Modeling Fixed-Income Securities and Interest Rate Options

This book teaches 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, Jarrow is more concerned with presenting a coherent theoretical framework for understanding all basic models. His unified approachthe Heath Jarrow Morton modelunder which all other models are presented as special cases, enhances understanding while avoiding repetition. The authors pricing model is widely used in todays securities industry. In this revised edition, the author has added new chapters to enrich coverage, and has modified the order of chapters slightly to smooth the progression of material from simple to complex. Online material will be available with the text, replacing the diskette included in the first edition; lecture notes for instructors will be available on PowerPoint slides. MathWorks has provided a free online, limited version of the MATLABs financial derivatives toolbox, with which users of the book can apply the theory presented in each chapter.