Interest rate models: an introduction

By:

Cairns, Andrew J. G

Material type: Text

TextPublication details: 2004 Princeton University New JerseyDescription: XII+274 p. 23 cm : PbkISBN:

0-691-11894-9

Subject(s):

Finance Securities--Mathematical models Bonds--Mathematical models Derivative securities--Prices--Mathematical models Interest rates--Mathematical models

Contents:

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.

Summary: 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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Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.80151 CAI (Browse shelf(Opens below))	Available		27802

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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.

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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