Modeling Fixed Income Securities And Interest Rate Options
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Modeling Fixed-Income Securities and Interest Rate Options
Author: Robert A. Jarrow
language: en
Publisher: Stanford University Press
Release Date: 2002
This text seeks to teach the basics of fixed-income securities in a way that requires a minimum of prerequisites. Its approach - the Heath Jarrow Morton model - under which all other models are presented as special cases, aims to enhance understanding while avoiding repetition.
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of the Third Edition Chapters 1-16 completely updated to align with advances in research Thoroughly eliminates out-of-date material while advancing the presentation Includes an ample amount of exercises and examples throughout the text which illustrate key concepts .
Modeling Fixed-Income Securities and Interest Rate Options
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.