Interest rate models: an introduction

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Andrew Cairns introduces the tools required for the arbitrage-free modelling of the term structure of interest rates. The text offers a detailed introduction to numerical methods, credit risk & calibration.

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Title Statements

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

Summary

Edition Statements

Publication Date:©2004.

Publication Statements

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

The Physical Object

Description:xii, 274 pages : : illustrations ; : 24 cm

Edition Identifiers

ISBN:0691118930, 9780691118932, 0691118949, 9780691118949
oclc:ocm52937645
LC Classification:HG1621
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 Derivaten (financiën) Derivative securities -- Prices Effecten Instruments dérivés (Finances) -- Prix Interest rates -- mathematical models obligaties Obligations (Valeurs) -- Modèles mathém… Rente Securities -- mathematical models Stochastische analyse Stochastisches Modell Taux d'intérêt -- Modèles mathématiques Taxa de juros Valeurs mobilières -- Modèles mathémati… Wiskundige modellen Zinsstrukturtheorie