Opis: Brazilian Derivatives and Securities - Marcos Carreira, Richard Brostowicz

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. 'The book brings to the widely traded Brazilian derivatives an intelligent analysis, that includes the latest developments in pricing - such as the choice of collateral and numeraire currency - as well as a variety of operational considerations. A 'must-read' for a number of actors.' -Helyette Geman, Professor of Mathematical Finance, Birkbeck, University of London & Johns Hopkins University "It is interesting to witness publication of a volume on Brazilian derivatives and securities more generally. The book is interesting not only for the emphasis on Brazilian markets. Discussion of often overlooked details on valuation and on curves makes it an interesting read for a potential broad audience. It is written in an engaging style while reporting relevant information and analysis, thanks also to the passionate approach of the authors.' -Professor Damiano Brigo, Chair in Mathematical Finance and Stochastic Analysis, Imperial College London 'This interesting and innovative book contains everything you need to know about doing quantitative finance in Brazil, where markets, products and rates behave very differently. It expertly tackles modeling problems unheard of in developed markets, and will be useful to anyone building financial models in non-G7 markets.' -Emanuel Derman, Author of My Life as a Quant and Models.Behaving.Badly 'This book describes the Brazilian market since its inception, presenting the main actors and forces that transformed the Brazil of Pres. Juscelino Kubitschek in 1960 to a market economy with some of the most liquid contracts in the world. The book motivates carefully the rationale behind the major exchange-traded derivatives and their operational aspects; it also covers extensively over-the-counter derivatives. It is the first book of its kind, giving the reader a complete perspective of Brazil's formidable derivatives markets. This is a 'must-read' for asset-managers, corporate treasurers, traders, investors and academics that are interested gaining knowledge on Brazilian derivatives markets.' -Marco Avellaneda, PhD, Professor of Mathematics, Courant Institute NYU; Managing Partner, Finance Concepts1. 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

Szczegóły: Brazilian Derivatives and Securities - Marcos Carreira, Richard Brostowicz

Tytuł: Brazilian Derivatives and Securities
Autor: Marcos Carreira, Richard Brostowicz
Wydawnictwo: Palgrave Macmillan
ISBN: 9781137477262
Rok wydania: 2016
Ilość stron: 327
Oprawa: Twarda
Waga: 0.45 kg

Recenzje: Brazilian Derivatives and Securities - Marcos Carreira, Richard Brostowicz