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An Introduction to Derivative Securities, Financial Markets, and Risk Management

Robert A. Jarrow, Arkadev Chatterjea

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Abstract

The following sections are included:IntroductionA Brief HistoryThe Introduction of Swap ContractsFrom a Brokerage to a Dealership MarketISDA and Standardization of ContractsInstitutional FeaturesEntering a Swap ContractDocumentationClosing a Swap PositionValuationVariations of Interest Rate SwapsSwaps and FRAsSynthesizing Swaps with Eurodollars and FRAsThe Yield and Swap CurveEXTENSION 22.1: Computing Forward Rates from Swap RatesSummaryCasesQuestions and Problems

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The following sections are included:IntroductionA Brief HistoryThe Introduction of Swap ContractsFrom a Brokerage to a Dealership MarketISDA and Standardization of ContractsInstitutional FeaturesEntering a Swap ContractDocumentationClosing a Swap PositionValuationVariations of Interest Rate SwapsSwaps and FRAsSynthesizing Swaps with Eurodollars and FRAsThe Yield and Swap CurveEXTENSION 22.1: Computing Forward Rates from Swap RatesSummaryCasesQuestions and Problems

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Available abstract

The following sections are included:IntroductionA Brief HistoryThe Introduction of Swap ContractsFrom a Brokerage to a Dealership MarketISDA and Standardization of ContractsInstitutional FeaturesEntering a Swap ContractDocumentationClosing a Swap PositionValuationVariations of Interest Rate SwapsSwaps and FRAsSynthesizing Swaps with Eurodollars and FRAsThe Yield and Swap CurveEXTENSION 22.1: Computing Forward Rates from Swap RatesSummaryCasesQuestions and Problems

Key concepts: Interest rate swap, Swap (finance), Foreign exchange swap, Variance swap, Business, Interest rate, Volatility swap, Finance

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