3rd Edition
Modeling Fixed Income Securities and Interest Rate Options
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
Biography
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.
