Modelling fixed income securities and interest rate options:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
McGraw-Hill
1996
|
| Schriftenreihe: | McGraw-Hill series in finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 256 S. Ill. Diskette (9 cm) |
| ISBN: | 0079122531 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV010898565 | ||
| 003 | DE-604 | ||
| 005 | 20000829 | ||
| 007 | t | ||
| 008 | 960813s1996 a||| |||| 00||| eng d | ||
| 020 | |a 0079122531 |9 0-07-912253-1 | ||
| 035 | |a (OCoLC)33047206 | ||
| 035 | |a (DE-599)BVBBV010898565 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-739 |a DE-703 |a DE-20 |a DE-91G |a DE-824 |a DE-11 | ||
| 050 | 0 | |a HG6024.5 | |
| 082 | 0 | |a 332.63/23 |2 20 | |
| 084 | |a QK 620 |0 (DE-625)141668: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 084 | |a MAT 902f |2 stub | ||
| 100 | 1 | |a Jarrow, Robert A. |d 1952- |e Verfasser |0 (DE-588)129325600 |4 aut | |
| 245 | 1 | 0 | |a Modelling fixed income securities and interest rate options |c Robert A. Jarrow |
| 264 | 1 | |a New York [u.a.] |b McGraw-Hill |c 1996 | |
| 300 | |a XVI, 256 S. |b Ill. |e Diskette (9 cm) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a McGraw-Hill series in finance | |
| 650 | 7 | |a Econometrische modellen |2 gtt | |
| 650 | 7 | |a Effecten |2 gtt | |
| 650 | 7 | |a Opties |2 gtt | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 7 | |a Rente |2 gtt | |
| 650 | 7 | |a Termijnhandel |2 gtt | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Fixed-income securities |x Econometric models | |
| 650 | 4 | |a Fixed-income securities |x Econometric models |v Software | |
| 650 | 4 | |a Interest rate futures |x Econometric models | |
| 650 | 4 | |a Interest rate futures |x Econometric models |v Software | |
| 650 | 4 | |a Options (Finance) |x Econometric models | |
| 650 | 4 | |a Options (Finance) |x Econometric models |v Software | |
| 650 | 0 | 7 | |a Diskette |0 (DE-588)4122115-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 1 | 1 | |a Diskette |0 (DE-588)4122115-1 |D s |
| 689 | 1 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007288653&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-007288653 | ||
Datensatz im Suchindex
| _version_ | 1804125389167001600 |
|---|---|
| adam_text | CONTENTS
Preface xiii
parti The Textbook
1 Introduction 1
A The Methodology 2
B An Overview 2
C References 3
2 Traded Securities 7
A Treasury Securities 7
B Treasury Security Markets 11
C Repo Markets 13
D Treasury Futures Markets 14
E Interest Rate Option Markets 15
F References 15
3 The Term Structure of Interest Rates 17
A The Economy 17
B The Traded Securities 18
C Interest Rates 18
D Forward Prices 23
E Futures Prices 23
F Summary 24
G Computer Example 25
H Exercises 26
I References 27
xi
xiv Contents
13 Parameter Estimation 206
A The Initial Forward Rate Curve 206
B Volatility Function Estimation 208
C Appendix: Mathematical Demonstration That
the Principal Components Decomposition Yields
Expression (13.7) 211
D References 213
14 Spot Rate Models 214
A Bond Pricing 214
B Contingent Claims Valuation 216
C Limit Economies 220
D References 221
15 Extensions 223
A Foreign Currency Derivatives 223
B Credit Derivatives and Counterparty Risk 224
C Commodity Derivatives 224
D References 225
part ii The Computer Software
16 Trees Software 229
A Model 229
B Claims 231
C Display 232
17 The HJM Demonstration Software 233
A An Introduction 233
B Bonds 241
C European Options 244
D American Options 246
E Swaps 247
F Caps and Floors 249
G Summary 250
Index 251
xii Contents
4 The Evolution of the Term Structure of Interest
Rates 28
A The One Factor Economy 29
B The Two Factor Economy 44
C N 3 Factor Economies 47
D Expectations Hypothesis 48
E Consistency with Equilibrium 52
F Computer Example 52
G Exercises 53
H References 53
5 Trading Strategies, Arbitrage Opportunities,
and Complete Markets 54
A Trading Strategies 54
B Arbitrage Opportunities 58
C Complete Markets 59
6 Bond Trading Strategies 62
A The One Factor Economy 62
B The Two Factor Economy 81
C N 3 Factor Economies 90
D Computer Exercises 90
E References 91
F Appendix 91
7 Contingent Claims Valuation—Theory 93
A The One Factor Economy 94
B The Two Factor Economy 99
C N 3 Factor Economies 101
D Appendix 101
8 Coupon Bonds and Options 103
A Coupon Bonds 104
