Brazilian Derivatives and Securities: Pricing and Risk Management of FX and Interest-Rate Portfolios for Local and Global Markets

It explores the core industry investment banking business in detail, from FX to interest rates and cash and inflation. 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. The Brazilian financial markets operate in a very different way to G7 markets. It offers a comprehensive introduction to the key financial 'archaeology' in the Brazil context, exploring interest r

A 'must-read' for a number of actors.'-Helyette Geman, Professor of Mathematical Finance, Birkbeck, University of London & Johns Hopkins University"It is interesting to witness publication of a volume on Brazilian derivatives and securities more generally. Juscelino Kubitschek in 1960 to a market economy with some of the most liquid contracts in the world. It is the first book of its kind, giving the reader a complete perspective of Brazil's formidable derivatives markets. The book is interesting not only for the emphasis on Brazilian markets. Discussion of oftenoverlooked details on valuation and on curves makes it an interesting read for a potential broad audience. It expertly tackles modeling problems unheard of in developed markets, and will be useful to anyone building financial mo

Must-have book to understand the mysterious and elusive Brazilian derivatives products Excellent discussion of Brazilian financial products. The book was written by practitioners with extensive experience in pricing, trading and risk management of many innovative (sometimes intriguing and mysterious) derivatives traded in Brazil. The book addresses details that only hands-on practitioners can rigorously explain. Essential material to master the subtleties of Brazilian interest rates and currency derivatives. Du