Customer Reviews

Modelling Fixed Income Securities and Interest Rate Options (2nd Edition)

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This book is a must for any financial engineer interested in learning the HMJ model of interest-rate instruments. The HMJ model is an arbitrage model based on the instaneous forward rates. The book starts with a brief introduction to fixed-income securities followed by a rigorous treatment of binomial trees. Claim replication is then addressed through trading strategies. The instruments treated are coupon bonds,forward,futures,options and exotics. I found useful to derive the mathematical statements as I was reading the book to acquaint myself with the notation and the mathematical concepts. The beauty of the model is worth the effort. It would have been nice to include a more thorough treatment of mortage-backed securities and derivatives subject to default. Other models ( Ho-Lee , Hull-White , Vasicek ) are also briely mentioned. The parameter estimation also deserved more space since a correct estimation is more important to pricing than a clever choice of the model. To conclude: a recommended introduction to HJM + additional readings will allow the financial engineer to grasp the fundamentals of the fixed-income universe.

This book will definitely replace all the books on interest rate modeling- Brigo Murcurio etc. The book starts at an elementary level, explains every details of the concept, and then develop the subject matter one needs to know to be a pro in interest rate modeling. Even the simple concepts like duration, convexity are clearly explained that many other books take pages, and even then not very clear. Buy it, Read it! After all you will be learning from a master! The clarity and the writing style are simply great! Good job Prof. Jarrow!

BTW: Neither Prof.Jarrow knows me nor I know him personally

This book is at its best when explaining the theory. Jarrow provides lots of very explicit examples that really help to illuminate the ideas. Unfortunately, the reader is left to fend for himself when it comes to implementing the theory. The author simply breezes over how to estimate and calibrate these models. There is a rich--but abstruse--literature on how to apply HJM models. This book would be greatly improved if it covered this aspect of the topic with the same care and detail as is devoted to the theoretical segment of the book.

Excellent job on the detail analysis of fixed income models, accessible to non-mathematician, no stochastic calculus involved. this book is more focused than Tuckman's book. this is absolutely more easy reading than all other fixed income model books out there. read this one, you will be on the way to "martingale methods in financial modelling". also recommend "fixed income analytics".

I had to read this book as complement for the course I took with Robert Jarrow at the Johnson School of Management. The book is difficult to understant for someone with few derivatives and fixed-income knowledge.The book explains how to price fixed-income derivatives based on the binomial pricing model, and the zero coupon bonds.

The book is very good, unquestionably. It provides you with a deep understanding of interest rate models and risk management. Mind you, you need to know the basics of bonds and fixed income contongent claims, before you try this book. The examples are apt, and explanations are succint, and easily understood. The mathematics involved can be mastered easily, and no arcane stuff (like measure-theoretic probability etc.) are used. So, the book will be accessible to MBA students too. This book has helped me understand the subject very well.

Difficult to read at first, even for someone with quantitative training, but well worth the effort. The software that is included with the book is a simplified model of what you would see on many interest rate option trading desks. I recommend that one read this book together with Interest-Rate Option Models by Riccardo Rebonato. A good investment for your time and effort.

Bob did an excellant job on Derivative Securities and a horrible job with this book. All the tree pictures packed with discount bond prices, rates and risk neutral prob just confuse people even more. Read Derivative Securities and you would understand how HJM works better.