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Swaps: A Second Look

In: Lecture Notes in Fixed Income Fundamentals

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  • Eliezer Z Prisman

Abstract

We have already been introduced to swaps in Chapter 1 where they were investigated in the framework of a one-period model. Here we take a second look at swaps in a more realistic multiperiod setting for which we have a continuum of states of nature in each period. This setting allows the investigation of one of the most common forms of swaps that could not been analyzed in Chapter 1. It will be followed by revisiting currency and equity swaps in a multiperiod setting. As before, the risk of default by the parties is ignored.

Suggested Citation

  • Eliezer Z Prisman, 2017. "Swaps: A Second Look," World Scientific Book Chapters, in: Lecture Notes in Fixed Income Fundamentals, chapter 6, pages 217-250, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813149779_0006
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    More about this item

    Keywords

    Fixed Income; Bond Markets; Term Structure of Interest Rates; Forwards; Bond Arbitrage;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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