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E-grāmata: Modeling Fixed Income Securities and Interest Rate Options

(Cornell University, USA)
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Modeling Fixed Income Securities and Interest Rate OptionsPalielināt
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Modelling Fixed Income Securities and Interest Rate Options, 3rd 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of the Third Edition:Chapters 1-16 completely updated to align with advances in researchThoroughly eliminates out-of-date material while advancing the presentationIncludes an ample amount of exercises and examples throughout the text which illustrate key conceptsAbout the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. .
Preface to the Third Edition xv
Section I Introduction
Chapter 1 Introduction
3(10)
1.1 The Approach
3(1)
1.2 Motivation
4(4)
1.3 The Methodology
8(2)
1.4 An Overview
10(2)
References
12(1)
Chapter 2 Traded Securities
13(10)
2.1 Treasury Securities
13(2)
2.2 Treasury Security Markets
15(2)
2.3 Repo Markets
17(1)
2.4 Treasury Futures Markets
18(1)
2.5 Interest Rate Derivatives on Treasuries
19(1)
2.6 Eurodollar Spot, Forward, and Futures Markets
20(1)
2.7 Interest Rate Derivatives on Libor
21(1)
References
21(2)
Chapter 3 The Classical Approach
23(18)
3.1 Motivation
23(1)
3.2 Coupon Bonds
23(3)
3.3 The Bond's Yield, Duration, Modified Duration, and Convexity
26(7)
3.4 Risk Management
33(5)
Reference
38(3)
Section II Theory
Chapter 4 The Term Structure of Interest Rates
41(16)
4.1 The Economy
42(1)
4.2 The Traded Securities
42(2)
4.3 Interest Rates
44(4)
4.4 Forward Prices
48(2)
4.5 Futures Prices
50(2)
4.6 Option Contracts
52(4)
4.6.1 Definitions
53(1)
4.6.2 Payoff Diagrams
53(3)
4.7 Summary
56(1)
References
56(1)
Chapter 5 The Evolution of the Term Structure of Interest Rates
57(28)
5.1 Motivation
57(4)
5.2 The One-Factor Economy
61(19)
5.2.1 The State Space Process
62(3)
5.2.2 The Bond Price Process
65(7)
5.2.3 The Forward Rate Process
72(6)
5.2.4 The Spot Rate Process
78(2)
5.3 The Two-Factor Economy
80(3)
5.3.1 The State Space Process
80(1)
5.3.2 The Bond Price Process
81(1)
5.3.3 The Forward Rate Process
82(1)
5.3.4 The Spot Rate Process
83(1)
5.4 3-Factor Economies
83(1)
5.5 Consistency With Equilibrium
83(1)
References
84(1)
Chapter 6 The Expectations Hypothesis
85(14)
6.1 Motivation
85(1)
6.2 Present Value Form
86(4)
6.3 Unbiased Forward Rate Form
90(4)
6.4 Relation Between the Two Versions of the Expectations Hypothesis
94(1)
6.5 Empirical Illustration
95(3)
6.5.1 Present Value Form
96(1)
6.5.2 Unbiased Forward Rate Form
97(1)
References
98(1)
Chapter 7 Trading Strategies, Arbitrage Opportunities, and Complete Markets
99(22)
7.1 Motivation
99(1)
7.2 Trading Strategies
100(10)
7.3 Arbitrage Opportunities
110(4)
7.4 Complete Markets
114(7)
Chapter 8 Bond Trading Strategies - An Example
121(16)
8.1 Motivation
121(1)
8.2 Method 1: Synthetic Construction
122(8)
8.2.1 An Arbitrage-Free Evolution
123(1)
8.2.2 Complete Markets
124(6)
8.3 Method 2: Risk-Neutral Valuation
130(7)
8.3.1 Risk-Neutral Probabilities
130(3)
8.3.2 Risk-Neutral Valuation
133(1)
8.3.3 Exploiting an Arbitrage Opportunity
134(3)
Chapter 9 Bond Trading Strategies - The Theory
137(30)
9.1 The One-Factor Economy
137(14)
9.1.1 Complete Markets
138(4)
9.1.2 Risk-Neutral Probabilities
142(4)
9.1.3 Risk-Neutral Valuation
146(4)
9.1.4 Bond Trading Strategies
150(1)
9.2 The Two-Factor Economy
151(12)
9.2.1 Complete Markets
