Modeling Fixed Income Securities and Interest Rate Options  book cover
3rd Edition

Modeling Fixed Income Securities and Interest Rate Options

ISBN 9781138360990
Published September 30, 2019 by Chapman and Hall/CRC
384 Pages 66 B/W Illustrations

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Book Description


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 Thoroughly eliminates out-of-date material while advancing the presentation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


Table of Contents



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



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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.