Description
Book Synopsis
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 approachthe Heath Jarrow Morton modelunder 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
Table of ContentsI 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
