Modeling Fixed-Income Securities and Interest Rate Options : Second Edition / Robert A. Jarrow.

Format:

Book

Author/Creator:

Jarrow, Robert A., Author.

Language:

English

Physical Description:

1 online resource (368 p.)

Place of Publication:

Stanford, CA : Stanford University Press, [2022]

Language Note:

In English.

Summary:

This book teaches 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,” Jarrow is more concerned with presenting a coherent theoretical framework for understanding all basic models. His unified approach—the Heath Jarrow Morton model—under which all other models are presented as special cases, enhances understanding while avoiding repetition. The author’s pricing model is widely used in today’s securities industry. In this revised edition, the author has added new chapters to enrich coverage, and has modified the order of chapters slightly to smooth the progression of material from simple to complex. Online material will be available with the text, replacing the diskette included in the first edition; lecture notes for instructors will be available on PowerPoint slides. MathWorks has provided a free online, limited version of the MATLAB’s financial derivatives toolbox, with which users of the book can apply the theory presented in each chapter.

Contents:

Frontmatter

About the Author

Contents

Preface to the Second Edition

Prologue

PART I. Introduction

1. Traded Securities

2. The Classical Approach

PART II. Theory

3. The Term Structure of Interest Rates

4. The Evolution of the Term Structure of Interest Rates

5. The Expectations Hypothesis

6. Trading Strategies, Arbitrage Opportunities, and Complete Markets

7. Bond Trading Strategies-An Example

8. Bond Trading Strategies-Theory

9. Interest Rate Derivatives Valuation-Theory

PART III. Applications

10. Coupon Bonds

11. Options on Bonds

12. Forwards and Futures

13. Swaps, Caps, Floors, and Swaptions

14. Interest Rate Exotics

PART IV. Implementations

15. Continuous-Time Limits

16. Parameter Estimation

17. Spot Rate Models

18. Extensions

Index

Notes:

Description based on online resource; title from PDF title page (publisher's Web site, viewed 31. Jan 2022)

ISBN:

1-5036-1998-2

OCLC:

1294426815