The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them. Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.

PrefaceAcknowledgmentsList of Abbreviations1. An Introduction to Swaps2. The Risk Characteristics and the Traditional Uses of Swaps3. The Pricing of Swaps4. Caps and Floors5. Swaptions6. Swaps with Embedded Options7. Structured Notes8. Relative Value and Macro Trades9. More Recent Product InnovationsAppendixesA. Refresher in Option PricingB. A Brief Review of Some Fixed Income TopicsC. A Closer Look at Day Count and Payment Conventions in SwapsD. A Quick Look at MortgagesE. The Normal ModelSolutions to Selected ProblemsBibliographyIndex