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Author Carreira, Marcos,
Title Brazilian derivatives and securities : pricing and risk management of FX and interest-rate portfolios for local and global markets / Marcos Carreira (Quantitative Finance Practitioner, Brazil), Richard J. Brostowicz (Executive Director and Head of Brazil Quants, Banco Morgan Stanely, Brazil).
Imprint Houndmills, Basingstoke, Hampshire ; New York, NY : Palgrave Macmillan, 2016.

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Author Carreira, Marcos,
Subject Foreign exchange market -- Brazil.
Derivative securities -- Brazil.
Investments -- Brazil.
Finance -- Brazil.
Alt Name Brostowicz, Richard J.,
Description 1 online resource (xxiv, 303 pages) : illustrations
Bibliography Note Includes bibliographical references (pages 298-299) and index.
Contents 1. Financial archaeology -- 2. We mean business -- 3. Interesting BRL Interest Rates -- 4. BRL Interest Rate Market and Credit Risk -- 5. A man with two clocks ... Foreign Exchange in Brazil -- 6. And the even more interesting USD onshore interest rates -- 7. Too many options? -- 8. The Mountain goes to ... Foreign Exchange Contracts offshore -- 9. Start from where? Constructing markets for FX Forwards, Futures, Onshore USD Interest Rates and Offshore instruments -- 10. Offshore IR Products based on CDI fixings -- 11. The Dual case -- US Libor onshore swaps -- 12. FX trading (Interest Rate and Fixing) Market and Credit Risk -- 13. A skewed perspective of the world: FX Options -- 14. Some cash is better than nothing -- what you need to know about cash products -- 15. Index of choice ... Inflation-Linked Products and Curves -- 16. Microstructure of the listed derivatives -- 17. Unlucky end: On the obsolescence of products and books.
Summary 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.
Note Print version record.
ISBN 9781137477279 (electronic bk.)
113747727X (electronic bk.)
OCLC # 956477810
Additional Format Print version: Carreira, Marcos. Brazilian derivatives and securities. Houndmills, Basingstoke, Hampshire ; New York, NY : Palgrave Macmillan, 2016 9781137477262 1137477261 (OCoLC)939532219

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