Brazilian derivatives and securities : pricing and risk management of FX and interest-rate portfolios for local and global markets / Marcos Carreira (Quantitative Finance Practitioner, Brazil), Richard J. Brostowicz (Executive Director and Head of Brazil Quants, Banco Morgan Stanely, Brazil)
The Brazilian financial markets operate in a very different way to G7 markets. 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). This book provides a quantitative, applied gui...
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Full Text (via Springer) |
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| Main Authors: | , |
| Format: | eBook |
| Language: | English |
| Published: |
Houndmills, Basingstoke, Hampshire ; New York, NY :
Palgrave Macmillan,
2016.
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| Subjects: |
Table of Contents:
- 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.