عنوان

Modeling Fixed Income Securities and Interest Rate Options /

شابک

0429432844

شابک

0429780192

شابک

0429780206

شابک

0429780214

شابک

9780429432842

شابک

9780429780196

شابک

9780429780202

شابک

9780429780219

شابک اشتباه

1138360996

شابک اشتباه

9781138360990

عنوان اصلي

Modeling Fixed Income Securities and Interest Rate Options /

نام عام مواد

[Book]

نام نخستين پديدآور

Robert A. Jarrow.

وضعيت ويراست

Third edition.

محل نشرو پخش و غیره

Boca Raton, FL :

نام ناشر، پخش کننده و غيره

CRC Press LLC,

تاریخ نشرو بخش و غیره

[2020]

نام خاص و کميت اثر

1 online resource (xvi, 367 pages) :

ساير جزييات

illustration

عنوان فروست

Chapman and Hall/CRC Financial Mathematics Series

متن يادداشت

11.1 The Coupon Bond as a Portfolio of Zero-Coupon Bonds

متن يادداشت

Cover; Half Title; Series Page; Title Page; Copyright Page; Dedication Page; Contents; Preface to the Third Edition; Section I Introduction; Chapter 1 Introduction; 1.1 The Approach; 1.2 Motivation; 1.3 The Methodology; 1.4 An Overview; References; Chapter 2 Traded Securities; 2.1 Treasury Securities; 2.2 Treasury Security Markets; 2.3 Repo Markets; 2.4 Treasury Futures Markets; 2.5 Interest Rate Derivatives on Treasuries; 2.6 Eurodollar Spot, Forward, and Futures Markets; 2.7 Interest Rate Derivatives on LIBOR; References; Chapter 3 The Classical Approach; 3.1 Motivation; 3.2 Coupon Bonds

متن يادداشت

3.3 The Bond's Yield, Duration, Modified Duration, and Convexity3.4 Risk Management; Reference; Section II Theory; Chapter 4 The Term Structure of Interest Rates; 4.1 The Economy; 4.2 The Traded Securities; 4.3 Interest Rates; 4.4 Forward Prices; 4.5 Futures Prices; 4.6 Option Contracts; 4.6.1 Definitions; 4.6.2 Payoff Diagrams; 4.7 Summary; References; Chapter 5 The Evolution of the Term Structure of Interest Rates; 5.1 Motivation; 5.2 The One-Factor Economy; 5.2.1 The State Space Process; 5.2.2 The Bond Price Process; 5.2.3 The Forward Rate Process; 5.2.4 The Spot Rate Process

متن يادداشت

5.3 The Two-Factor Economy5.3.1 The State Space Process; 5.3.2 The Bond Price Process; 5.3.3 The Forward Rate Process; 5.3.4 The Spot Rate Process; 5.4 N ≥ 3-Factor Economies; 5.5 Consistency with Equilibrium; References; Chapter 6 The Expectations Hypothesis; 6.1 Motivation; 6.2 Present Value Form; 6.3 Unbiased Forward Rate Form; 6.4 Relation between the Two Versions of the Expectations Hypothesis; 6.5 Empirical Illustration; 6.5.1 Present Value Form; 6.5.2 Unbiased Forward Rate Form; References; Chapter 7 Trading Strategies, Arbitrage Opportunities, and Complete Markets; 7.1 Motivation

متن يادداشت

7.2 Trading Strategies7.3 Arbitrage Opportunities; 7.4 Complete Markets; Chapter 8 Bond Trading Strategies -- An Example; 8.1 Motivation; 8.2 Method 1: Synthetic Construction; 8.2.1 An Arbitrage-Free Evolution; 8.2.2 Complete Markets; 8.3 Method 2: Risk-Neutral Valuation; 8.3.1 Risk-Neutral Probabilities; 8.3.2 Risk-Neutral Valuation; 8.3.3 Exploiting an Arbitrage Opportunity; Chapter 9 Bond Trading Strategies -- The Theory; 9.1 The One-Factor Economy; 9.1.1 Complete Markets; 9.1.2 Risk-Neutral Probabilities; 9.1.3 Risk-Neutral Valuation; 9.1.4 Bond Trading Strategies

متن يادداشت

9.2 The Two-Factor Economy9.2.1 Complete Markets; 9.2.2 Risk-Neutral Probabilities; 9.2.3 Risk-Neutral Valuation; 9.2.4 Bond Trading Strategies; 9.3 Multiple Factor Economies; Appendix; References; Chapter 10 Contingent Claims Valuation -- Theory; 10.1 Motivation; 10.2 The One-Factor Economy; 10.2.1 Complete Markets; 10.2.2 Risk-Neutral Probabilities; 10.2.3 Risk-Neutral Valuation; 10.3 The Two-Factor Economy; 10.3.1 Complete Markets; 10.3.2 Risk-Neutral Probabilities; 10.3.3 Risk-Neutral Valuation; 10.4 Multiple Factor Economies; Appendix; Section III Applications; Chapter 11 Coupon Bonds

بدون عنوان

0

بدون عنوان

8

بدون عنوان

8

بدون عنوان

8

بدون عنوان

8

متن يادداشت

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.

منبع سفارش / آدرس اشتراک

Taylor & Francis

شماره انبار

9780429432842

عنوان

Modeling Fixed Income Securities and Interest Rate Options.

شماره استاندارد بين المللي کتاب و موسيقي

9781138360990

موضوع مستند نشده

Fixed-income securities.

موضوع مستند نشده

Fixed-income securities.

موضوع مستند نشده

MATHEMATICS-- Applied.

موضوع مستند نشده

MATHEMATICS-- General.

موضوع مستند نشده

MAT-- 000000

موضوع مستند نشده

MAT-- 003000

موضوع مستند نشده

PB

شماره

ويراست

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Jarrow, Robert A.

تاريخ عمليات

20200822111550.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y