Swaps/Financial Derivatives

<body stylesrc="../_private/template_title.htm" topmargin="10" leftmargin="10" bgcolor="#FFFFFF" link="#333366" vlink="#000000" alink="#000000"> <div align="left"> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table2"> <tr> <td width="780"> <div align="center"> <table border="0" cellpadding="5" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table3"> <tr> <td align="right" height="198" width="1%"> <p align="left"> <img border="0" src="../images/book_das_satyajit_(2003).gif" width="136" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" id="table4"> <tr> <td colspan="3" width="0%"> <p class="book_title">Swaps/Financial Derivatives<br> <font style="font-size: 11pt">Products, Pricing, Applications and Risk Management </font></td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"><img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> <td width="52%" class="book_details_tags" valign="top" height="144" align="left" rowspan="9"> <map name="FPMap2"> <area href="../main/ratings.htm" shape="rect" coords="72, 0, 164, 33"> </map> <img border="0" src="../images_title/das_sa34.gif" usemap="#FPMap2" width="206" height="158"></td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" height="32" align="center" width="50%" rowspan="2"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <center> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table5"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </center> </div> <table border="0" cellpadding="5" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table6"> <tr> <td width="45%" valign="top"> <p align="left" class="body_expanded" style="line-height: 135%; margin-top: 6"><strong style="font-weight: 400">Now in its third edition, this is essentially an encyclopedia for financial derivatives. Physically, it is a massive four-volume set. It will take up a foot on your bookshelf. It isn't the kind of book you read straight through. Rather, it is a reference offering exquisitely detailed discussions of every aspect of the derivatives markets—the instruments, financial engineering, risk management, operations, technology, legal issues, regulation, history. It is all here. Discussions have a depth that an experienced OTC derivatives trader would appreciate.</strong></p> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="125" align="left" id="table7"> <tr> <td width="120"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td><td width="5"> </td> </tr> </table> <p align="left" class="body_expanded" style="line-height: 135%"><strong style="font-weight: 400">For example, Das devotes 74 pages to non-generic swaps. Here you will find product descriptions, pricing calculations, applications and summary terms for numerous instruments encountered day-to-day by derivatives dealers—overnight index swaps, amortizing swaps, deferred start swaps, spreadlocks, etc.</strong></p> <p align="left" class="body_expanded" style="line-height: 135%"><strong style="font-weight: 400">The book has 306 pages on legal, regulatory, accounting and tax issues. The treatment is well organized and written for non-lawyers. It details applicable US and UK laws (the two primary bodies of law applied to OTC derivatives) and mentions issues related to local law in other jurisdictions. </strong></p> <p align="left" class="body_expanded" style="line-height: 135%"> <strong style="font-weight: 400">Operations and related technology are described. Topics include the various functions performed by a back office, data acquisition and cleaning, standard front-, middle- and back-office technology used by dealers, the build vs. buy decision, etc.</strong></p> <p align="left" class="body_expanded" style="line-height: 135%"><strong style="font-weight: 400">While the book's focus is on financial derivatives, it has 222 pages devoted to commodity- and energy-linked structures.</strong></p> <p align="left" class="body_expanded" style="line-height: 135%"><strong style="font-weight: 400"> Risk management is discussed in detail—organization as well as the various types of risks and how they are measured. There are 44 pages on liquidity risk alone—about the most sophisticated treatment of liquidity risk I have read anywhere. </strong></p> <p align="left" class="body_expanded" style="line-height: 135%"><strong style="font-weight: 400">Needless to say, any book review can only scrape the surface of all that is here. The four volumes together contain 4700 pages!