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 authors unified approachthe Heath Jarrow Morton modelunder which all other models are presented as special cases, enhances understanding of the material. The authors pricing model is widely used in todays 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Chapters 1-16 completely updated to align with advances in research Thoroughly eliminates out-of-date material while advancing the presentation Includes an ample amount of exercises and examples throughout the text which illustrate key concepts
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Modeling Fixed Income Securities and Interest Rate Options offers several new updates. The new edition of the classic textbook presents the basics of fixed-income securities. It requires a minimum of prerequisites. The author presents a coherent theoretical framework for understanding all basic models.
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 StrategiesAn Example
Bond Trading StrategiesThe Theory
Contingent Claims ValuationTheory
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
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.
