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).
Carreira, Marcos, author.; Brostowicz, Richard J., author.
2016
HG3933 .C37 2016
Available Online

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Title
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).
Author
Carreira, Marcos, author.
ISBN
9781137477279 (electronic book)
113747727X (electronic book)
9781137477262
1137477261
1349554723
9781349554720
Published
Houndmills, Basingstoke, Hampshire ; New York, NY : Palgrave Macmillan, 2016.
Copyright
©2016
Language
English
Description
1 online resource (xxiv, 303 pages) : illustrations
Call Number
HG3933 .C37 2016
Dewey Decimal Classification
332.64/570981
Summary
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 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. It explores the core industry investment banking business in detail, from FX to interest rates and cash and inflation. Finally it introduces the region's unique financial instruments, as well as their pricing and risk management needs. 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.
Bibliography, etc. Note
Includes bibliographical references (pages 298-299) and index.
Access Note
Access limited to authorized users.
Source of Description
Description based on print version record.
Added Author
Brostowicz, Richard J., author.
Available in Other Form
Brazilian derivatives and securities.
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Online Access
Record Appears in
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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.

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