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Title: Advanced Fixed-Income Valuation Tools by Narasimhan Jegadeesh, Bruce Tuckman ISBN: 0-471-25419-3 Publisher: John Wiley & Sons Pub. Date: 17 December, 1999 Format: Hardcover Volumes: 1 List Price(USD): $79.95 |
Average Customer Rating: 3 (1 review)
Rating: 3
Summary: A good introduction
Comment: It's basically a collection of dumbed-down review articles on modern fixed income. There's not as much in here on option pricing as I would have wished, and if you consider yourself a reasonable technical person who's seen any fixed income trading before, it's not going to be that helpful to you.
It's a nice SUMMARY of the literature available for those who don't have the time to read it all first-hand. Since my primary interest is more towards equity exotics, the book was more than satisfactory for me. I'd say the target audience is non-fixed income exotics traders, quants without much background in fixed income, and academics.
The best article in the book is probably the one written by Das. He's one of my favorite authors and his chapter in this book is no exception.
My main complaint is that many portions of the book INSIST on using econometric models and pricing kernels rather than the DiffEq framework. For that reason, I like Paul Wilmott's presentaion of the math a little better. I find myself constantly referring back to "Derivatives" and translating what the guys in this book are trying to say.
As with most books in the field, it is also very poor at describing the implementation of the models presented.
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Title: Modelling Fixed Income Securities and Interest Rate Options (2nd Edition) by Robert A. Jarrow ISBN: 0804744386 Publisher: Stanford Univ Pr Pub. Date: August, 2002 List Price(USD): $65.00 |
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Title: Fixed Income Securities: Tools for Today's Markets, Second Edition by Bruce Tuckman ISBN: 0471063177 Publisher: John Wiley & Sons Pub. Date: 16 August, 2002 List Price(USD): $69.95 |
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Title: Fixed-Income Securities : Dynamic Methods for Interest Rate Risk Pricing and Hedging by Lionel Martellini, Philippe Priaulet ISBN: 0471495026 Publisher: John Wiley & Sons Pub. Date: 16 January, 2001 List Price(USD): $95.00 |
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Title: Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond by Riccardo Rebonato ISBN: 0691089736 Publisher: Princeton Univ Pr Pub. Date: 04 November, 2002 List Price(USD): $80.00 |
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Title: Monte Carlo Methods in Financial Engineering (Applications of Mathematics, 53) by Paul Glasserman ISBN: 0387004513 Publisher: Springer Verlag Pub. Date: October, 2003 List Price(USD): $69.95 |
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