Features of Modeling Fixed-Income Securities and Interest Rate Options:
by Robert A. Jarrow
Written to be equally useful for both the specialist and the
Includes an introduction to traded securities, theory, modeling, and
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 www.johnson.cornell.edu/faculty/jarrow.
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
Expanded explanations and discussions, real world examples, and
analysis bring theory alive in the classroom.