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Modeling fixed-income securities and interest rate options 2nd ed

Modeling fixed-income securities and interest rate options 2nd ed (7회 대출)

자료유형
단행본
개인저자
Jarrow, Robert A.
서명 / 저자사항
Modeling fixed-income securities and interest rate options / Robert A. Jarrow.
판사항
2nd ed.
발행사항
Stanford, Calif. :   Stanford University Press ,   2002.  
형태사항
xvi, 349 p. : ill. ; 24 cm.
ISBN
0804744386 (alk. paper) 9780804744386
서지주기
Includes bibliographical references and index.
일반주제명
Fixed-income securities.
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010 ▼a 2002030454
020 ▼a 0804744386 (alk. paper)
020 ▼a 9780804744386
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042 ▼a pcc
050 0 0 ▼a HG4650 ▼b .J37 2002
082 0 4 ▼a 332.6323 ▼2 22
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100 1 ▼a Jarrow, Robert A.
245 1 0 ▼a Modeling fixed-income securities and interest rate options / ▼c Robert A. Jarrow.
250 ▼a 2nd ed.
260 ▼a Stanford, Calif. : ▼b Stanford University Press , ▼c 2002.
300 ▼a xvi, 349 p. : ▼b ill. ; ▼c 24 cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Fixed-income securities.
740 0 ▼a Modelling fixed-income securities and interest rate options
945 ▼a KINS

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CONTENTS
Preface to the Second Edition = xv
Prologue = 1
 Approach = 1
 Motivation = 2
 Methodology = 6
 Overview = 8
 References = 9
PART Ⅰ Introduction
 1 Traded Securities = 13
  1.1 Treasury Securities = 13
  1.2 Treasury Security Markets = 17
  1.3 Repo Markets = 20
  1.4 Treasury Futures Markets = 21
  1.5 Interest Rate Derivatives on Treasuries = 22
  1.6 Eurodollar Spot, Forward, and Futures Markets = 23
  1.7 Interest Rate Derivatives on LIBOR = 24
  References = 24
 2 The Classical Approach = 25
  2.1 Motivation = 25
  2.2 Coupon Bonds = 25
  2.3 Bond's Yield, Duration, Modified Duration, and Convexity = 27
  2.4 Risk Management = 34
  Reference = 38
PART Ⅱ Theory
 3 The Term Structure of Interest Rates = 41
  3.1 The Economy = 41
  3.2 The Traded Securities = 42
  3.3 Interest Rates = 44
  3.4 Forward Contracts = 48
  3.5 Futures Contracts = 50
  3.6 Option Contracts = 52
  3.7 Summary = 55
  References = 56
 4 The Evolution of the Term Structure of Interest Rates = 57
  4.1 Motivation = 57
  4.2 The One-Factor Economy = 61
  4.3 The Two-Factor Economy = 80
  4.4 Multiple-Factor Economies = 83
  4.5 Consistency with Equilibrium = 83
  References = 84
 5 The Expectations Hypothesis = 85
  5.1 Motivation = 85
  5.2 Present Value Form = 86
  5.3 Unbiased Forward Rate Form = 90
  5.4 Relation Between the Two Versions of the Expectations Hypothesis = 93
  5.5 Empirical Illustration = 95
  References = 98
 6 Trading Strategies, Arbitrage Opportunities, and Complete Markets = 99
  6.1 Motivation = 99
  6.2 Trading Strategies = 100
  6.3 Arbitrage Opportunities = 108
  6.4 Complete Markets = 112
 7 Bond Trading Strategies - An Example = 117
  7.1 Motivation = 117
  7.2 Method 1 : Synthetic Construction = 118
  7.3 Method 2 : Risk-Neutral Valuation = 125
 8 Bond Trading Strategies - Theory = 132
  8.1 Motivation = 132
  8.2 The One-Factor Economy = 132
  8.3 The Two-Factor Economy = 144
  8.4 Multiple-Factor Economies = 154
  Appendix = 154
  References = 155
 9 Interest Rate Derivatives Valuation - Theory = 156
  9.1 Motivation = 156
  9.2 The One-Factor Economy = 157
  9.3 The Two-Factor Economy = 168
  9.4 Multiple-Factor Economies = 170
  Appendix = 171
PART Ⅲ Applications
 10 Coupon Bonds = 175
  10.1 The Coupon Bond as a Portfolio of Zero-Coupon Bonds = 176
  10.2 The Coupon Bond as a Dynamic Trading Strategy = 179
  10.3 Comparison of HJM Hedging Versus Duration Hedging = 185
 11 Options on Bonds = 188
  11.1 Distribution-Free Option Theory = 189
  11.2 European Options on Zero-Coupon Bonds = 194
  11.3 American Options on Coupon Bonds = 199
  11.4 Call Provisions on Coupon Bonds = 206
  References = 210
 12 Forwards and Futures = 211
  12.1 Forwards = 212
  12.2 Futures = 217
  12.3 The Relationship Between Forward and Futures Prices = 224
  12.4 Options on Futures = 226
  12.5 Exchange-Traded Treasury Futures Contracts = 230
  References = 230
 13 Swaps, Caps, Floors, and Swaptions = 231
  13.1 Fixed-Rate and Floating-Rate Loans = 232
  13.2 Interest Rate Swaps = 235
  13.3 Interest Rate Caps = 245
  13.4 Interest Rate Floors = 249
  13.5 Swaptions = 253
  References = 256
 14 Interest Rate Exotics = 257
  14.1 Simple Interest Rates = 257
  14.2 Digital Options = 258
  14.3 Range Notes = 262
  14.4 Index-Amortizing Swaps = 267
  References = 272
PART Ⅳ Implementations = 273
 15 Continuous-Time Limits = 275
  15.1 Motivation = 275
  15.2 The One-Factor Economy = 279
  15.3 The Two-Factor Economy = 293
  15.4 Multiple-Factor Economies = 296
  15.5 Computational Issues = 298
  References = 300
 16 Parameter Estimation = 302
  16.1 Coupon Bond Stripping = 302
  16.2 The Initial Forward Rate Curve = 304
  16.3 Volatility Function Estimation = 307
  16.4 Application to Coupon Bond Data = 310
  Appendix = 321
  References = 322
PART Ⅴ Extensions/Other
 17 Spot Rate Models = 327
  17.1 Bond Pricing = 327
  17.2 Contingent Claims Valuation = 331
  17.3 Limit Economies = 335
  References = 337
 18 Extensions = 338
  18.1 Foreign-Currency Derivatives = 338
  18.2 Credit Derivatives and Counterparty Risk = 339
  18.3 Commodity Derivatives = 339
  References = 340
Index = 341


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