Modeling Fixed Income Securities and Interest Rate Options (Record no. 70600)
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| fixed length control field | 05977cam a2200553Mu 4500 |
| 001 - CONTROL NUMBER | |
| control field | 9780429432842 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20220531132317.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m d |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190921s2019 xx o 000 0 eng d |
| 040 ## - Cataloging Source | |
| -- | OCoLC-P |
| -- | eng |
| -- | OCoLC-P |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780429780219 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 0429780214 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780429432842 |
| -- | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 0429432844 |
| -- | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780429780202 |
| -- | (electronic bk. : EPUB) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 0429780206 |
| -- | (electronic bk. : EPUB) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780429780196 |
| -- | (electronic bk. : Mobipocket) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 0429780192 |
| -- | (electronic bk. : Mobipocket) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 1138360996 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9781138360990 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)1120690874 |
| Canceled/invalid control number | (OCoLC)1120150296 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC-P)1120690874 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG4650 |
| 072 #7 - | |
| -- | MAT |
| -- | 000000 |
| -- | bisacsh |
| 072 #7 - | |
| -- | MAT |
| -- | 003000 |
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| -- | PB |
| -- | bicssc |
| 082 04 - | |
| -- | 332.6323 |
| -- | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Jarrow, Robert A. |
| 245 10 - TITLE STATEMENT | |
| Title | Modeling Fixed Income Securities and Interest Rate Options |
| Medium | [electronic resource]. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc. | Milton : |
| Name of publisher, distributor, etc. | CRC Press LLC, |
| Date of publication, distribution, etc. | 2019. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (385 p.). |
| 490 1# - | |
| -- | Chapman and Hall/CRC Financial Mathematics Ser. |
| 500 ## - GENERAL NOTE | |
| General note | Description based upon print version of record. |
| 505 0# - | |
| -- | 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 |
| 505 8# - | |
| -- | 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 |
| 505 8# - | |
| -- | 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 e 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 |
| 505 8# - | |
| -- | 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 |
| 505 8# - | |
| -- | 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 |
| 500 ## - GENERAL NOTE | |
| General note | 11.1 The Coupon Bond as a Portfolio of Zero-Coupon Bonds |
| 520 ## - | |
| -- | 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 . |
| 588 ## - | |
| -- | OCLC-licensed vendor bibliographic record. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | MATHEMATICS / General |
| Source of heading or term | bisacsh |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | MATHEMATICS / Applied |
| Source of heading or term | bisacsh |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Fixed-income securities. |
| 856 40 - | |
| -- | Taylor & Francis |
| -- | https://www.taylorfrancis.com/books/9780429432842 |
| 856 42 - | |
| -- | OCLC metadata license agreement |
| -- | http://www.oclc.org/content/dam/oclc/forms/terms/vbrl-201703.pdf |
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