Modelling Fixed Income Securities and Interest Rate Options (2nd Edition)
- Binding: Hardcover
- Author: Robert A. Jarrow
- Publish Date: 2002-07-01
This book teaches 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 âon the job,â Jarrow is more concerned with presenting a coherent theoretical framework for understanding all basic models. His unified approachâthe Heath Jarrow Morton modelâunder which all other models are presented as special cases, enhances understanding while avoiding repetition. The authorâs pricing model is widely used in todayâs securities industry. In this revised edition, the author has added new chapters to enrich coverage, and has modified the order of chapters slightly to smooth the progression of material from simple to complex. Online material will be available with the text, replacing the diskette included in the first edition; lecture notes for instructors will be available on PowerPoint slides. MathWorks has provided a free online, limited version of the MATLABâs financial derivatives toolbox, with which users of the book can apply the theory presented in each chapter.