is no comparable text available, and believe me, I've read most of them.I've spent the last 10 years building Trad-X and I've struggled to find a modern trading oriented text that can bootstrap a quant or developer into the rates world with minimal reference chasing and still be something that I can agree with. Even for seasoned professionals, there is a very nice transitioning between the topics that gives the reader the breadth that is often lacking due to silos in the field.In terms of readability, it's very good, you can read cover-to-cover and enjoy a progression beginning from the very basics of it all.I'm looking forward to a 3rd edition that covers the emerging trends in OIS (SOFR, et. al.), some more technical matter on AAD, trends in interpolation techniques and hopefully a section on the peculiarities of emerging market swaps.Overall, this is currently *the* go to book. Once you've finished it, you'll have the solid base required to refine your knowledge through research publications.
For everybody interested in learning more about the world of interest rate swaps, I believe this book does the job in an excellent manner. Not only does the book provides the reader with a general overview of market concepts and conventions, it also serves as a guideline in terms of more conceptual thinking and application to any market participant.I encourage anybody with an interest for swap pricing, regardless of job title, to read this book as it provides valueable knowledge to a specific, but liquid financial product.
The book covers the full spectrum of linear interest-rate derivatives and succeeds to admiration and then some. Treatment of each topic is compact yet very elucidating, with many numerical examples to boot. All presented from the vantage-point of a down-to-earth trader. The discussion is not hampered by excessive exposition of mathematical rigour and where possible qualitative explanations are provided, which helps the reader to develop a mindset within which the maths and models can really start working for you, instead of just being tools for computation. The appendix further expands upon the mathematics and far from being your average appendix, really enriches the main text.My focus when reading the book was on XCSs and the multi-currency curve model with CSAs. But I will definitely revisit all the other fascinating topics covered by the book such as the use of VaR, PCA, reset risks and delta/gamma risks in the fixed-income realm.
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