Cantitate/Preț
Produs

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

Autor Marcos C. S. Carreira, Richard J. Brostowicz Jr.
en Limba Engleză Paperback – 21 apr 2016
The Brazilian financial markets operate in a very different way to their G7 counterparts. Key differences include onshore and offshore markets, exponential rates, business days day-counts and price formation from the futures markets (instead of the cash markets). Quants, traders, structurers and risk professionals active in this market need to understand these different dynamics in order to be able to effectively map these peculiarities into standard financial engineering techniques and work effectively.
Brazilian Derivatives and Securities is a quantitative, applied guide to the offshore and onshore Brazilian markets, with a focus on the financial instruments unique to the region. It offers a comprehensive introduction to the key financial ‘archaeology’ in the Brazil context, exploring interest rates, FX and inflation and key differences from G7 market finance. The book explores the dynamics of the local markets in detail, including cash instruments when necessary and provides valuable guidance on managing unique situations, from knowing what to do when the time series misbehaves, to how to distinguish volatility from structural changes.  Finally, the book introduces the region's unique financial instruments, as well as their pricing and risk management needs. Techniques for interpolation and consistency among different curves are described in detail, and heuristics for potential exposure calculations are developed.
Covering both introductory and complex topics, this book provides existing practitioners in Brazil, as well as those interested in becoming involved in these markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.
   
Citește tot Restrânge

Preț: 39023 lei

Preț vechi: 42417 lei
-8%

Puncte Express: 585

Preț estimativ în valută:
7476 8098$ 6411£

Carte nepublicată încă

Doresc să fiu notificat când acest titlu va fi disponibil:

Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9781349554720
ISBN-10: 1349554723
Pagini: 303
Dimensiuni: 155 x 235 mm
Ediția:1st ed. 2016
Editura: Palgrave Macmillan UK
Colecția Palgrave Macmillan
Locul publicării:London, United Kingdom

Cuprins

1. Financial archaeology.- 2. We mean business.- 3. Interesting BRL Interest Rates.- 4. BRL Interest Rate Market and Credit Risk.- 5. A man with two clocks ... Foreign Exchange in Brazil.- 6. And the even more interesting USD onshore interest rates.- 7. Too many options?.- 8. The Mountain goes to ... Foreign Exchange Contracts offshore.- 9. Start from where ? Constructing markets for FX Forwards, Futures, Onshore USD Interest Rates and Offshore instruments.- 10. Offshore IR Products based on CDI fixings.- 11. The Dual case - US Libor onshore swaps.- 12. FX trading (Interest Rate and Fixing) Market and Credit Risk.- 13.  A skewed perspective of the world: FX Options.- 14. Some cash is better than nothing - what you need to know about cash products.- 15. Index of choice ... Inflation-Linked Products and Curves.- 16. Microstructure of the listed derivatives.- 17. Unlucky end: On the obsolescence of products and books   

Recenzii

   

Notă biografică

Marcos Carreira is an experienced quantitative finance practitioner with more than 20 years’ experience working in Brazilian capital markets. He was Derivative Products Officer and later Technical Modeling Officer at BM&FBovespa, where he contributed to risk management, derivatives pricing, exchange fees, microstructure and HFT functions. At Credit Suisse Brazil, he was a Managing Director in charge of the FX and IR Options desk, after being the Risk Manager responsible for Market, Counterparty and Liquidity Risks. He started his career in Finance/Product Control at Banco de Investimentos Garantia. Mr Carreira holds an engineering degree from Instituto Tecnológico de Aeronáutica (ITA) and is part of the 2016 class of the Professional Masters in Economics at Insper. Marcos also lectures for the MECAI Professional Masters course in Mathematical Finance at ICMC-USP and is a regular speaker at quantitative finance conferences.
Richard Brostowicz is an Executive Director and Head of Brazil Quants at Banco Morgan Stanley, Brazil. He has 8 years of experience as a quant in global markets, having worked previously at Credit Suisse, and 11 years in the Brazilian market. He studied at the University of Sao Paulo (USP) and is a lecturer for a MECAI Professional Masters course in Mathematical Finance at ICMC-USP.         

Textul de pe ultima copertă

The Brazilian financial markets operate in a very different way to their G7 counterparts. Key differences include onshore and offshore markets, exponential rates, business days day-counts and price formation from the futures markets (instead of the cash markets). Quants, traders, structurers and risk professionals active in this market need to understand these different dynamics in order to be able to effectively map these peculiarities into standard financial engineering techniques and work effectively.
Brazilian Derivatives and Securities is a quantitative, applied guide to the offshore and onshore Brazilian markets, with a focus on the financial instruments unique to the region. It offers a comprehensive introduction to the key financial ‘archaeology’ in the Brazil context, exploring interest rates, FX and inflation and key differences from G7 market finance. The book explores the dynamics of the local markets in detail, including cash instruments when necessary and provides valuable guidance on managing unique situations, from knowing what to do when the time series misbehaves, to how to distinguish volatility from structural changes.  Finally, the book introduces the region's unique financial instruments, as well as their pricing and risk management needs. Techniques for interpolation and consistency among different curves are described in detail, and heuristics for potential exposure calculations are developed.
Covering both introductory and complex topics, this book provides existing practitioners in Brazil, as well as those interested in becoming involved in these markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.   


Caracteristici