The Resource Modeling fixed-income securities and interest rate options, Robert A. Jarrow

Modeling fixed-income securities and interest rate options, Robert A. Jarrow

Label
Modeling fixed-income securities and interest rate options
Title
Modeling fixed-income securities and interest rate options
Statement of responsibility
Robert A. Jarrow
Creator
Subject
Language
eng
Cataloging source
DLC
http://library.link/vocab/creatorName
Jarrow, Robert A
Illustrations
illustrations
Index
index present
LC call number
HG4650
LC item number
.J37 2002
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Fixed-income securities
  • Valeurs mobilières à revenus fixes
  • Fixed-income securities
  • Portfolio-analyse
  • Opties
  • Termijnhandel
  • Rente
  • Effecten
  • Econometrische modellen
  • Festverzinsliches Wertpapier
  • Zinsoption
  • Ökonometrisches Modell
Label
Modeling fixed-income securities and interest rate options, Robert A. Jarrow
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • The Classical Approach
  • Motivation
  • Coupon Bonds
  • Bond's Yield, Duration, Modified Duration, and Convexity
  • Risk Management
  • Theory
  • The Term Structure of Interest Rates
  • The Economy
  • The Traded Securities
  • Interest Rates
  • Traded Securities
  • Forward Contracts
  • Futures Contracts
  • Option Contracts
  • The Evolution of the Term Structure of Interest Rates
  • Motivation
  • The One-Factor Economy
  • The Two-Factor Economy
  • Multiple-Factor Economies
  • Consistency with Equilibrium
  • The Expectations Hypothesis
  • Treasury Securities
  • Motivation
  • Present Value Form
  • Unbiased Forward Rate Form
  • Relation Between the Two Versions of the Expectations Hypothesis
  • Empirical Illustration
  • Trading Strategies, Arbitrage Opportunities, and Complete Markets
  • Motivation
  • Trading Strategies
  • Arbitrage Opportunities
  • Complete Markets
  • Treasury Security Markets
  • Bond Trading Strategies--An Example
  • Motivation
  • Method 1: Synthetic Construction
  • Method 2: Risk-Neutral Valuation
  • Bond Trading Strategies--Theory
  • Motivation
  • The One-Factor Economy
  • The Two-Factor Economy
  • Multiple-Factor Economies
  • Interest Rate Derivatives Valuation--Theory
  • Repo Markets
  • Motivation
  • The One-Factor Economy
  • The Two-Factor Economy
  • Multiple-Factor Economies
  • Applications
  • Coupon Bonds
  • Treasury Futures Markets
  • Interest Rate Derivatives on Treasuries
  • Eurodollar Spot, Forward, and Futures Markets
  • Interest Rate Derivatives on LIBOR
Dimensions
24 cm
Edition
2nd ed.
Extent
xvi, 349 pages
Isbn
9780804744386
Lccn
2002030454
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations
System control number
  • (OCoLC)50478916
  • (OCoLC)ocm50478916
Label
Modeling fixed-income securities and interest rate options, Robert A. Jarrow
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • The Classical Approach
  • Motivation
  • Coupon Bonds
  • Bond's Yield, Duration, Modified Duration, and Convexity
  • Risk Management
  • Theory
  • The Term Structure of Interest Rates
  • The Economy
  • The Traded Securities
  • Interest Rates
  • Traded Securities
  • Forward Contracts
  • Futures Contracts
  • Option Contracts
  • The Evolution of the Term Structure of Interest Rates
  • Motivation
  • The One-Factor Economy
  • The Two-Factor Economy
  • Multiple-Factor Economies
  • Consistency with Equilibrium
  • The Expectations Hypothesis
  • Treasury Securities
  • Motivation
  • Present Value Form
  • Unbiased Forward Rate Form
  • Relation Between the Two Versions of the Expectations Hypothesis
  • Empirical Illustration
  • Trading Strategies, Arbitrage Opportunities, and Complete Markets
  • Motivation
  • Trading Strategies
  • Arbitrage Opportunities
  • Complete Markets
  • Treasury Security Markets
  • Bond Trading Strategies--An Example
  • Motivation
  • Method 1: Synthetic Construction
  • Method 2: Risk-Neutral Valuation
  • Bond Trading Strategies--Theory
  • Motivation
  • The One-Factor Economy
  • The Two-Factor Economy
  • Multiple-Factor Economies
  • Interest Rate Derivatives Valuation--Theory
  • Repo Markets
  • Motivation
  • The One-Factor Economy
  • The Two-Factor Economy
  • Multiple-Factor Economies
  • Applications
  • Coupon Bonds
  • Treasury Futures Markets
  • Interest Rate Derivatives on Treasuries
  • Eurodollar Spot, Forward, and Futures Markets
  • Interest Rate Derivatives on LIBOR
Dimensions
24 cm
Edition
2nd ed.
Extent
xvi, 349 pages
Isbn
9780804744386
Lccn
2002030454
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations
System control number
  • (OCoLC)50478916
  • (OCoLC)ocm50478916

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