Modeling Fixed-Income Securities and Interest Rate Options

Review of the First Edition"Interest-rate risk management is generally perceived as one of the most technical areas in modern finance. The sheer number of different, rather cumbersome and somewhat abstract, models that exist to price and hedge interest-rate-sensitive claims, has intimidated all but the most determined academicians and practitioners. This unfortunate perception of the subject will be reversed for most who read Robert A. Jarrow's new book . . . [in which] he has packaged his knowledge and insight into a form that anyone can understand. . . . It is a book targeted to the advanced MBA student, the Ph.D. student, and the technical Wall Street crowd. Each audience should be pleased with it. . . . It is the best book in the interest-rate pricing area."--Journal of Finance"The Second Edition is written in a style that makes it invaluable to a wide audience. For the specialist, it provides a clear and concise discussion of virtually every aspect of fixed income modeling--from model construction through to implementation and estimation. For the newcomer, it provides a 'from the ground up' approach with an introduction to traded securities, theory, modeling and application."--Andrew Jeffrey, Yale School of Management