Education
Massachusetts Institute of Technology Sloan School of Management. Duke University; Massachusetts Institute of Technology.
(This book teaches the basics of fixed-income securities i...)
This book teaches the basics of fixed-income securities in a way that, unlike competitive texts, requires a minimum of prerequisites. While other books focus heavily on institutional details of the bond market, all of which could easily be learned “on the job,” Jarrow is more concerned with presenting a coherent theoretical framework for understanding all basic models. His unified approach―the Heath Jarrow Morton model―under which all other models are presented as special cases, enhances understanding while avoiding repetition. The author’s pricing model is widely used in today’s securities industry. In this revised edition, the author has added new chapters to enrich coverage, and has modified the order of chapters slightly to smooth the progression of material from simple to complex. Online material will be available with the text, replacing the diskette included in the first edition; lecture notes for instructors will be available on PowerPoint slides. MathWorks has provided a free online, limited version of the MATLAB’s financial derivatives toolbox, with which users of the book can apply the theory presented in each chapter.
http://www.amazon.com/gp/product/0804744386/?tag=2022091-20
( The first real introductory text in derivatives. Writ...)
The first real introductory text in derivatives. Written by Robert Jarrow, one of the true titans of finance, and his former student Arkadev Chatterjea, Introduction to Derivatives is the first text developed from the ground up for students taking the introductory derivatives course. The math is presented at the right level and is always motivated by what’s happening in the financial markets. And, as one of the developers of the Heath-Jarrow-Morton Model, Robert Jarrow presents a novel, accessible way to understand this important topic.
http://www.amazon.com/gp/product/0393913074/?tag=2022091-20
Massachusetts Institute of Technology Sloan School of Management. Duke University; Massachusetts Institute of Technology.
Professor Jarrow is a co-creator of the Heath–Jarrow–Morton framework for pricing interest rate derivatives, a co-creator of the reduced form Jarrow–Turnbull cr risk models employed for pricing cr derivatives, and the creator of the forward price martingale measure. These tools and models are now the standards utilized for pricing and hedging in major investment and commercial banks. He is on the advisory board of Mathematical Finance – a journal he co-started in 1989.
He is also an associate or advisory editor for numerous other journals and serves on the board of directors of several firms and professional societies.
He is currently both an IAFE senior fellow and an Federal Deposit Insurance Corporation senior fellowship He has served as Managing Director for Research of Kamakura Corporation since 1995.
Professor Jarrow has been the recipient of numerous prizes and awards including the CBOE Pomerance Prize for Excellence in the Area of Options Research, the Graham and Dodd Scrolls Award, and the 1997 International Association of Financial Engineers IAFE/SunGard Financial Engineer of the Year Award. He is included in both the Fixed Income Analysts Society Hall of Fame and Risk Magazine’s 50 member Hall of Fame.
Publications include five books - Options Pricing, Finance Theory, Modeling Fixed Income Securities and Interest Rate Options (second edition), Derivative Securities (second edition), and And Introduction to Derivative Securities, Financial Markets, and Risk Management - as well as over 100 publications in leading finance and economic journals.
He graduated magna cum laude from Duke University in 1974 with a major in mathematics, received an Master of Business Administration from the Tuck School of Business at Dartmouth College in 1976 with highest distinction, and in 1979 he obtained a Doctor of Philosophy in finance from the Massachusetts Institute of Technology Sloan School of Management under Robert C. Merton.
(Accessible and intuitive, DERIVATIVE SECURITIES offers ad...)
(This book teaches the basics of fixed-income securities i...)
( Written entirely by the authors, the Solutions Manual p...)
( The first real introductory text in derivatives. Writ...)