Valuation of Interest Rate Swaps and Swaptions
Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value—an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.
Praise for Valuation of Interest Rate Swaps and Swaptions
"Frank Fabozzi's series is the gold standard for investment reference books. Always topical and often influential this is the first place I send students or practitioners when they want to get up to speed on a new area."
— Stephen A. Ross, Franco Modigliani Professor of Finance and Economics, Sloan School, MIT
"The Fabozzi series provides the ultimate educational encyclopedia for the global debt capital markets. Each day, billions of dollars of debt securities trade around the world according to the principles clearly and comprehensively explained in this unrivaled series dedicated to the advancement of our knowledge-based profession."
— Jack Malvey, Managing Director, Lehman Brothers
"When in doubt, you can always look it up in a book by FrankFabozzi. Fabozzi, who's not called the Prolific Professor for nothing, has written or edited dozens of textbooks on investing—all rock-solid, for advanced investors only."
— Jason Zwieg, Money.com