確定利付証券と金利オプションのモデリング(第2版)<br>Modeling Fixed Income Securities and Interest Rate Options (2 SUB)

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確定利付証券と金利オプションのモデリング(第2版)
Modeling Fixed Income Securities and Interest Rate Options (2 SUB)

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  • 製本 Hardcover:ハードカバー版/ページ数 349 p.
  • 言語 ENG,ENG
  • 商品コード 9780804744386
  • DDC分類 370

基本説明

A YBP Library Services Bestselling Professional Titles, 1st quarter 2003. While the book is based on the Heath-Jarrow-Morton (HJM) model of interest rate options, discussions also compare and contrast other related models such as the Hall-White model.

Full Description


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 approach-the Heath Jarrow Morton model-under which all other models are presented as special cases, enhances understanding while avoiding repetition. The author's pricing model is widely used in today's 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 MATLAB's financial derivatives toolbox, with which users of the book can apply the theory presented in each chapter.

Table of Contents

Preface to the Second Edition                      xv
Prologue 1 (1)
Approach 1 (1)
Motivation 2 (4)
Methodology 6 (2)
Overview 8 (1)
References 9 (4)
PART I Introduction
Traded Securities 13 (12)
Treasury Securities 13 (4)
Treasury Security Markets 17 (3)
Repo Markets 20 (1)
Treasury Futures Markets 21 (1)
Interest Rate Derivatives on Treasuries 22 (1)
Eurodollar Spot, Forward, and Futures 23 (1)
Markets
Interest Rate Derivatives on LIBOR 24 (1)
References 24 (1)
The Classical Approach 25 (16)
Motivation 25 (1)
Coupon Bonds 25 (2)
Bond's Yield, Duration, Modified Duration, 27 (7)
and Convexity
Risk Management 34 (7)
Reference 38 (3)
PART II Theory
The Term Structure of Interest Rates 41 (16)
The Economy 41 (1)
The Traded Securities 42 (2)
Interest Rates 44 (4)
Forward Contracts 48 (2)
Futures Contracts 50 (2)
Option Contracts 52 (3)
Summary 55 (2)
References 56 (1)
The Evolution of the Term Structure of 57 (28)
Interest Rates
Motivation 57 (4)
The One-Factor Economy 61 (19)
The Two-Factor Economy 80 (3)
Multiple-Factor Economies 83 (1)
Consistency with Equilibrium 83 (2)
References 84 (1)
The Expectations Hypothesis 85 (14)
Motivation 85 (1)
Present Value Form 86 (4)
Unbiased Forward Rate Form 90 (3)
Relation Between the Two Versions of the 93 (2)
Expectations Hypothesis
Empirical Illustration 95 (4)
Reference 98 (1)
Trading Strategies, Arbitrage Opportunities, 99 (18)
and Complete Markets
Motivation 99 (1)
Trading Strategies 100(8)
Arbitragies Opportunities 108(4)
Complete Markets 112(5)
Bond Trading Strategies---An Example 117(15)
Motivation 117(1)
Method 1: Synthetic Construction 118(7)
Method 2: Risk-Neutral Valuation 125(7)
Bond Trading Strategies---Theory 132(24)
Motivation 132(1)
The One-Factor Economy 132(12)
The Two-Factor Economy 144(10)
Multiple-Factor Economies 154(2)
Appendix 154(1)
References 155(1)
Interest Rate Derivatives Valuation---Theory 156(19)
Motivation 156(1)
The One-Factor Economy 157(11)
The Two-Factor Economy 168(2)
Multiple-Factor Economies 170(5)
Appendix 171(4)
PART III Applications
Coupon Bonds 175(13)
The Coupon Bond as a Portfolio of 176(3)
Zero-Coupon Bonds
The Coupon Bond as a Dynamic Trading 179(6)
Strategy
Comparison of HJM Hedging Versus Duration 185(3)
Hedging
Options on Bonds 188(23)
Distribution-Free Option Theory 189(5)
European Options on Zero-Coupon Bonds 194(5)
American Options on Coupon Bonds 199(7)
Call Provisions on Coupon Bonds 206(5)
References 210(1)
Forwards and Futures 211(20)
Forwards 212(5)
Futures 217(7)
The Relationship Between Forward and 224(2)
Futures Prices
Options on Futures 226(4)
Exchange-Traded Treasury Futures Contracts 230(1)
References 230(1)
Swaps, Caps, Floor, and Swaptions 231(26)
Fixed-Rate and Floating-Rate Loans 232(3)
Interest Rate Swaps 235(10)
Interest Rate Caps 245(4)
Interest Rate Floors 249(4)
Swaptions 253(4)
References 256(1)
Interest Rate Exotics 257(18)
Simple Interest Rates 257(1)
Digital Options 258(4)
Range Notes 262(5)
Index-Amortizing Swaps 267(8)
References 272(3)
PART IV Implementations
Continuous-Time Limits 275(27)
Motivation 275(4)
The One-Factor Economy 279(14)
The Two-Factor Economy 293(3)
Multiple-Factor Economies 296(2)
Computational Issues 298(4)
References 300(2)
Parameter Estimation 302(25)
Coupon Bond Striping 302(2)
The Initial Forward Rate Curve 304(3)
Volatility Function Estimation 307(3)
Application to Coupon Bond Data 310(17)
Appendix 321(1)
References 322(5)
PART V Extensions/Other
Spot Rate Models 327(11)
Bond Pricing 327(4)
Contingent Claims Valuation 331(4)
Limit Economies 335(3)
References 337(1)
Extensions 338(3)
Foreign-Currency Derivatives 338(1)
Credit Derivatives and Counterparty Risk 339(1)
Commodity Derivatives 339(2)
References 340(1)
Index 341