Finance Theory

Business & Money

Robert A Jarrow

Economics

PRENTICE/HALL

Book by Jarrow, Robert A, Turnbull, Stuart M

Derivative Securities

Investing

South-Western Publishing

Over the Rainbow: Developments in Exotic Options and Complex Swaps

Not Avail

INTRODUCTION TO DERIVATIVE SECURITIES, FINANCIAL MARKETS, AND RISK MANAGEMENT, AN (SECOND EDITION)

Written by two of the most distinguished finance scholars in the industry, this introductory textbook on derivatives and risk management is highly accessible in terms of the concepts as well as the mathematics. 
 With its economics perspective, this rewritten and streamlined second edition textbook, is closely connected to real markets, and:
<ul>
<li>Shows how macroeconomic forces have shaped the markets</li> <li>Explains the major derivative pricing models using algebra and introductory calculus</li> <li>Shows students how to implement these models using basic statistics and elementary Excel spreadsheet skills</li> <li>Discusses the uses of derivatives while warning against their abuses</li> <li>Presents hard-to-teach interest rate derivatives in an intuitive manner</li> Presents the Heath Jarrow Morton model, which is the most advanced derivatives pricing model, in an accessible manner by presenting it side-by-side with classical option pricing theory </ul> Beginning at a level that is comfortable to lower division college students, the book gradually develops the content so that its lessons can be profitably used by business majors, arts, science, and engineering graduates as well as MBAs who would work in the finance industry. Supplementary materials are available to instructors who adopt this textbook for their courses. These include:<ul>
<li>Solutions Manual with detailed solutions to nearly 500 end-of-chapter questions and problems</li> <li>PowerPoint slides and a Test Bank for adopters</li> <li>PRICED! In line with current teaching trends, we have woven spreadsheet applications throughout the text. Our aim is for students to achieve self-sufficiency so that they can generate all the models and graphs in this book via a spreadsheet software, Priced!</li> </ul>
 Readership: Undergraduate and graduate students of economics, business, arts, science and engineering, and MBAs who would work in the finance industry.

Arkadev Chatterjea

World Scientific US

An Introduction to Derivative Securities, Financial Markets, and Risk Management (Third Edition)

Finance

World Scientific Publishing Company

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.

FINANCIAL DERIVATIVES PRICING: SELECTED WORKS OF ROBERT JARROW

World Scientific Pub Co Inc

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Books by Robert A Jarrow