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Book Cover
Book
Author Jarrow, Robert A.

Title Modelling fixed income securities and interest rate options / Robert A. Jarrow
Published New York : McGraw-Hill, [1996]
©1996

Copies

Location Call no. Vol. Availability
 W'PONDS  332.63 Jar/Mfi  AVAILABLE
Description xvi, 256 pages : illustrations ; 24 cm + 1 computer disk (3 1/2 in.)
Series McGraw-Hill series in finance
McGraw-Hill series in finance.
Contents 1. Introduction -- 2. Traded Securities -- 3. The Term Structure of Interest Rates -- 4. The Evolution of the Term Structure of Interest Rates -- 5. Trading Strategies, Arbitrage Opportunities, and Complete Markets -- 6. Bond Trading Strategies -- 7. Contingent Claims Valuation - Theory -- 8. Coupon Bonds and Options -- 9. Forwards and Futures -- 10. Swaps, Caps, Floors, and Swaptions -- 11. Interest Rate Exotics -- 12. Continuous Time Limits -- 13. Parameter Estimation -- 14. Spot Rate Models -- 15. Extensions -- 16. Trees Software -- 17. The HJM Demonstration Software
Notes Accompanying disk catalogued separately
Bibliography Includes bibliographical references and index
Notes System requirements for accompanying computer disk: requires Windows 3.1 and an IBM 386 or above
Subject Fixed-income securities -- Econometric models -- Computer-assisted instruction.
Fixed-income securities -- Econometric models -- Software.
Interest rate futures -- Econometric models -- Computer-assisted instruction.
Fixed-income securities -- Econometric models.
Interest rate futures -- Econometric models.
Interest rate futures -- Econometric models -- Software.
Options (Finance) -- Econometric models -- Software.
Options (Finance) -- Econometric models -- Computer-assisted instruction.
Options (Finance) -- Econometric models.
LC no. 95038518
ISBN 0079122531 (acid-free paper)