"Modeling Fixed Income Securities and Interest Rate Options, Third Edition presents the basics of fixed-income securities in a way that, unlike competitive texts, requires a minimum of prerequisites. While other books focus heavily on institutional details of the bond market, all of which could easily be learned ""on the job,"" the third edition of this classic textbook is more focused with presenting a coherent theoretical framework for understanding all basic models.
The author’s unified approach—the Heath Jarrow Morton model—under which all other models are presented as special cases, enhances understanding of the material. The author’s pricing model is widely used in today’s securities industry. This new edition offers many updates to align with advances in the research and requires a minimum of prerequisites while presenting the basics of fixed-income securities.
Highlights of the Third Edition
Chapters 1-16 completely updated to align with advances in research
Thoroughly eliminates out-of-date material while advancing the presentation
Includes an ample amount of exercises and examples throughout the text which illustrate key concepts
."
By:
Robert Jarrow
Imprint: CRC Press
Country of Publication: United Kingdom
Edition: 3rd edition
Dimensions:
Height: 234mm,
Width: 156mm,
Weight: 714g
ISBN: 9781138360990
ISBN 10: 1138360996
Series: Chapman and Hall/CRC Financial Mathematics Series
Pages: 368
Publication Date: 30 September 2019
Audience:
College/higher education
,
Professional and scholarly
,
Further / Higher Education
,
Undergraduate
Format: Hardback
Publisher's Status: Active
I INTRODUCTION Introduction Traded Securities The Classical Approach II Theory The Term Structure of Interest Rates The Evolution of the Term Structure of Interest Rates The Expectations Hypothesis Trading Strategies, Arbitrage Opportunities, and Complete Markets Bond Trading Strategies—An Example Bond Trading Strategies—The Theory Contingent Claims Valuation—Theory III Applications Coupon Bonds Options on Bonds Forwards and Futures Swaps, Caps, Floors and Swaptions Interest Rate Exotics IV Implementation/Estimation Continuous-Time Limits Parameter Estimation Extensions Index
Robert A. Jarrow is a Ronald P. & Susan E. Lynch Professor of Investment Management and a Professor of Finance at the Johnson Graduate School of Management in Cornell University. He holds a Ph.D. in finance from the Massachusetts Institute of Technology and wrote for many journals and books, which include Finance Theory and The Economic Foundations of Risk Management.
