3rd Edition

Modeling Fixed Income Securities and Interest Rate Options

By Robert Jarrow Copyright 2020
    384 Pages 66 B/W Illustrations
    by CRC Press

    384 Pages 66 B/W Illustrations
    by Chapman & Hall

    384 Pages 66 B/W Illustrations
    by Chapman & Hall

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    Modeling Fixed Income Securities and Interest Rate Options, Third Edition presents the basics of fixed-income securities in a way that, unlike competitive texts, requires a minimum of prerequisites. While other books focus heavily on institutional details of the bond market, all of which could easily be learned "on the job," the third edition of this classic textbook is more focused with presenting a coherent theoretical framework for understanding all basic models.

    The author’s unified approach—the Heath Jarrow Morton model—under which all other models are presented as special cases, enhances understanding of the material. The author’s pricing model is widely used in today’s securities industry. This new edition offers many updates to align with advances in the research and requires a minimum of prerequisites while presenting the basics of fixed-income securities.

    Highlights of the Third Edition

    1. Chapters 1-16 completely updated to align with advances in research

    2. Thoroughly eliminates out-of-date material while advancing the presentation

    3. Includes an ample amount of exercises and examples throughout the text which illustrate key concepts




    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




    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.