Modeling Fixed Income Securities And Interest Rate Options
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Modeling Fixed Income Securities And Interest Rate Options
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Author : Robert A. Jarrow
language : en
Publisher: Stanford University Press
Release Date : 2002
Modeling Fixed Income Securities And Interest Rate Options written by Robert A. Jarrow and has been published by Stanford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Business & Economics categories.
This text seeks to teach the basics of fixed-income securities in a way that requires a minimum of prerequisites. Its approach - the Heath Jarrow Morton model - under which all other models are presented as special cases, aims to enhance understanding while avoiding repetition.
Interest Rate Risk Modeling
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Author : Sanjay K. Nawalkha
language : en
Publisher: John Wiley & Sons
Release Date : 2005-05-31
Interest Rate Risk Modeling written by Sanjay K. Nawalkha and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-05-31 with Business & Economics categories.
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Modeling Fixed Income Securities And Interest Rate Options
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Author : Robert Jarrow
language : en
Publisher: CRC Press
Release Date : 2019-09-17
Modeling Fixed Income Securities And Interest Rate Options written by Robert Jarrow and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-09-17 with Mathematics categories.
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 .
Interest Rate Markets
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Author : Siddhartha Jha
language : en
Publisher: John Wiley & Sons
Release Date : 2011-03-28
Interest Rate Markets written by Siddhartha Jha and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-28 with Business & Economics categories.
How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models
Fixed Income Securities
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Author : Bruce Tuckman
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-13
Fixed Income Securities written by Bruce Tuckman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-13 with Business & Economics categories.
Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates.
Fixed Income Securities And Derivatives Handbook
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Author : Moorad Choudhry
language : en
Publisher: John Wiley & Sons
Release Date : 2010-08-02
Fixed Income Securities And Derivatives Handbook written by Moorad Choudhry and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-08-02 with Business & Economics categories.
The definitive guide to fixed-come securities-revised to reflect today's dynamic financial environment The Second Edition of the Fixed-Income Securities and Derivatives Handbook offers a completely updated and revised look at an important area of today's financial world. In addition to providing an accessible description of the main elements of the debt market, concentrating on the instruments used and their applications, this edition takes into account the effect of the recent financial crisis on fixed income securities and derivatives. As timely as it is timeless, the Second Edition of the Fixed-Income Securities and Derivatives Handbook includes a wealth of new material on such topics as covered and convertible bonds, swaps, synthetic securitization, and bond portfolio management, as well as discussions regarding new regulatory twists and the evolving derivatives market. Offers a more detailed look at the basic principles of securitization and an updated chapter on collateralized debt obligations Covers bond mathematics, pricing and yield analytics, and term structure models Includes a new chapter on credit analysis and the different metrics used to measure bond-relative value Contains illustrative case studies and real-world examples of the topics touched upon throughout the book Written in a straightforward and accessible style, Moorad Choudhry's new book offers the ideal mix of practical tips and academic theory within this important field.
Fixed Income Modelling
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Author : Claus Munk
language : en
Publisher: Oxford University Press
Release Date : 2011-06-30
Fixed Income Modelling written by Claus Munk and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-30 with Business & Economics categories.
A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
Quantitative Modeling Of Derivative Securities
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Author : Peter Laurence
language : en
Publisher: CRC Press
Release Date : 2017-11-22
Quantitative Modeling Of Derivative Securities written by Peter Laurence and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-22 with Mathematics categories.
Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a ""financial engineering approach,"" the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice. More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.
Modeling Fixed Income Securities And Interest Rate Options
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Author : Robert A. Jarrow
language : en
Publisher:
Release Date : 2022
Modeling Fixed Income Securities And Interest Rate Options written by Robert A. Jarrow and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with BUSINESS & ECONOMICS categories.
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 "on the job," Jarrow is more concerned with presenting a coherent theoretical framework for understanding all basic models. His unified approach--the Heath Jarrow Morton model--under which all other models are presented as special cases, enhances understanding while avoiding repetition. The author's pricing model is widely used in today's 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 MATLAB's financial derivatives toolbox, with which users of the book can apply the theory presented in each chapter.
Modelling Fixed Income Securities And Interest Rate Options
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Author : Robert A. Jarrow
language : en
Publisher: McGraw-Hill Companies
Release Date : 1996
Modelling Fixed Income Securities And Interest Rate Options written by Robert A. Jarrow and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Business & Economics categories.
This text is designed for courses on fixed income securities at the MBA level and graduate level courses in finance. The goal of the text is to provide comprehensive coverage of fixed income instruments and models. A risk management perspective of option theory is presented throughout. The text adopts a non-institutional, binomial approach to fixed income securities based on option pricing technologies, providing cutting-edge theory and technique. While the book is based on the Heath-Jarrow-Morton (HJM) model of interest rate options, discussions also compare and contrast other related models such as the Hall-White model. In addition, traditional techniques of duration and convexity are discussed as these relate to the HJM model. Statistics and algebra are prerequisites.