Swap is one of the most fundamental interest rate derivatives in capital markets.From simple to complex, the author explained various kinds of swaps to the reader using many pratical examples.
A very good book especially who want to study mathematical finance with little related backgrounds.


Based on the author’s extensive experience in derivatives and risk management, working as a financial engineer, consultant and trainer for a wide range of institutions across the world this book discusses in detail how many of the wide range of swaps and other derivatives, such as yield curve, index amortisers, inflation-linked, cross-market, volatility, diff and quanto diffs, are priced and hedged. It also describes the modelling of interest rate curves, and the derivation of implied discount factors from both interest rate swap curves, and cross-currency adjusted curves.