Modelling Fixed Income Securities and Interest Rate Options (McGraw-Hill Finance Guide Series)

Jarrow, Robert A.

ISBN 10: 0079122531 / ISBN 13: 9780079122537

Published by McGraw-Hill College, 1995

About this Item

Seller Inventory # BSM.142DS

Bibliographic Details

• Title: Modelling Fixed Income Securities and Interest Rate Options (McGraw-Hill Finance Guide Series)
• Publisher: McGraw-Hill College
• Publication Date: 1995
• Language: English
• ISBN 10: 0079122531
• ISBN 13: 9780079122537
• Binding: Hardcover
• Condition: very_good

About this title

Synopsis

This text is designed for courses on fixed income securities at the MBA level and graduate level courses in Finance. The goal of the text is to provide comprehensive coverage of fixed income instruments and models. A risk management perspective of option theory is presented throughout. The text adopts a non-institutional, binomial approach to fixed income securities based on option pricing technologies, providing cutting-edge theory and technique. While the book is based on the Heath-Jarrow-Morton (HJM) model of interest rate options, discussions also compare and contrast other related models such as the Hall-White model. In addition, traditional techniques of duration and convexity are discussed as these relate to the HJM model. Statistics and algebra are prerequisites.

From the Back Cover

Review of the First Edition
“Interest-rate risk management is generally perceived as one of the most technical areas in modern finance. The sheer number of different, rather cumbersome and somewhat abstract, models that exist to price and hedge interest-rate-sensitive claims, has intimidated all but the most determined academicians and practitioners. This unfortunate perception of the subject will be reversed for most who read Robert A. Jarrow’s new book . . . [in which] he has packaged his knowledge and insight into a form that anyone can understand. . . . It is a book targeted to the advanced MBA student, the Ph.D. student, and the technical Wall Street crowd. Each audience should be pleased with it. . . . It is the best book in the interest-rate pricing area.”—Journal of Finance
“The Second Edition is written in a style that makes it invaluable to a wide audience. For the specialist, it provides a clear and concise discussion of virtually every aspect of fixed income modeling—from model construction through to implementation and estimation. For the newcomer, it provides a 'from the ground up' approach with an introduction to traded securities, theory, modeling and application."—Andrew Jeffrey, Yale School of Management