B Traditional Risk Measures 113
C European Options on Zero Coupon Bonds 117
D American Options on Coupon Bonds 121
Contents xiii
E Call Provisions on Coupon Bonds 126
F Computer Exercises 129
G References 129
9 Forwards and Futures 130
A Forwards 130
B Futures 134
C Options on Futures 141
D Exchange Traded Treasury Futures Contracts 145
E Computer Exercises 145
F References 146
10 Swaps, Caps, Floors, and Swaptions 147
A Fixed Rate and Floating Rate Loans 147
B Interest Rate Swaps 150
C Interest Rate Caps 157
D Interest Rate Floors 161
E Swaptions 164
F Computer Exercises 166
G References 167
11 Interest Rate Exotics 168
A Simple Interest Rates 168
B Digital Options 169
C Range Notes 172
D Index Amortizing Swaps 176
E References 181
12 Continuous Time Limits 182
A One Factor Economy 185
B Two Factor Economy 196
C N 2= 3 Factor Economies 200
D Computational Issues 202
E Computer Exercises 204
F References 204
|
| any_adam_object | 1 |
| author | Jarrow, Robert A. 1952- |
| author_GND | (DE-588)129325600 |
| author_facet | Jarrow, Robert A. 1952- |
| author_role | aut |
| author_sort | Jarrow, Robert A. 1952- |
| author_variant | r a j ra raj |
| building | Verbundindex |
| bvnumber | BV010898565 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.5 |
| callnumber-search | HG6024.5 |
| callnumber-sort | HG 46024.5 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 SK 980 |
| classification_tum | MAT 902f |
| ctrlnum | (OCoLC)33047206 (DE-599)BVBBV010898565 |
| dewey-full | 332.63/23 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/23 |
| dewey-search | 332.63/23 |
| dewey-sort | 3332.63 223 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02224nam a2200577 c 4500</leader><controlfield tag="001">BV010898565</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20000829 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">960813s1996 a||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0079122531</subfield><subfield code="9">0-07-912253-1</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)33047206</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV010898565</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-739</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-20</subfield><subfield code="a">DE-91G</subfield><subfield code="a">DE-824</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG6024.5</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63/23</subfield><subfield code="2">20</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 620</subfield><subfield code="0">(DE-625)141668:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">MAT 902f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Jarrow, Robert A.</subfield><subfield code="d">1952-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)129325600</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Modelling fixed income securities and interest rate options</subfield><subfield code="c">Robert A. Jarrow</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York [u.a.]</subfield><subfield code="b">McGraw-Hill</subfield><subfield code="c">1996</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVI, 256 S.</subfield><subfield code="b">Ill.</subfield><subfield code="e">Diskette (9 cm)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">McGraw-Hill series in finance</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Econometrische modellen</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Effecten</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Opties</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Portfolio-analyse</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Rente</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Termijnhandel</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ökonometrisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Fixed-income securities</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Fixed-income securities</subfield><subfield code="x">Econometric models</subfield><subfield code="v">Software</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rate futures</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rate futures</subfield><subfield code="x">Econometric models</subfield><subfield code="v">Software</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Options (Finance)</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Options (Finance)</subfield><subfield code="x">Econometric models</subfield><subfield code="v">Software</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Diskette</subfield><subfield code="0">(DE-588)4122115-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Diskette</subfield><subfield code="0">(DE-588)4122115-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007288653&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-007288653</subfield></datafield></record></collection> |
