Robert Jarrow

Modeling Fixed Income Securities and Interest Rate Options (eBook, PDF)

• Format: PDF

Produktbeschreibung

Modeling Fixed Income Securities and Interest Rate Options offers several new updates. The new edition of the classic textbook presents the basics of fixed-income securities. It requires a minimum of prerequisites. The author presents a coherent theoretical framework for understanding all basic models.

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 384
• Erscheinungstermin: 17. September 2019
• Englisch
• ISBN-13: 9780429780219
• Artikelnr.: 57759045

Autorenporträt

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.

Inhaltsangabe

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

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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