Modeling fixed income securities and interest rate options

著者

• Jarrow, Robert A.

書誌事項

Modeling fixed income securities and interest rate options

Robert A. Jarrow

（Chapman & Hall/CRC financial mathematics series）

CRC Press, c2020

3rd ed

• : hardback

注記

"A Chapman & Hall book"

Includes bibliographical references and index

内容説明・目次

内容説明

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of the Third Edition Chapters 1-16 completely updated to align with advances in research Thoroughly eliminates out-of-date material while advancing the presentation Includes an ample amount of exercises and examples throughout the text which illustrate key concepts .

目次

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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詳細情報

• NII書誌ID(NCID): BB29491765
• ISBN:
  • 9781138360990
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Boca Laton, Fla.
• ページ数/冊数: xvi, 367 p.
• 大きさ: 25 cm
• 件名:
  • LCSH : Interest rate futures -- Econometric models
  • LCSH : Options (Finance) -- Econometric models
  • LCSH : Fixed-income securities -- Econometric models
  • LCSH : Interest rate futures -- Econometric models -- Software
  • LCSH : Options (Finance) -- Econometric models -- Software
  • LCSH : Fixed-income securities -- Econometric models -- Software
• 親書誌ID:
  • BA59871917