</strong></p> <p align="left" class="body_expanded" style="line-height: 135%"><strong style="font-weight: 400">I think that is the one significant problem with this book. It gets bigger with each edition, and its development is evolutionary. Because it is mostly written by one author, not everything can be updated with each new edition. Some material is dated. For example, the treatment of value-at-risk reads like something from 1993. Other sections are entirely up to date—the discussion of Basle II, for example. For the next edition (and I hope there is a next edition), I think Das should focus on recruiting other writers and make the book more of an edited collection.</strong></p> <p align="left" class="body_expanded" style="line-height: 135%; margin-bottom: 26"><strong style="font-weight: 400">Who is this book for? Primarily, it is for derivatives dealers and other market participants. This is the kind of book every trading floor should have. Consultants will find it invaluable. I also recommend it for regulators and end users of derivatives. Even academics who want a window on what practitioners are up to will find much in these pages. </strong></p> <p align="center" class="body_expanded" style="line-height: 135%"> </p> </td> <td width="55%" valign="top" class="body" rowspan="2"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table8"> <tr> <td width="100%" bgcolor="#333366"> <p class="header_yellow" align="center">Contents</td> </tr> <tr> <td width="100%" class="explanatory_text"> <table border="1" cellpadding="0" cellspacing="5" style="border-collapse: collapse" bordercolor="#CCCCFF" bgcolor="#CCCCFF" width="100%" id="table9"> <tr> <td class="contents_expanded"> <p class="contents_compressed" style="margin: 2 0"><b>Volume 1</b></p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> ROLE AND FUNCTION OF DERIVATIVES</p> <p class="contents_compressed" style="margin: 2 0">1. Financial Derivatives Building Blocks  Forward & Option Contracts</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> DERIVATIVE INSTRUMENTS</p> <p class="contents_compressed" style="margin: 2 0">2. Exchange-Traded Products</p> <p class="contents_compressed" style="margin: 2 0">3. Over-The-Counter Products</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> PRICING & VALUING DERIVATIVE INSTRUMENTS</p> <p class="contents_compressed" style="margin: 2 0">4. Derivatives Pricing Framework</p> <p class="contents_compressed" style="margin: 2 0">5. Interest Rates & Yield Curves</p> <p class="contents_compressed" style="margin: 2 0">6. Pricing Forward & Futures Contracts</p> <p class="contents_compressed" style="margin: 2 0">7. Option Pricing</p> <p class="contents_compressed" style="margin: 2 0">8. Interest Rate Options Pricing</p> <p class="contents_compressed" style="margin: 2 0">9. Estimating Volatility & Correlation</p> <p class="contents_compressed" style="margin: 2 0">10. Pricing Interest Rate & Currency Swaps</p> <p class="contents_compressed" style="margin: 2 0">11. Swap Spreads</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> DERIVATIVE TRADING & PORTFOLIO MANAGEMENT</p> <p class="contents_compressed" style="margin: 2 0">12. Derivatives Trading & Portfolio Management</p> <p class="contents_compressed" style="margin: 2 0">13. Hedging Interest Rate Risk  Individual Instruments</p> <p class="contents_compressed" style="margin: 2 0">14. Hedging Interest Rate Risk  Portfolios</p> <p class="contents_compressed" style="margin: 2 0">15. Measuring Option Price Sensitivities</p> <p class="contents_compressed" style="margin: 2 0">16. Delta Hedging/Management of Option Portfolios</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> <b>Volume 2</b></p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> RISK MANAGEMENT PRINCIPLES</p> <p class="contents_compressed" style="margin: 2 0">17. Framework For Risk Management</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> MARKET RISK</p> <p class="contents_compressed" style="margin: 2 0">18. Market Risk Measurement</p> <p class="contents_compressed" style="margin: 2 0">19. Stress Testing</p> <p class="contents_compressed" style="margin: 2 0">20. Portfolio Valuation/Mark-To-Market</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> CREDIT RISK</p> <p class="contents_compressed" style="margin: 2 0">21. Derivative Credit Risk: Measurement</p> <p class="contents_compressed" style="margin: 2 0">22. Derivative Credit Exposure: Management & Credit Enhancement</p> <p class="contents_compressed" style="margin: 2 0">23. Derivative Product Companies</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> OTHER RISKS</p> <p class="contents_compressed" style="margin: 2 0">24. Liquidity Risk</p> <p class="contents_compressed" style="margin: 2 0">25. Model Risk</p> <p