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Bond pricing and the term structure of interest rates : a new methodology for contingent claims valuation

Heath, David C. - In: Econometrica : journal of the Econometric Society, an … 60 (1992) 1, pp. 77-105

Persistent link: https://www.econbiz.de/10001121808

Interest rate caps "smile" too! : but can the LIBOR market models capture the smile?

Jarrow, Robert A.; Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 345-382

Persistent link: https://www.econbiz.de/10003425910

Inflation-adjusted bonds, swaps, and derivatives

Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471

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Pricing interest rate options

Jarrow, Robert A. - In: Finance, (pp. 251-272). 1995

Persistent link: https://www.econbiz.de/10001318013

Contingent claim valuation with a random evolution of interest rates

Heath, David C. - In: Review of futures markets 9 (1990) 1, pp. 54-76

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Modeling fixed income securities and interest rate options

Jarrow, Robert A. - 2020 - Third edition

"The third edition of this popular textbook offers several new updates. The book presents the basics of fixed-income securities. It requires a minimum of prerequisites. The author presents a coherent theoretical framework for understanding all basic models. The author's pricing model is widely...