Modelling Fixed Income Securities and Interest Rate Options,Second Edition / Edition 2

Hardcover (Print)
Used and New from Other Sellers
Used and New from Other Sellers
from $20.95
Usually ships in 1-2 business days
(Save 71%)
Other sellers (Hardcover)
  • All (5) from $20.95   
  • New (3) from $47.85   
  • Used (2) from $20.95   

Overview


Review of the First Edition
“Interest-rate risk management is generally perceived as one of the most technical areas in modern finance. The sheer number of different, rather cumbersome and somewhat abstract, models that exist to price and hedge interest-rate-sensitive claims, has intimidated all but the most determined academicians and practitioners. This unfortunate perception of the subject will be reversed for most who read Robert A. Jarrow’s new book . . . [in which] he has packaged his knowledge and insight into a form that anyone can understand. . . . It is a book targeted to the advanced MBA student, the Ph.D. student, and the technical Wall Street crowd. Each audience should be pleased with it. . . . It is the best book in the interest-rate pricing area.”—Journal of Finance
“The Second Edition is written in a style that makes it invaluable to a wide audience. For the specialist, it provides a clear and concise discussion of virtually every aspect of fixed income modeling—from model construction through to implementation and estimation. For the newcomer, it provides a 'from the ground up' approach with an introduction to traded securities, theory, modeling and application."—Andrew Jeffrey, Yale School of Management
Read More Show Less

Editorial Reviews

From the Publisher

Review of the First Edition
"Interest-rate risk management is generally perceived as one of the most technical areas in modern finance. The sheer number of different, rather cumbersome and somewhat abstract, models that exist to price and hedge interest-rate-sensitive claims, has intimidated all but the most determined academicians and practitioners. This unfortunate perception of the subject will be reversed for most who read Robert A. Jarrow's new book . . . [in which] he has packaged his knowledge and insight into a form that anyone can understand. . . . It is a book targeted to the advanced MBA student, the Ph.D. student, and the technical Wall Street crowd. Each audience should be pleased with it. . . . It is the best book in the interest-rate pricing area."—Journal of Finance

"The Second Edition is written in a style that makes it invaluable to a wide audience. For the specialist, it provides a clear and concise discussion of virtually every aspect of fixed income modeling—from model construction through to implementation and estimation. For the newcomer, it provides a 'from the ground up' approach with an introduction to traded securities, theory, modeling and application."—Andrew Jeffrey, Yale School of Management

"One feature of the revised edition that I find particularly appealing to instructors and students is that each chapter starts with an example demonstrating the new concepts in the chapter. This is very useful for MBA students. The revision is carefully written and well organized, with an emphasis on risk management."—Zsuzsanna Fluck, Department of Finance, Eli Broad Graduate School of Management, Michigan State University

Booknews
Bringing a risk management approach to the study of fixed-income securities and interest rate options, this book applies a binomial option-pricing methodology to study the pricing and hedging of fixed- income securities and interest rate options. After introducing the basic background material, it describes the economic theory underlying the HJM model, applies that theory to specific applications, examines implementation and estimations issues, and considers extensions and rate models. Jarrow teaches investment management at Cornell University. Annotation c. Book News, Inc., Portland, OR (booknews.com)
Read More Show Less

Product Details

  • ISBN-13: 9780804744386
  • Publisher: Stanford University Press
  • Publication date: 7/28/2002
  • Edition description: 2
  • Edition number: 2
  • Pages: 368
  • Product dimensions: 6.13 (w) x 9.25 (h) x 0.80 (d)

Meet the Author


Robert Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the Johnson Graduate School of Management, Cornell University. He is also a managing director and the director of research at Kamakura Corporation. He was the 1997 IAFE/SunGard Financial Engineer of the year. He is a graduate of Duke University, Dartmouth College and the Massachusetts Institute of Technology, and an IAFE Senior Fellow. Professor Jarrow is renowned for his pioneering work on the Heath-Jarrow-Morton model for pricing interest rate derivatives and on the Jarrow-Turnbull model for pricing credit risk. His current research interests include the pricing of exotic interest rate options and credit derivatives as well as investment management theory. His publications include four books—Options Pricing, Finance Theory, Modeling Fixed-Income Securities and Interest Rate Options (second edition), and Derivative Securities (second edition)—as well as more than eighty publications in leading finance and economic journals. Professor Jarrow is the managing editor of Mathematical Finance and a co-editor of The Journal of Derivatives. He is also an associate editor of the Review of Derivatives Research, Journal of Fixed Income, The Financial Review, The Journal of Risk, The International Journal of Bonds, and The Review of Futures Markets, and an advisory editor for Asia-Pacific Financial Markets. He serves on the boards of directors of several firms.
Read More Show Less

Table of Contents

Preface to the Second Edition
Prologue 1
1 Traded Securities 13
2 The Classical Approach 25
3 The Term Structure of Interest Rates 41
4 The Evolution of the Term Structure of Interest Rates 57
5 The Expectations Hypothesis 85
6 Trading Strategies, Arbitrage Opportunities, and Complete Markets 99
7 Bond Trading Strategies - An Example 117
8 Bond Trading Strategies - Theory 132
9 Interest Rate Derivatives Valuation - Theory 156
10 Coupon Bonds 175
11 Options on Bonds 188
12 Forwards and Futures 211
13 Swaps, Caps, Floors, and Swaptions 231
14 Interest Rate Exotics 257
15 Continuous-Time Limits 275
16 Parameter Estimation 302
17 Spot Rate Models 327
18 Extensions 338
Index 341
Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)