Derivative Securities - Hardcover

Jarrow, Robert; Turnbull, Stuart

Hardcover

ISBN 10: 0538862718 ISBN 13: 9780538862714

Publisher: South-Western College Publishing, 1996

Accessible and intuitive, Derivative Securities offers the practical tools needed to price and hedge derivatives in the professional marketplace. Written by two of the foremost derivative pricing experts in the world, this book makes the theory and practice of pricing and hedging derivative securities accessible without the "watering down" of the material often deemed necessary. Although two modeling paradigms are explored - the discrete time binomial practice model and the continuous time models of Black-Scholes and Heath-Jarrow-Morton - all relevant concepts are introduced using the discrete time model. Examples and problems are tied to the software, a fully functional option pricing calculator based on a commercial software package developed by the authors.

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About the Author:

Robert A. Jarrow holds the Ronald P. and Susan E. Lynch Professor of Investment Management chair at the S.C. Johnson Graduate School of Management at Cornell University. Professor Jarrow has written over 70 articles which have appeared in many publications including: The Journal of Financial Economics, The Journal of Finance, The Journal of Banking and Finance, Journal of Financial and Quantitative Analysis, Econometrica, and Mathematical Finance. In addition to co- writing DERIVATIVE SECURITIES, now in its second edition, with Stuart Turnbull, (South-Western College Publishing, 2000), Professor Jarrow has also co-authored OPTION PRICING with Andrew Rudd (Irwin, 1983), Finance Theory (Prentice-Hall, 1988), and Modelling Fixed Income Securities and Interest Rate Options (1996, McGraw Hill). Professor Jarrow also serves as co-editor of The Journal of Derivatives and is Associate Editor of The Journal of Risk, and The International Journal of Bonds. He is and has been involved with many other publications. The recipient of numerous awards, including the 1997 IAFE/SunGard Financial Engineer of the Year, and the Mobil Oil Scholarship in 1993, Professor Jarrow serves on many prestigious boards and holds several directorships including: Advisory Board Member, Center for Financial Engineering, National University of Singapore; Board Directors, The American Finance Association; Co-Director, Cornell University's Certificate in Financial Engineering Program; and Advisory Member, Merrill Lynch Academic Advisory Council. Professor Jarrow has also worked as a consultant for the United States Securities and Exchange Commission and the United States Attorney's office. He has consulted for Kamakura Corporation, Citicorp, Merrill Lynch, Bankers Trust, and other global corporations. Professor Jarrow received his B.A. degree from Duke University, his MBA from Dartmouth College's Amos Tuck School of Business, and his Ph.D. from Massachusetts Institute of Technology.

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