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PRINTED BOOKS
Author Jarrow, Robert A.

Title Modelling fixed income securities and interest rate options / Robert A. Jarrow.

Published New York : McGraw-Hill, c1996.

Copies

Location Call No. Status
 UniM Giblin Eunson  332.6323 JARR  Book    AVAILABLE
Physical description xvi, 256 p. : ill. ; 24 cm. + 1 computer disk (3 1/2 in.).
PHYS DESC System requirements for accompanying computer disk: requires Windows 3.1 and an IBM 386 or above.
Series McGraw-Hill series in finance
Bibliography Includes bibliographical references and index.
Contents 1. Introduction -- 2. Traded Securities -- 3. The Term Structure of Interest Rates -- 4. The Evolution of the Term Structure of Interest Rates -- 5. Trading Strategies, Arbitrage Opportunities, and Complete Markets -- 6. Bond Trading Strategies -- 7. Contingent Claims Valuation - Theory -- 8. Coupon Bonds and Options -- 9. Forwards and Futures -- 10. Swaps, Caps, Floors, and Swaptions -- 11. Interest Rate Exotics -- 12. Continuous Time Limits -- 13. Parameter Estimation -- 14. Spot Rate Models -- 15. Extensions -- 16. Trees Software -- 17. The HJM Demonstration Software.
Subject Interest rate futures -- Econometric models.
Options (Finance) -- Econometric models.
Fixed-income securities -- Econometric models.
Interest rate futures -- Econometric models -- Software.
Options (Finance) -- Econometric models -- Software.
Fixed-income securities -- Econometric models -- Software.
ISBN 0079122531 (acid-free paper)