Swaps: A Second Look

Eliezer Z Prisman

Chapter 6 in Lecture Notes in Fixed Income Fundamentals, 2017, pp 217-250 from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: Fixed Income; Bond Markets; Term Structure of Interest Rates; Forwards; Bond Arbitrage (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2017
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