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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 inthese markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.
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 inthese markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.
Richard Brostowicz is an Executive Director and Head of Brazil Quants at Banco Morgan Stanley, Brazil. He has 8 yearsof experience as a quant in global markets, having worked previously at Credit Suisse, and 11 years in the Brazilian market. He studied at the University of Sao Paulo (USP) and is a lecturer for a MECAI Professional Masters course in Mathematical Finance at ICMC-USP.
1.1 Interest Rates and Inflation
1.2 Foreign Exchange
2 We mean business
2.1 Calendars
2.2 Interest Rate Fixings
2.3 Inflation Fixings
2.4 Foreign Exchange Fixings
2.5 The 3 Ts in FX option pricing: A more precise version of the Black Formula
3 Interesting BRL Interest Rates
3.1 3 months in the life of an IR Swap
3.2 3 months in the life of a DI Future
3.3 Explaining it all
3.4 A simple swap
3.5 A promising future The DI1 Future
3.6 My first numeraire A more mathematical framework for DI Futures (DI1)
> The Selic Futures (OC1)
3.8 Pricing BRL interest rate futures
3.9 Giving 110%
3.10 The CDI+ spread is a multiplicative spread
3.11 How to price the 3 possible BRL Fixed X Float payoffs?
4 BRL Interest Rate Market and Credit Risk
4.1 Historical Spreads
4.2 The term structure of volatility
4.3 Potential Exposures
4.4 Zero curve: and the winner is
4.5 Smooth Operator
4.6 Sensitivities
4.7 A framework for risk
4.8 Trading forwards
4.9 Risk and P&L attribution
5 A man with two clocks ... Foreign Exchange in Brazil
5.1 FX Spot
5.2 DOL
5.3 Forward points strategies
5.4 FX Future Crosses
6 And the even more interesting USD onshore interest rates
6.1 3 months in the life of a FX Swap
6.2 3 months in the life of a DDI Future
6.3 Explaining it all
> Why they were designed this way?
| Erscheinungsjahr: | 2016 |
|---|---|
| Fachbereich: | Wirtschaft International |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: |
xxiv
303 S. |
| ISBN-13: | 9781137477262 |
| ISBN-10: | 1137477261 |
| Sprache: | Englisch |
| Ausstattung / Beilage: | HC runder Rücken kaschiert |
| Einband: | Gebunden |
| Autor: |
Brostowicz Jr., Richard J.
Carreira, Marcos C. S. |
| Hersteller: |
Palgrave Macmillan
Palgrave Macmillan UK |
| Maße: | 241 x 160 x 24 mm |
| Von/Mit: | Richard J. Brostowicz Jr. (u. a.) |
| Erscheinungsdatum: | 20.01.2016 |
| Gewicht: | 0,658 kg |
Richard Brostowicz is an Executive Director and Head of Brazil Quants at Banco Morgan Stanley, Brazil. He has 8 yearsof experience as a quant in global markets, having worked previously at Credit Suisse, and 11 years in the Brazilian market. He studied at the University of Sao Paulo (USP) and is a lecturer for a MECAI Professional Masters course in Mathematical Finance at ICMC-USP.
1.1 Interest Rates and Inflation
1.2 Foreign Exchange
2 We mean business
2.1 Calendars
2.2 Interest Rate Fixings
2.3 Inflation Fixings
2.4 Foreign Exchange Fixings
2.5 The 3 Ts in FX option pricing: A more precise version of the Black Formula
3 Interesting BRL Interest Rates
3.1 3 months in the life of an IR Swap
3.2 3 months in the life of a DI Future
3.3 Explaining it all
3.4 A simple swap
3.5 A promising future The DI1 Future
3.6 My first numeraire A more mathematical framework for DI Futures (DI1)
> The Selic Futures (OC1)
3.8 Pricing BRL interest rate futures
3.9 Giving 110%
3.10 The CDI+ spread is a multiplicative spread
3.11 How to price the 3 possible BRL Fixed X Float payoffs?
4 BRL Interest Rate Market and Credit Risk
4.1 Historical Spreads
4.2 The term structure of volatility
4.3 Potential Exposures
4.4 Zero curve: and the winner is
4.5 Smooth Operator
4.6 Sensitivities
4.7 A framework for risk
4.8 Trading forwards
4.9 Risk and P&L attribution
5 A man with two clocks ... Foreign Exchange in Brazil
5.1 FX Spot
5.2 DOL
5.3 Forward points strategies
5.4 FX Future Crosses
6 And the even more interesting USD onshore interest rates
6.1 3 months in the life of a FX Swap
6.2 3 months in the life of a DDI Future
6.3 Explaining it all
> Why they were designed this way?
| Erscheinungsjahr: | 2016 |
|---|---|
| Fachbereich: | Wirtschaft International |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: |
xxiv
303 S. |
| ISBN-13: | 9781137477262 |
| ISBN-10: | 1137477261 |
| Sprache: | Englisch |
| Ausstattung / Beilage: | HC runder Rücken kaschiert |
| Einband: | Gebunden |
| Autor: |
Brostowicz Jr., Richard J.
Carreira, Marcos C. S. |
| Hersteller: |
Palgrave Macmillan
Palgrave Macmillan UK |
| Maße: | 241 x 160 x 24 mm |
| Von/Mit: | Richard J. Brostowicz Jr. (u. a.) |
| Erscheinungsdatum: | 20.01.2016 |
| Gewicht: | 0,658 kg |
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