Modelling Fixed Income Securities and Interest Rate Options - Couverture rigide

Jarrow, Robert A.

 
9780079122537: Modelling Fixed Income Securities and Interest Rate Options
Couverture rigide
ISBN 10 : 0079122531 ISBN 13 : 9780079122537
Editeur : McGraw-Hill Inc.,US, 1996

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
McGraw-Hill Inc.,US
Date d'édition
1996
Langue
anglais
ISBN 10 
0079122531
ISBN 13 
9780079122537
Reliure
Relié
Nombre de pages
256
Coordonnées du fabricant
non disponible
Personne responsable
non disponible

Autres éditions populaires du même titre

9780804744386: Modeling Fixed Income Securities and Interest Rate Options

Edition présentée

ISBN 10 :  0804744386 ISBN 13 :  9780804744386
Editeur : Stanford University Press, 2002
Couverture rigide