Brazilian Derivatives and Securities

Full Name
Brazilian Derivatives and Securities: Pricing and Risk Management of FX and Interest-Rate Portfolios for Local and Global Markets

The Brazilian financial markets operate in a very different way to G7 markets. Brazilian Derivatives and Securities provides a comprehensive guide to the offshore and onshore Brazilian markets. It explores the core industry investment banking business in detail, from FX to interest rates and cash and inflation. Finally, Brazilian Derivatives and Securities introduces the region's unique financial instruments, as well as their pricing and risk management needs. Covering both introductory and complex topics, this book provides everything needed to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.

Praise for Brazilian Derivatives and Securities

"The book brings to the widely traded Brazilian derivatives an intelligent analysis, that includes the latest developments in pricing – such as the choice of collateral and numéraire currency – as well as a variety of operational considerations. A 'must-read' for a number of actors."

— Helyette Geman, Professor of Mathematical Finance, Birkbeck, University of London & Johns Hopkins university

"It is interesting to witness publication of a volume on Brazilian derivatives and securities more generally. The book is interesting not only for the emphasis on Brazilian markets. Discussion of often-overlooked details on valuation and on curves makes it an interesting read for a potentially broad audience. It is written in an engaging style while reporting relevant information and analysis, thanks also to the passionate approach of the authors."

— Professor Damiano Brigo, Chair in Mathematical Finance and Stochastic Analysis, Imperial College London

"This interesting and innovative book contains everything you need to know about doing quantitative finance in Brazil, where markets, products, and rates behave very differently. It expertly tackles modeling problems unheard of in developed markets, and will be useful to anyone building financial models in non-G7 markets."

— Emanuel Derman, Author of My Life as a Quant and Models.Behaving.Badly

"This book describes the Brazilian market since its inception, presenting the main actors and forces that transformed the Brazil of Pres. Juscelino Kubitschek in 1960 to a market economy with some of the most liquid contracts in the world. The book motivates carefully the rationale behind the major exchange-traded derivatives and their operational aspects; it also covers extensively over-the-counter derivatives. It is the first book of its kind, giving the reader a complete perspective of Brazil's formidable derivatives markets. This is a 'must-read' for asset-managers, corporate treasurers, traders, investors, and academics that are interested in gaining knowledgecon Brazilian derivatives markets."

— Marco Avellaneda, PhD, Professor of Mathematics, Courant Institute NYU; Managing Partner, Finance Concepts