| id | DE-604.BV010898565 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:00:47Z |
| institution | BVB |
| isbn | 0079122531 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007288653 |
| oclc_num | 33047206 |
| open_access_boolean | |
| owner | DE-739 DE-703 DE-20 DE-91G DE-BY-TUM DE-824 DE-11 |
| owner_facet | DE-739 DE-703 DE-20 DE-91G DE-BY-TUM DE-824 DE-11 |
| physical | XVI, 256 S. Ill. Diskette (9 cm) |
| publishDate | 1996 |
| publishDateSearch | 1996 |
| publishDateSort | 1996 |
| publisher | McGraw-Hill |
| record_format | marc |
| series2 | McGraw-Hill series in finance |
| spelling | Jarrow, Robert A. 1952- Verfasser (DE-588)129325600 aut Modelling fixed income securities and interest rate options Robert A. Jarrow New York [u.a.] McGraw-Hill 1996 XVI, 256 S. Ill. Diskette (9 cm) txt rdacontent n rdamedia nc rdacarrier McGraw-Hill series in finance Econometrische modellen gtt Effecten gtt Opties gtt Portfolio-analyse gtt Rente gtt Termijnhandel gtt Ökonometrisches Modell Fixed-income securities Econometric models Fixed-income securities Econometric models Software Interest rate futures Econometric models Interest rate futures Econometric models Software Options (Finance) Econometric models Options (Finance) Econometric models Software Diskette (DE-588)4122115-1 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s DE-604 Diskette (DE-588)4122115-1 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007288653&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Jarrow, Robert A. 1952- Modelling fixed income securities and interest rate options Econometrische modellen gtt Effecten gtt Opties gtt Portfolio-analyse gtt Rente gtt Termijnhandel gtt Ökonometrisches Modell Fixed-income securities Econometric models Fixed-income securities Econometric models Software Interest rate futures Econometric models Interest rate futures Econometric models Software Options (Finance) Econometric models Options (Finance) Econometric models Software Diskette (DE-588)4122115-1 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4122115-1 (DE-588)4017195-4 |
| title | Modelling fixed income securities and interest rate options |
| title_auth | Modelling fixed income securities and interest rate options |
| title_exact_search | Modelling fixed income securities and interest rate options |
| title_full | Modelling fixed income securities and interest rate options Robert A. Jarrow |
| title_fullStr | Modelling fixed income securities and interest rate options Robert A. Jarrow |
| title_full_unstemmed | Modelling fixed income securities and interest rate options Robert A. Jarrow |
| title_short | Modelling fixed income securities and interest rate options |
| title_sort | modelling fixed income securities and interest rate options |
| topic | Econometrische modellen gtt Effecten gtt Opties gtt Portfolio-analyse gtt Rente gtt Termijnhandel gtt Ökonometrisches Modell Fixed-income securities Econometric models Fixed-income securities Econometric models Software Interest rate futures Econometric models Interest rate futures Econometric models Software Options (Finance) Econometric models Options (Finance) Econometric models Software Diskette (DE-588)4122115-1 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Econometrische modellen Effecten Opties Portfolio-analyse Rente Termijnhandel Ökonometrisches Modell Fixed-income securities Econometric models Fixed-income securities Econometric models Software Interest rate futures Econometric models Interest rate futures Econometric models Software Options (Finance) Econometric models Options (Finance) Econometric models Software Diskette Finanzmathematik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007288653&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT jarrowroberta modellingfixedincomesecuritiesandinterestrateoptions |