Accessible and intuitive, DERIVATIVE SECURITIES offers advanced undergraduates, MBA students, and executives the theory and the practical tools needed to price and hedge derivatives in the professional marketplace. Written by two of the foremost experts in the world,it makes the theory and practice of pricing and hedging derivative securities accessible to mainstream students, in a simple and complete fashion, without "watering down" often deemed necessary.
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Book Description
Editorial Reviews
About the Author
Robert A. Jarrow holds the Ronald P. and Susan E. Lynch Professor of Investment Management chair at the S.C. Johnson Graduate School of Management at Cornell University. Professor Jarrow has written over 70 articles which have appeared in many publications including: The Journal of Financial Economics, The Journal of Finance, The Journal of Banking and Finance, Journal of Financial and Quantitative Analysis, Econometrica, and Mathematical Finance. In addition to co- writing DERIVATIVE SECURITIES, now in its second edition, with Stuart Turnbull, (South-Western College Publishing, 2000), Professor Jarrow has also co-authored OPTION PRICING with Andrew Rudd (Irwin, 1983), Finance Theory (Prentice-Hall, 1988), and Modelling Fixed Income Securities and Interest Rate Options (1996, McGraw Hill). Professor Jarrow also serves as co-editor of The Journal of Derivatives and is Associate Editor of The Journal of Risk, and The International Journal of Bonds. He is and has been involved with many other publications.
The recipient of numerous awards, including the 1997 IAFE/SunGard Financial Engineer of the Year, and the Mobil Oil Scholarship in 1993, Professor Jarrow serves on many prestigious boards and holds several directorships including: Advisory Board Member, Center for Financial Engineering, National University of Singapore; Board Directors, The American Finance Association; Co-Director, Cornell University's Certificate in Financial Engineering Program; and Advisory Member, Merrill Lynch Academic Advisory Council.
Professor Jarrow has also worked as a consultant for the United States Securities and Exchange Commission and the United States Attorney's office. He has consulted for Kamakura Corporation, Citicorp, Merrill Lynch, Bankers Trust, and other global corporations. Professor Jarrow received his B.A. degree from Duke University, his MBA from Dartmouth College's Amos Tuck School of Business, and his Ph.D. from Massachusetts Institute of Technology.
Stuart M. Turnbull is Vice President of Global Analytics, the Canadian Imperial Bank of Commerce. He is in charge of developing the next generation of credit and market risk management models.
Prior to joining the Bank, Turnbull was the Bank of Montreal Professor of Banking and Finance, Queen's University (Canada), and a Research Fellow, Institute for Policy Analysis (Toronto). He is a graduate of the Imperial College of Science and Technology (London) and the University of British Columbia. He is the author of OPTION VALUATION, and (with Robert A. Jarrow) DERIVATIVE SECURITIES. Widely known, he has published over 30 articles in major finance and economic journals, and in law and economics journals, as well as many articles in practitioner journals. He is co-author with Robert Jarrow of the J-T model of pricing credit derivatives, which is widely used by financial institutions. He has been a consultant to many financial institutions.
Stuart M. Turnbull is an associate editor of Mathematical Finance, the Journal of Financial Engineering, the International Journal of Theoretical and Applied Finance, and has served as an associate editor for the Journal of Finance.
The recipient of numerous awards, including the 1997 IAFE/SunGard Financial Engineer of the Year, and the Mobil Oil Scholarship in 1993, Professor Jarrow serves on many prestigious boards and holds several directorships including: Advisory Board Member, Center for Financial Engineering, National University of Singapore; Board Directors, The American Finance Association; Co-Director, Cornell University's Certificate in Financial Engineering Program; and Advisory Member, Merrill Lynch Academic Advisory Council.
Professor Jarrow has also worked as a consultant for the United States Securities and Exchange Commission and the United States Attorney's office. He has consulted for Kamakura Corporation, Citicorp, Merrill Lynch, Bankers Trust, and other global corporations. Professor Jarrow received his B.A. degree from Duke University, his MBA from Dartmouth College's Amos Tuck School of Business, and his Ph.D. from Massachusetts Institute of Technology.
Stuart M. Turnbull is Vice President of Global Analytics, the Canadian Imperial Bank of Commerce. He is in charge of developing the next generation of credit and market risk management models.
Prior to joining the Bank, Turnbull was the Bank of Montreal Professor of Banking and Finance, Queen's University (Canada), and a Research Fellow, Institute for Policy Analysis (Toronto). He is a graduate of the Imperial College of Science and Technology (London) and the University of British Columbia. He is the author of OPTION VALUATION, and (with Robert A. Jarrow) DERIVATIVE SECURITIES. Widely known, he has published over 30 articles in major finance and economic journals, and in law and economics journals, as well as many articles in practitioner journals. He is co-author with Robert Jarrow of the J-T model of pricing credit derivatives, which is widely used by financial institutions. He has been a consultant to many financial institutions.
Stuart M. Turnbull is an associate editor of Mathematical Finance, the Journal of Financial Engineering, the International Journal of Theoretical and Applied Finance, and has served as an associate editor for the Journal of Finance.
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Most Helpful Customer Reviews
10 of 10 people found the following review helpful:
4.0 out of 5 stars
Excellent introduction to the subject,
By
This review is from: Derivative Securities (Hardcover)
The book by Jarrow and Turnbull serves three important purposes- it gives a solid introduction to derivatives, does not complicate matters with complex mathematical derivations and provides a cohesive reading material. Any person who wishes to embark on the subject of derivatives, will benefit from reading this book. The subject has been treated at an elementary level, and so, people with modest mathematical skills would be able to master the book with minimal efforts. The negative aspect of the book is its incompleteness. There have been very little efforts to discuss the different types of options like straddles, butterfly options etc. Also, there is no Value at Risk in this book. From practicability considerations, the book would be rated low- it only serves as a foundation for other books. It is best to use it with some other book like Hull (which by itself is a nightmare). The problems at the end of the chapters are challenging and will stimulate the mature readers. From personal experience, this book has helped me a lot.
3 of 3 people found the following review helpful:
4.0 out of 5 stars
Excellent introdution for the mathematically mature reader!,
By A Customer
This review is from: Derivative Securities (Hardcover)
Readers with exposure to abstract mathematics will appreciate the care in which the authors develop each topic, from notations to derivations to examples. All results are obtained axiomatically. Readers who prefer careful derivations in which all results seem to follow intuitively will probably prefer John C. Hull.
7 of 17 people found the following review helpful:
5.0 out of 5 stars
A Classic in Finance and Risk Management,
By Don van Deventer (Honolulu) - See all my reviews
This review is from: Derivative Securities (Hardcover)
My colleague at Kamakura Corporation Robert Jarrow and Stewart Turnbull of Canadian Imperial Bank of Commerce have written what I consider the single most valuable financial theory and practice text in my library. Bob, who was the IAFE Financial Engineer of the Year in 1997, and Stewart go into tremendous depth in topics as diverse as term structure models, credit risk, options theory, numerical methods, vulnerable derivatives pricing and many others. The book is theoretically precise, practically useful, and presented in a very intuitive manner. It is filled with original insights and is much more than a survey of the state of the art--it establishes the state of the art.
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