Econometrics

Download An Introduction to Derivative Securities, Financial Markets, by Robert A. Jarrow PDF

By Robert A. Jarrow

The first genuine introductory textual content in derivatives.

Written by way of Robert Jarrow, one of many real titans of finance, and his former pupil Arkadev Chatterjea, Introduction to Derivatives is the 1st textual content constructed from the floor up for college students taking the introductory derivatives direction. the mathematics is gifted on the correct point and is often stimulated by way of what’s taking place within the monetary markets. And, as one of many builders of the Heath-Jarrow-Morton version, Robert Jarrow provides a singular, available method to comprehend this crucial subject.

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Additional resources for An Introduction to Derivative Securities, Financial Markets, and Risk Management

Example text

This created the Eurobond market that still continues to grow today. 3 Named after the Swedish inventor–industrialist Alfred Bernhard Nobel (1833–96). While working in Paris, Nobel came across the highly explosive liquid nitroglycerine. ” Dynamite made him very wealthy, and after his death, he left the bulk of his fortune to fund annual prizes in Physics, Chemistry, Physiology or Medicine, Literature, and Peace. org/nobel_prizes/economics/laureates/. 4 While celebrating its three hundredth anniversary in 1968, the Swedish central bank (Sveriges Riksbank) established the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel.

The target audience is as for the prior item. O Fixed-income securities and interest rate derivatives. This would be a modelsbased approach to teaching this material. Integrating ongoing research developments, Jarrow has been teaching such a course at Cornell University for over twenty years. For this, use chapters 1, 2, 4, 6, 9, and 15–26. This course can be taught to MBAs and more mathematically inclined upper level undergraduates. O Case-based courses. We have also recommended cases at the end of each chapter so that instructors can easily develop a case study–oriented derivatives course.

Sometimes airlines levy a fuel surcharge, but it is unpopular and often rolled back. Another option is to hedge such risks by using oil-price derivatives. Nonhedged Risks Despite the development of many sophisticated derivatives useful for hedging (and speculation), some risks are difficult, if not impossible, to hedge. For example, it is very hard to hedge operational risk. Recall that operational risk is the risk of a loss owing to events such as human error, fraud, or faulty management. Although a bank can buy insurance to protect itself from losses due to fire, no insurance company will insure a bank against the risk that a trader presses the wrong computer button and enters the wrong bond trade.

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