class="contents_compressed" style="margin: 2 0">26. Operational Risk</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> ORGANIZATION OF RISK MANAGEMENT</p> <p class="contents_compressed" style="margin: 2 0">27. Risk Management Function</p> <p class="contents_compressed" style="margin: 2 0">28. Risk Adjusted Performance Management</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> OPERATIONAL ASPECTS</p> <p class="contents_compressed" style="margin: 2 0">29. Operational, Systems & Technology Issues</p> <p class="contents_compressed" style="margin: 2 0">30. Legal Issues and Documentation</p> <p class="contents_compressed" style="margin: 2 0">31. Accounting for Swaps and Financial Derivatives</p> <p class="contents_compressed" style="margin: 2 0">32. Taxation Aspects of Swaps and Financial Derivatives</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> REGULATORY ASPECTS OF DERIVATIVES</p> <p class="contents_compressed" style="margin: 2 0">33. Credit Risk: Regulatory Framework</p> <p class="contents_compressed" style="margin: 2 0">34. Market Risk: Regulatory Framework</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> <b>Volume 3</b></p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> DERIVATIVE APPLICATIONS</p> <p class="contents_compressed" style="margin: 2 0">35. Applications of Derivative Products</p> <p class="contents_compressed" style="margin: 2 0">36. Applications of Futures, Swaps & Options</p> <p class="contents_compressed" style="margin: 2 0">37. New Issues Arbitrage</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> SYNTHETIC ASSETS</p> <p class="contents_compressed" style="margin: 2 0">38. Synthetic Assets  Asset Swaps, Structured Notes, Repackaging and Structured Investment Vehicles</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> EXOTIC OPTIONS</p> <p class="contents_compressed" style="margin: 2 0">39. Exotic Options</p> <p class="contents_compressed" style="margin: 2 0">40. Packaged Forwards & Options</p> <p class="contents_compressed" style="margin: 2 0">41. Path Dependent Exotic Options</p> <p class="contents_compressed" style="margin: 2 0">42. Time Dependent Exotic Options</p> <p class="contents_compressed" style="margin: 2 0">43. Limit Dependent Exotic Options</p> <p class="contents_compressed" style="margin: 2 0">44. Pay-off Modified Exotic Options.</p> <p class="contents_compressed" style="margin: 2 0">45. MultiFactor Exotic Options</p> <p class="contents_compressed" style="margin: 2 0">46. Volatility Products</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> INTEREST RATE & FX STRUCTURES</p> <p class="contents_compressed" style="margin: 2 0">47. Non Generic Swaps</p> <p class="contents_compressed" style="margin: 2 0">48. Basis Swaps</p> <p class="contents_compressed" style="margin: 2 0">49. Option On Swaps/Swaptions</p> <p class="contents_compressed" style="margin: 2 0">50. Callable Bonds</p> <p class="contents_compressed" style="margin: 2 0">51. Constant Maturity Products</p> <p class="contents_compressed" style="margin: 2 0">52. Index Amortizing Products</p> <p class="contents_compressed" style="margin: 2 0">53. Interest Rate Linked Notes</p> <p class="contents_compressed" style="margin: 2 0">54. Currency Linked Notes</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> <b>Volume 4</b></p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> EQUITY LINKED STRUCTURES</p> <p class="contents_compressed" style="margin: 2 0">55. Equity Derivatives</p> <p class="contents_compressed" style="margin: 2 0">56. Convertible Securities</p> <p class="contents_compressed" style="margin: 2 0">57. Structured Convertible Securities</p> <p class="contents_compressed" style="margin: 2 0">58. Equity Linked Notes</p> <p class="contents_compressed" style="margin: 2 0">59. Equity Derivatives  Investor Applications</p> <p class="contents_compressed" style="margin: 2 0">60. Equity Capital Management </p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> COMMODITY LINKED STRUCTURES</p> <p class="contents_compressed" style="margin: 2 0">61. Commodity Derivatives  Commodity Futures & Options/Commodity Swaps/Commodity Linked Notes</p> <p class="contents_compressed" style="margin: 2 0">62. Commodity Derivatives  Energy</p> <p class="contents_compressed" style="margin: 2 0">63. Commodity Derivatives  Metal Markets</p> <p class="contents_compressed" style="margin: 2 0">64. Commodity Derivatives  Agricultural and Other Markets</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> CREDIT DERIVATIVES</p> <p class="contents_compressed" style="margin: 2 0">65. Credit Derivative Products</p> <p class="contents_compressed" style="margin: 