Modeling Fixed Income Securities and Interest Rate Options
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





  1. Chapters 1-16 completely updated to align with advances in research


  2. Thoroughly eliminates out-of-date material while advancing the presentation


  3. Includes an ample amount of exercises and examples throughout the text which illustrate key concepts

.

1103363822
Modeling Fixed Income Securities and Interest Rate Options
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





  1. Chapters 1-16 completely updated to align with advances in research


  2. Thoroughly eliminates out-of-date material while advancing the presentation


  3. Includes an ample amount of exercises and examples throughout the text which illustrate key concepts

.

62.99 In Stock
Modeling Fixed Income Securities and Interest Rate Options

Modeling Fixed Income Securities and Interest Rate Options

by Robert Jarrow
Modeling Fixed Income Securities and Interest Rate Options

Modeling Fixed Income Securities and Interest Rate Options

by Robert Jarrow

Overview

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





  1. Chapters 1-16 completely updated to align with advances in research


  2. Thoroughly eliminates out-of-date material while advancing the presentation


  3. Includes an ample amount of exercises and examples throughout the text which illustrate key concepts

.

Product Details

ISBN-13: 9781032475264
Publisher: CRC Press
Publication date: 01/21/2023
Series: Chapman and Hall/CRC Financial Mathematics Series
Edition description: 3rd ed.
Pages: 384
Product dimensions: 6.12(w) x 9.19(h) x (d)

About the Author

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.

Table of Contents

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

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