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
- Chapters 1-16 completely updated to align with advances in research
- Thoroughly eliminates out-of-date material while advancing the presentation
- Includes an ample amount of exercises and examples throughout the text which illustrate key concepts
Table of Contents
The Classical Approach
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
Options on Bonds
Forwards and Futures
Swaps, Caps, Floors and Swaptions
Interest Rate Exotics
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.