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An Introduction to Derivative Securities, Financial Markets, and Risk Management 1st Edition

4.3 out of 5 stars 6 customer reviews
ISBN-13: 978-0393913071
ISBN-10: 0393913074
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Editorial Reviews

About the Author

Robert A. Jarrow is Chaired Professor of Finance at Cornell University. Professor Jarrow is among the most distinguished finance scholars of his generation. He is the co-developer of one of the most widely used pricing models in all of finance, the Heath-Jarrow-Morton (HJM) model for pricing interest-rate derivatives. He is the author of two advanced books, Modelling Fixed Income Securities and Interest Rate Options (McGraw, 1996) and Derivative Securities (with Stuart Turnbull, Southwestern, 2000).

Arka Chatterjea (Ph.D. Cornell) is a former student of Robert Jarrow’s and is currently a Research Fellow at the Center for Excellence in Investment Management at the Kenan-Flagler Business School at the University of North Carolina, Chapel Hill. He has taught the derivatives course at Cornell, UNC, University of Colorado at Boulder, and Indiana University, Bloomington.
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Product Details

  • Hardcover: 880 pages
  • Publisher: W. W. Norton & Company; 1 edition (February 14, 2013)
  • Language: English
  • ISBN-10: 0393913074
  • ISBN-13: 978-0393913071
  • Product Dimensions: 8.4 x 1.5 x 10.3 inches
  • Shipping Weight: 3.8 pounds (View shipping rates and policies)
  • Average Customer Review: 4.3 out of 5 stars  See all reviews (6 customer reviews)
  • Amazon Best Sellers Rank: #537,299 in Books (See Top 100 in Books)

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Top Customer Reviews

Format: Hardcover Verified Purchase
This is a superb book for many reasons but the most important one is it makes you think properly about Derivatives and Financial Markets.
Since Hull's book is considered as the "bible" in many business school, I would like to mention some characteristics that you have here and not in Hull's book, of course in my opinion:
1. The book is concise(despite being thick), gives lots of examples, including case studies and industry examples.
2. Covers firstly equity derivatives and then moves into interest rate derivatives (HJM), and who else to teach the HJM model better than it's creator Prof. Jarrow.
3. The book covers the usage of Models. We all know that BS is strongly rejected by Market Data, why do we still use it, then. In Hull's it says, well because that's what practice does. First time I read it from Hull, it didn't make sense to me. In this book it covers why the model can still be applied and in what cases (used as a statistical model), but don't hedge with it in the normal sense, since the theoretical model was rejected by market data.
4. Market manipulation is covered and what to do with the models if you believe market manipulation is present and how to see that
5. Price Bubbles. Prof. Jarrow has been doing research in the last 10 years about Price Bubbles and he talks about the validity and usage of models when you can see price bubbles in the market (see = advanced statistical tools of checking market assumptions)
Overall, I am very happy with this book, and I am glad I bought and it's on my book shelf.
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Format: Hardcover Verified Purchase
Overpriced as usual for the school textbook industry, but the book itself was easy to follow and understand
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By zango on October 8, 2014
Format: Hardcover Verified Purchase
Great book! Unfortunately professor never had us use it for my class. Lot's of info though!
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