Interest rate models: an introduction

by Cairns, Andrew, (Andrew J. G.)

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Title Statements

Full title :Interest rate models : an introduction / Andrew J.G. Cairns.

Edition Statements

Publication Date:©2004.

Publication Statements

Publisher(s):Princeton University Press
Place of Publication:Princeton, NJ
Language:eng
Publication Date:©2004.

The Physical Object

Description:xii, 274 pages

Edition Identifiers

ISBN:0691118949, 9780691118949
oclc:ocn423826433
LC Classification:HG1621 C35 2004
Dewey Decimal:332.8/01/51

1. Introduction to Bond Markets -- 2. Arbitrage-Free Pricing -- 3. Discrete-Time Binomial Models -- 4. Continuous-Time Interest Rate Models -- 5. No-Arbitrage Models -- 6. Multifactor Models -- 7. The Forward-Measure Approach -- 8. Positive Interest -- 9. Market-Models -- 10. Numerical Methods -- 11. Credit Risk -- 12. Model Calibration -- App. A. Summary of Key Probability and SDE Theory -- App. B. The Vasicek and CIR Models : Proofs.

Subjects

Bonds -- Mathematical models Derivative securities -- Prices Instruments dérivés (Finances) -- Prix Modélisation mathématique Obligations (finances) -- Modèles mathé… Obligations (Valeurs) -- Modèles mathém… Securities -- Prices Taux d'intérêt Taux d'intérêt -- Modèles mathématiques Valeurs mobilières -- Modèles mathémati… Valeurs mobilières -- Prix