I am using Jarrow's Modelling Fixed Income Secruities and Interest Rate Options for my Fixed Income and Interest Rate Derivatives Valuation class, but I've found that it's hard to follow. Plus the notations are very confusing I was told that Jarrow is kind of standard for fixed income. How true is that? A friend recommanded Tuckman's Fixed Income Securities. Any comments? Thanks!!! -AS

I thought Jarrow's book is very down-to-earth. If I remember correctly, he spells out what he plans to do at the start of each sentence.In any case, if you still find it hard to follow, you may wish to try the sections on interest rate modelling in one of Wilmott's bigger books. I only have the big black book, and the fat silver book. They both contain very readable chapters on interest rate models. You may wish to go back and forth between these and Jarrow's.PS I'm not familiar with Wilmott's two volume book. I expect I'll be one day when I receive a free copy for evaluation from the publishers. But they will have to ask me nicely.

There is also Fixed Income Analytics by Kenneth D. Garbade This is readable, worth a look.Dominic

AthleteScholar,If you are confused by Jarrow's text, then Tuckman's text will be very good. It has very clear explanations of simple bond pricing and derivatives models without the martingale or PDE based approach. However, in order to understand more advanced concepts such as HJM and BGM/J, the math is necessary.Good luck!

i think you can actually download the whole jarrow book from his website. which is nice - the original costs about 80 quid.

Quotei think you can actually download the whole jarrow book from his website. which is nice - the original costs about 80 quid. I can't find the book online, only the power point lecture notes here.Do you have a link?

I'm not so sure how to phrase this carefully: There seems to be two types of books on fixed income/interest rate securities:1. Those that are based on determinitic models: These include all of Fabozzi's many many books (the man has his own publishing company), Garbade's book, Burghardt and Benton, and I guess also Tuckman's (which I have never used). They give you the specs of the various bonds and futures in excruciating detail.2. Those that are based on stochastic models: Jarrow's book, Rebonato's books, Brigo and Mercurio (excellent), Musiela and Rutkowski, Hunt and Kennedy, Pelsser, Webber and James, etc. They tell you how to price derivatives.My point is that books in one category cannot replace those in the other. I stand to be corrected.

I think the Jarrow book is no longer available online (for free, that is). The new edition was recently published, so I think he took it off.

Did someone has a copy of the Jarrow book downloaded from his website (I mean when it was free) to share with the quant community ?

QuoteOriginally posted by: OmarI'm not so sure how to phrase this carefully: There seems to be two types of books on fixed income/interest rate securities:1. Those that are based on determinitic models: These include all of Fabozzi's many many books (the man has his own publishing company), Garbade's book, Burghardt and Benton, and I guess also Tuckman's (which I have never used). They give you the specs of the various bonds and futures in excruciating detail.2. Those that are based on stochastic models: Jarrow's book, Rebonato's books, Brigo and Mercurio (excellent), Musiela and Rutkowski, Hunt and Kennedy, Pelsser, Webber and James, etc. They tell you how to price derivatives.My point is that books in one category cannot replace those in the other. I stand to be corrected.I think you phrased it perfectly. The deterministic part of money market and bond calculations are quite detailed but usually mundane details that one absolutely needs for implementation. I'd add one on the deterministic side: Marcia Stigum's The Money Market . The first edition (green cover) of this text dates back to the early 80's -- seemed ubiquitous when I first started in the industry. I think Tuckman's text introduces some basic binomial option pricing principles too, if I remember correctly.

Thank you all for the valuable info!!! Does anyone know where can I get a copy (preferred a free one ) of the "Trees Software" as used in Jarrow? Thank you!!!

From what I recall of the first edition, those lecture notes (link provided by akimon) are fairly close to the book. Haven't seen the new edition.