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10 Reviews
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8 of 8 people found the following review helpful
5.0 out of 5 stars HMJ model of interest-rate derivatives
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...
Published on February 9, 1998

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6 of 6 people found the following review helpful
3.0 out of 5 stars Incomplete
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...
Published on December 7, 2003


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8 of 8 people found the following review helpful
5.0 out of 5 stars HMJ model of interest-rate derivatives, February 9, 1998
By A Customer
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.
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7 of 7 people found the following review helpful
5.0 out of 5 stars At last a real well written Book on Interest Rate Modeling!, August 15, 2002
By 
KDutta (New York, New York) - See all my reviews
This review is from: Modelling Fixed Income Securities and Interest Rate Options (2nd Edition) (Hardcover)
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
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6 of 6 people found the following review helpful
3.0 out of 5 stars Incomplete, December 7, 2003
By A Customer
This review is from: Modelling Fixed Income Securities and Interest Rate Options (2nd Edition) (Hardcover)
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.
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4 of 4 people found the following review helpful
5.0 out of 5 stars required reading in fixed income, February 11, 2003
By 
"brcaapc" (san gabriel, ca USA) - See all my reviews
This review is from: Modelling Fixed Income Securities and Interest Rate Options (2nd Edition) (Hardcover)
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".
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7 of 9 people found the following review helpful
4.0 out of 5 stars It is a good book to get introduced to finacial engineering, March 26, 1998
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.
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2 of 2 people found the following review helpful
5.0 out of 5 stars Excellent!, September 26, 2003
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This review is from: Modelling Fixed Income Securities and Interest Rate Options (2nd Edition) (Hardcover)
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.
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1 of 1 people found the following review helpful
5.0 out of 5 stars An introduction to Heath Jarrow and Morton rate simulation, February 27, 2012
By 
Donald van Deventer (Honolulu, Hawaii United States) - See all my reviews
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This review is from: Modelling Fixed Income Securities and Interest Rate Options (2nd Edition) (Hardcover)
The Heath Jarrow and Morton model is key to accurate and "sensible" interest rate simulation as part of over all enterprise risk management. Data from the US Treasury market over the last 50 years shows clearly that there are 6-10 factors driving interest rates, yet many risk managers are using legacy risk systems that simulate interest rate movements based on one factor alone--implying that all rates move up or down together. This is true in the U.S. market only 6% of the time in the last 50 years. Bob Jarrow's book shows in a very practical way how to model random interest rate movements in a way that is both accurate (i.e. driven by multiple factors) and sensible (no arbitrage possible). A brute force monte carlo simulation of interest rates would not be accurate in most cases because as Jarrow shows once you know the volatility of interest rates and zero coupon bond prices, the mean of the monte carlo is completely determined. This is because of the "no arbitrage" constraints. After 35 years in risk management, I found this book to be extraordinarily useful. I recommend that one work carefully through the examples starting in chapter 4 of the HJM "bushy tree" for 1, 2, and 3 factors. Chapter 15 contains the key formulas on "how to do it," particularly equations 15.17 and 15.19 (which are equivalent in meaning). The entire book is Excel friendly and using spreadsheets to confirm the calculations is a very useful aid to understanding.
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2 of 3 people found the following review helpful
5.0 out of 5 stars A good investment, December 10, 1998
By A Customer
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.
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5.0 out of 5 stars Five Stars, November 26, 2014
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This review is from: Modelling Fixed Income Securities and Interest Rate Options (2nd Edition) (Hardcover)
I love Mr. Jarrow's writings, not only books but also papers. They are elegant and beautiful.
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5 of 15 people found the following review helpful
1.0 out of 5 stars Modelling Fixed Income Securities and Interest Rate Options, February 28, 2000
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.
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Modelling Fixed Income Securities and Interest Rate Options (2nd Edition)
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