151(5)
9.2.2 Risk-Neutral Probabilities
156(5)
9.2.3 Risk-Neutral Valuation
161(2)
9.2.4 Bond Trading Strategies
163(1)
9.3 Multiple Factor Economies
163(1)
Appendix
163(2)
References
165(2)
Chapter 10 Contingent Claims Valuation - Theory
167(22)
10.1 Motivation
167(1)
10.2 The One-Factor Economy
168(13)
10.2.1 Complete Markets
176(1)
10.2.2 Risk-Neutral Probabilities
176(5)
10.2.3 Risk-Neutral Valuation
181(1)
10.3 The Two-Factor Economy
181(3)
10.3.1 Complete Markets
182(1)
10.3.2 Risk-Neutral Probabilities
182(1)
10.3.3 Risk-Neutral Valuation
183(1)
10.4 Multiple Factor Economies
184(1)
Appendix
184(5)
Section III Applications
Chapter 11 Coupon Bonds
189(16)
11.1 The Coupon Bond as a Portfolio of Zero-Coupon Bonds
190(3)
11.2 The Coupon Bond as a Dynamic Trading Strategy
193(7)
11.3 Comparison of Hjm Hedging Versus Duration Hedging
200(5)
Chapter 12 Options on Bonds
205(26)
12.1 Distribution-Free Option Theory
206(5)
12.1.1 Call Options
206(3)
12.1.2 Put Options
209(1)
12.1.3 Put-Call Parity
210(1)
12.2 European Options on Zero-Coupon Bonds
211(6)
12.3 American Options on Coupon Bonds
217(8)
12.4 Call Provisions on Coupon Bonds
225(4)
References
229(2)
Chapter 13 Forwards and Futures
231(22)
13.1 Forwards
232(6)
13.2 Futures
238(6)
13.3 The Relationship Between Forward and Futures Prices
244(4)
13.4 Options on Futures
248(3)
13.5 Exchange-Traded Treasury Futures Contracts
251(1)
References
252(1)
Chapter 14 Swaps, Caps, Floors, and Swaptions
253(29)
14.1 Fixed-Rate and Floating-Rate Loans
254(4)
14.2 Interest Rate Swaps
258(10)
14.2.1 Swap Valuation
258(2)
14.2.2 The Swap Rate
260(4)
14.2.3 Synthetic Swaps
264(1)
14.2.3.1 Swap Construction Using FRAs
265(1)
14.2.3.2 Synthetic Swap Construction using a Dynamic Trading Strategy
266(2)
14.3 Interest Rate Caps
268(4)
14.4 Interest Rate Floors
272(5)
14.5 Swaptions
277(3)
References
280(2)
Chapter 15 Interest Rate Exotics
282(21)
15.1 Simple Interest Rates
281(2)
15.2 Digital Options
283(3)
15.3 Range Notes
286(6)
15.4 Index-Amortizing Swaps
292(7)
References
299(4)
Section IV Implementation/Estimation
Chapter 16 Continuous-Time Limits
303(30)
16.1 Motivation
303(4)
16.2 One-Factor Economy
307(16)
16.2.1 Arbitrage-Free Restrictions
310(5)
16.2.2 Computation of the Arbitrage-Free Term Structure Evolutions
315(4)
16.2.3 The Continuous-Time Limit
319(4)
16.3 Two-Factor Economy
323(5)
16.3.1 Arbitrage-Free Restrictions
325(1)
16.3.2 Computation of the Arbitrage-Free Term Structure Evolutions
326(2)
16.4 Multiple-Factor Economies
328(1)
16.5 Computational Issues
329(2)
16.5.1 Bushy Trees
329(1)
16.5.2 Lattices
330(1)
16.5.3 Monte Carlo Simulation
331(1)
References
331(2)
Chapter 17 Parameter Estimation
333(26)
17.1 Coupon Bond Stripping
333(3)
17.2 The Initial Forward Rate Curve
336(2)
17.3 Volatility Function Estimation
338(4)
17.3.1 Historic Volatilities
339(2)
17.3.2 Implicit Volatilities
341(1)
17.4 Application to Coupon Bond Data
342(12)
17.4.1 Coupon Bond Stripping and Forward Rate Estimation
343(2)
17.4.2 Volatility Function Estimation - Principal Components Analysis
345(4)
17.4.3 Volatility Function Estimation - A One-Factor Model with Exponentially Declining Volatility
349(5)
Appendix
354(3)
References
357(2)
Chapter 18 Extensions
359(4)
18.1 Foreign Currency Derivatives
359(1)
18.2 Credit Derivatives and Counterparty Risk
360(1)
18.3 Commodity Derivatives
361(1)
References
361(2)
Index 363
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.
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