Jarrow R.A. Modeling Fixed-Income Securities and Interest Rate Options

3rd Edition. — 2020. — 385 p. — (Chapman and Hall/CRC Financial Mathematics Series). — ISBN13: 978-1-138-36099-0.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 Read more...Traded Securities
The Classical Approach
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
Applications
Coupon Bonds
Options on Bonds
Forwards and Futures
Swaps, Caps, Floors, and Swaptions
Interest Rate Exotics
Implementation/Estimation
Continuous-Time Limits
Parameter Estimation
Extensions