Financial Derivatives Pricing Book Description

Authors: Robert Jarrow


Among connoisseurs, Robert A Jarrow is known as a pro among pros, a mathematical finance maven, who understands real-world financial markets and translates that specified knowledge into mathematical models of that world. Relevant, rigorous, and right on the mark in problem-selection, are the constants that mark the unmistakable stamp of a Jarrow paper. The present book patiently develops the complex mathematical models at the foundation of option pricing, bond pricing, and credit pricing. The chapters reproduce articles that have become classics in the field. The chapters of this volume are rigorous and at times demanding of what the reader must do to gain the full benefits of what they offer. But whether a serious academic researcher, a seasoned quantitative professional, or a mathematically inclined novice student, the reader is in for a treat well-worth the effort: Bon appetit. --Robert C Merton, Nobel Laureate, Economics 1997, Harvard Business School

Robert A Jarrow has been a major force in mathematical finance for almost three decades. Having had the honor of spending the second of these three decades with him at Cornell, I stand slack-jawed in awe at the incredible range and depth of the articles in this collection. --Peter Carr, PhD, Quantitative Financial Research, Bloomberg LP & Director of the Masters program in Mathematical Finance Courant Institute, NYU