Modeling the Term Structure of Interest Rates
Modeling the Term Structure of Interest Rates

Author: Rajna Gibson

Publisher: Now Publishers Inc

Published: 2010

Total Pages: 171

ISBN-13: 1601983727

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Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.

The Derivatives Sourcebook
The Derivatives Sourcebook

Author: Terence Lim

Publisher: Now Publishers Inc

Published: 2006

Total Pages: 225

ISBN-13: 1933019212

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The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.

Options, Futures, and Other Derivatives
Options, Futures, and Other Derivatives

Author: John Hull

Publisher: Pearson College Division

Published: 2012

Total Pages: 841

ISBN-13: 9780132164948

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For undergraduate and graduate courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management. Designed to bridge the gap between theory and practice, this highly successful book is the top seller among both the academic audience and derivative practitioners around the world.

Understanding And Managing Interest Rate Risks
Understanding And Managing Interest Rate Risks

Author: Ren-raw Chen

Publisher: World Scientific

Published: 1996-10-04

Total Pages: 173

ISBN-13: 9814498629

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The book is a systematic summary of modern term structure theories and how interest rate contingent claims are priced under such theories. This is the first book on such an attempt. The book reviews important term structure models and chooses one model to consistantly demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also provides a complete process of model implementation from parameter estimation to hedging. Examples are provided throughout.

Financial Derivatives Pricing: Selected Works Of Robert Jarrow
Financial Derivatives Pricing: Selected Works Of Robert Jarrow

Author: Robert A Jarrow

Publisher: World Scientific

Published: 2008-10-08

Total Pages: 609

ISBN-13: 9814470635

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This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.