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.
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.
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.
Inhaltsangabe
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 Strategies-An Example Bond Trading Strategies-The Theory Contingent Claims Valuation-Theory 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
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 Strategies-An Example Bond Trading Strategies-The Theory Contingent Claims Valuation-Theory 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
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