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

Jarrow, Robert A.

Hardcover

ISBN 10: 0079122531 ISBN 13: 9780079122537

Publisher: McGraw-Hill Inc.,US, 1996

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.

About this title

Review

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)

"One feature of the revised edition that I find particularly appealing to instructors and students is that each chapter starts with an example demonstrating the new concepts in the chapter. This is very useful for MBA students. The revision is carefully written and well organized, with an emphasis on risk management." (Zsuzsanna Fluck, Department of Finance, Eli Broad Graduate School of Management Michigan State University)

"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)

About the Author

Robert Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the Johnson Graduate School of Management, Cornell University. He is also a managing director and the director of research at Kamakura Corporation. He was the 1997 IAFE/SunGard Financial Engineer of the year. He is a graduate of Duke University, Dartmouth College and the Massachusetts Institute of Technology, and an IAFE Senior Fellow. Professor Jarrow is renowned for his pioneering work on the Heath-Jarrow-Morton model for pricing interest rate derivatives and on the Jarrow-Turnbull model for pricing credit risk. His current research interests include the pricing of exotic interest rate options and credit derivatives as well as investment management theory. His publications include four books―Options Pricing, Finance Theory, Modeling Fixed-Income Securities and Interest Rate Options (second edition), and Derivative Securities (second edition)―as well as more than eighty publications in leading finance and economic journals. Professor Jarrow is the managing editor of Mathematical Finance and a co-editor of The Journal of Derivatives. He is also an associate editor of the Review of Derivatives Research, Journal of Fixed Income, The Financial Review, The Journal of Risk, The International Journal of Bonds, and The Review of Futures Markets, and an advisory editor for Asia-Pacific Financial Markets. He serves on the boards of directors of several firms.

Edition details

• Publisher: McGraw-Hill Inc.,US
• Publication date: 1996
• Language: English
• ISBN 10: 0079122531
• ISBN 13: 9780079122537
• Binding: Hardcover
• Number of pages: 256