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Brazilian Derivatives and Securities

Pricing and Risk Management of FX and Interest-Rate Portfolios for Local and Global Markets

  • Marcos C. S. Carreira
  • Richard J. Brostowicz

Table of contents

  1. Front Matter
    Pages i-xxiv
  2. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 1-39
  3. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 40-59
  4. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 60-86
  5. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 87-109
  6. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 110-119
  7. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 120-153
  8. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 154-199
  9. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 200-216
  10. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 222-233
  11. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 234-236
  12. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 237-245
  13. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 246-269
  14. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 270-275
  15. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 276-288
  16. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 289-296
  17. Marcos C. S. Carreira, Richard J. Brostowicz
    Pages 297-297
  18. Back Matter
    Pages 298-303

About this book

Introduction

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.

Keywords

Brazil financial archeology interest rates offshore onshore volatility zero curve pricing risk exposure inflation Bonds Corporate Bonds Credit Risk derivatives funding Futures liquidity management Option Pricing Options Portfolio risk management Swaps

Authors and affiliations

  • Marcos C. S. Carreira
    • 1
  • Richard J. Brostowicz
    • 2
  1. 1.Quantitative Finance PractitionerBrazil
  2. 2.Banco Morgan StanleyBrazil

Bibliographic information

  • DOI https://doi.org/10.1057/9781137477279
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2016
  • Publisher Name Palgrave Macmillan, London
  • eBook Packages Business and Management
  • Print ISBN 978-1-137-47726-2
  • Online ISBN 978-1-137-47727-9
  • Buy this book on publisher's site