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Features of Modeling Fixed-Income Securities and Interest Rate Options: Second Edition
by Robert A. Jarrow

  • Written to be equally useful for both the specialist and the newcomer.
  • Includes an introduction to traded securities, theory, modeling, and applications.
  • Takes the reader through the complete process of modelingâ*”from model construction to implementation and modeling.
  • Provides a coherent theoretical framework for understanding all basic models through the Heath-Jarrow-Morton Model. This approach, widely used in the securities industry, treats all other models as special cases to enhance understanding and avoid repetition.
  • MBA lecture notes and MATLAB-based software for problem solution are available at
What's New in the Second Edition:
  • Each chapter now begins with examples to illustrate key concepts.
  • New chapters enrich coverage.
  • More user-friendly introduction of topics and organization of chapters.
  • Expanded explanations and discussions, real world examples, and analysis bring theory alive in the classroom.