JOHNSON GRADUATE SCHOOL OF MANAGEMENT Cornell University
NBA555: Fixed Income Securities and Interest Rate Options Professor Robert Jarrow Tuesday, December 14, 2004 IN CLASS Final Examination Closed BookOne Page of Notes
NAME:
Answers
Note: To g

NAME:
JOHNSON GRADUATE SCHOOL OF MANAGEMENT
Cornell University
NBA555: Fixed Income Securities and Interest Rate Options
Professor Robert Jarrow
Monday, October 28, 2013
In Class
Midt

JOHNSON GRADUATE SCHOOL OF MANAGEMENT Cornell University
NBA555: Fixed Income Securities and Interest Rate Options Professor Robert Jarrow Friday, December 8, 2006 IN CLASS Final Examination Closed BookOne Page of Notes
NAME:
Answers
Note: To get

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
Understanding fixed income securities starts with
understanding interest rates. This chapter studies:
the different methods of comp

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
Understanding fixed income securities involves
understanding derivatives and risk management
models.
This lecture introduces derivat

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
The key economic concept used in pricing and
hedging fixed income securities is no-arbitrage.
!
An arbitrage opportunity is a chan

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
To understand fixed income securities with their
embedded options, one needs to understand
derivative securities.
!
The basic deri

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
To understand fixed income securities with their embedded
options, one needs to understand derivative securities.
!
The basic deri

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
These lectures are for a fixed income securities course with an emphasis on
derivatives. This is important for two related reasons:

Hedging Derivatives with Model Error
Robert A. Jarrow
March 21, 2010
Abstract The current derivatives pricing technology enables users to hedge derivatives with the underlying asset or any other traded derivative. In theory, there is no reason to prefer o

JOHNSON GRADUATE SCHOOL OF MANAGEMENT Cornell University
NBA555: Fixed Income Securities and Interest Rate Options Professor Robert Jarrow Homework (Not Graded) For Self Study
QUESTIONS
1.
a.
P(0,4) .83860 f (0,3) P(0,3) .88053 = , compute f (0,2) . f (0,

JOHNSON GRADUATE SCHOOL OF MANAGEMENT Cornell University
NBA555: Fixed Income Securities and Interest Rate Options Professor Robert Jarrow Tuesday, December 14, 2004 IN CLASS Final Examination Closed BookOne Page of Notes
NAME:
Answers
Note: To get credit

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
To understand the fixed income pricing and hedging
the HJM model we need to first understand the
simple binomial model used to pr

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
Trivially
reject this
price path.
This price path more realistic
as the step size shrinks.
Chapter 18, Slide 2
Jarrow-Chatterjea 20

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
To this point in the course we have studied the pricing
and hedging of fixed income securities.
! We have focused on market risk: eq

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
Given our increased understanding of the risks
embedded in risk management models and decisionmaking, it is instructional to study

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
This lecture extends the single period binomial HJM model to a
multiperiod setting.
!
The multiperiod extension is essential.
!
Ma

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
This chapter studies the HJM Libor model, which is
widely used in practice.
!
The HJM Libor model for caplets and floorlets is
exa

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
This lecture develops the HJM model for pricing
interest rate derivatives.
! To facilitate understanding, the presentation is parall

NBA5550:
Fixed Income Securities and Interest Rate Options
Fall 2014
Professor Robert Jarrow, 451 Sage Hall
Monday/Wednesday
sec 1: 1:25 2:40 p.m.
sec 2: 2:55 4:10 p.m.
room B09
room B09
Description: The purpose of this course is to study the pricing and

JOHNSON GRADUATE SCHOOL OF MANAGEMENT
Cornell University
NBA5550: Fixed Income Securities and Interest Rate Options
Professor Robert Jarrow
Thursday, December 12, 2013
12:00pm 1:30pm
B01, B08, B09

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
This is the first lecture solely on fixed income securities.
!
We only consider bonds that are default free. Examples
include U.S.

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
This chapter studies interest rate swaps.
Chapter 22, Slide 2
Jarrow-Chatterjea 2012
A generic or plain
vanilla interest rate
swa

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
The graph of the yield curve is called the term
structure of interest rates.
!
The next figure graphs the yield curve at five
diff

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
The Black-Scholes-Merton (BSM) option pricing
model is intuitive and easy to understand.
!
The BSM model is a building block for m

Robert Jarrow
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Jarrow and Chatterjea 2012
!
The Assumptions
A1. No market frictions.
A2. No credit risk.
A3. Competitive and well-functioning markets. In a competitive
mar