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...
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three part...
The Economic Foundations of Risk Management presents the theory, the practice, and applies this knowledge to provide a forensic analysis of some well-known risk management failures.
The Economic Foundations of Risk Management presents the theory, the practice, and applies this knowledge to provide a forensic analysis of some well-...
Modeling Fixed Income Securities and Interest Rate Options offers several new updates. The new edition of the classic textbook presents the basics of fixed-income securities. It requires a minimum of prerequisites. The author presents a coherent theoretical framework for understanding all basic models.
Modeling Fixed Income Securities and Interest Rate Options offers several new updates. The new edition of the classic textbook presents the basics of ...