2 0">66. Credit Linked Notes/Collateralized Debt Obligations</p> <p class="contents_compressed" style="margin: 2 0">67. Credit Derivatives/Default Risk  Pricing and Modelling</p> <p class="contents_compressed" style="margin: 2 0">68. Credit Derivatives   Applications/Markets</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> NEW MARKETS</p> <p class="contents_compressed" style="margin: 2 0">69. Inflation Indexed Notes and Derivatives</p> <p class="contents_compressed" style="margin: 2 0">70. Alternative Risk Transfer/Insurance Derivatives</p> <p class="contents_compressed" style="margin: 2 0">71. Weather Derivatives</p> <p class="contents_compressed" style="margin: 2 0">72. New Markets  Property; Bandwidth; Macro-Economic & Environmental Derivatives</p> <p class="contents_compressed" style="margin: 2 0">73. Tax and Structured Derivatives Transaction</p> <p class="contents_compressed" style="margin-left: 0; margin-right: 0; margin-bottom: 2"> EVOLUTION OF DERIVATIVES MARKETS</p> <p class="contents_compressed" style="margin: 2 0">74. Electronic Markets and Derivatives Trading</p> <p class="contents_compressed" style="margin: 2 0">75. Financial Derivatives  Evolution and Prospects</td> </tr> </table> </td> </tr> </table> </td> </tr> <tr> <td width="45%" valign="bottom"> <table border="0" cellpadding="5" cellspacing="0" style="border-collapse: collapse" width="100%" bgcolor="#FFFFCC" id="table10"> <tr> <td width="100%" align="left"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </td> </tr> </table> <div align="left"> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" bgcolor="#FFFFCC" id="table11"> <tr> <td width="100%" align="center"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" bgcolor="#FFFFCC" id="table12"> <tr> <td> <p class="body" style="margin-bottom: 6"><b><font color="#333366" size="3">For related books, see sections:</font></b></p> <p class="bullet"><img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/markets_industries_derivatives.htm">Markets - Derivatives</a></p> <p class="bullet"><img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/financial_engineering_basic.htm">Financial Engineering - Basic Theory</a><p class="bullet"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_general.htm">Risk Management - General</a></td> </tr> </table> </td> </tr> </table> </div> </td> <td>  </td> </tr> </table> </div>  <table border="0" style="border-collapse: collapse" width="100%" cellpadding="0" id="table1" bgcolor="#FFFFFF"> <tr> <td colspan="2" height="12"> <p style="margin-top: 0"> </td> </tr> <tr> <td align="right"> <p align="left" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Ads by Contingency Analysis.</font></a></td> <td align="left"> <p align="right" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Advertise on this site.</font></a></td> </tr> <tr> <td align="center" colspan="2">  <iframe src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=iframe" allowtransparency="true" background-color="transparent" style="margin: 0px; padding: 0px; border-width: 0px" width="300" height="250" frameborder="0" marginwidth="0" marginheight="0" scrolling="no"> <![if lt IE 4]> <script src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=js" type="text/javascript"> </script> <noscript> <a href="http://servedbyadbutler.com/go2/;ID=147917;size=300x250;setID=93136"> <img src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=img" border="0" height="250" width="300" alt=""></a> </noscript><![endif]> </iframe>   </td> </tr> </table> <p align="center" style="margin-top: 20"> <map name="FPMap0_I1"> <area href="http://www.riskbook.com" shape="rect" coords="0, 0, 184, 29" target="_top"></map> <img border="0" src="../images/open_book_riskbook.gif" usemap="#FPMap0_I1" width="185" height="30"></p> <p class="a" align="center"><font face="Arial" size="2"><a href="../main/disclaimer.htm">disclaimer</a></font></p> <p class="a" align="center"><span class="verdana10">website:</span> <a target="_top" href="http://www.contingencyanalysis.com"> <font size="2" face="Arial">http://www.contingencyanalysis.com</font></a><br> <span class="verdana10">books direct link:</span> <a target="_top" href="http://www.riskbook.com"><font size="2" face="Arial">http://www.riskbook.com</font></a><br> copyright <font face="Times New Roman">©</font> Contingency Analysis, 1996 - current</p> <p class="a" align="center"><map name="FPMap1_I1"> <area target="_top" href="http://www.contingencyanalysis.com" shape="rect" coords="0, 0, 240, 88"> </map><img border="0" src="../images/logo_book_white.gif" usemap="#FPMap1_I1" width="241" height="89"></p>  </body>