Modelling Fixed Income Securities and Interest Rate Options (2nd Edition)
Author: Robert A. Jarrow
List Price: $65.00
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ISBN: 0804744386
Publisher: Stanford Univ Pr (August, 2002)
Sales Rank: 92,966
Average Customer Rating: 4.22 out of 5
Customer Reviews
Rating: 3 out of 5
Incomplete
This book is at its best when explaining the theory. Jarrow provides lots of very explicit examples that really help to illuminate the ideas. Unfortunately, the reader is left to fend for himself when it comes to implementing the theory. The author simply breezes over how to estimate and calibrate these models. There is a rich--but abstruse--literature on how to apply HJM models. This book would be greatly improved if it covered this aspect of the topic with the same care and detail as is devoted to the theoretical segment of the book.
Rating: 5 out of 5
Excellent!
The book is very good, unquestionably. It provides you with a deep understanding of interest rate models and risk management. Mind you, you need to know the basics of bonds and fixed income contongent claims, before you try this book. The examples are apt, and explanations are succint, and easily understood. The mathematics involved can be mastered easily, and no arcane stuff (like measure-theoretic probability etc.) are used. So, the book will be accessible to MBA students too. This book has helped me understand the subject very well.
Rating: 5 out of 5
A Fundamental Resource
I head an interest rate swap desk after several years trading interest rate swaps. I refer to this excellent book when I need a quantitative brush up. Most of our challenges are on the fundamental principles, and Jarrow covers them very well. I'm a fan of Jarrow, and have several of his other works as well. Since I soon will also have responsibility for credit derivatives, I bought and recommend "Credit Derivatives" by Tavakoli. This book brought me up to speed on exotic options in this market as well as total return swaps and the various types of credit derivatives products. Many of my customers use interest rate exotics as well as these products. Similar Products
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