Brazilian Derivatives and Securities ― Pricing and Risk Management of Fx and Interest-rate Portfolios for Local and Global Markets

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.

Richard Brostowicz is an Executive Director and Head of Brazil Quants at Banco Morgan Stanley, Brazil. He has 8 years of 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.

Marcos Carreira is responsible for Traded Risk at HSBC Brazil . Previously he was first the Derivative Products Officer and later the Technical Modeling Officer at BM&FBovespa, with contributions on risk management, derivatives pricing, exchange fees, microstructure and HFT. At Credit Suisse Brazil, he was a Managing Director in charge of the FX and IR Options desk, after being the Risk Manager responsible for Market, Counterparty and Liquidity Risks. He started his career in Finance/Product Control at Banco de Investimentos Garantia. Mr Carreira holds an engineering degree from Instituto Tecnologico de Aeronautica (ITA), is part of the 2016 class of the Professional Masters in Economics at Insper. He has more than 20 years of experience in the Brazilian Capital Markets. Marcos lectures for the MECAI Professional Masters course in Mathematical Finance at ICMC-USP.