Interest Rate Models : : An Introduction / / Andrew J. G. Cairns.
The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, are particularly fascinating and complex. This book intro...
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Cairns, Andrew J. G., author. aut http://id.loc.gov/vocabulary/relators/aut Interest Rate Models : An Introduction / Andrew J. G. Cairns. Princeton, NJ : Princeton University Press, [2018] ©2004 1 online resource text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda Frontmatter -- Contents -- Preface -- Acknowledgements -- 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 -- Appendix A. Summary of Key Probability and SDE Theory -- Appendix B. The Vasicek and CIR Models: Proofs -- References -- Index restricted access http://purl.org/coar/access_right/c_16ec online access with authorization star The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, are particularly fascinating and complex. This book introduces the tools required for the arbitrage-free modelling of the dynamics of these markets. Andrew Cairns addresses not only seminal works but also modern developments. Refreshingly broad in scope, covering numerical methods, credit risk, and descriptive models, and with an approachable sequence of opening chapters, Interest Rate Models will make readers--be they graduate students, academics, or practitioners--confident enough to develop their own interest rate models or to price nonstandard derivatives using existing models. The mathematical chapters begin with the simple binomial model that introduces many core ideas. But the main chapters work their way systematically through all of the main developments in continuous-time interest rate modelling. The book describes fully the broad range of approaches to interest rate modelling: short-rate models, no-arbitrage models, the Heath-Jarrow-Morton framework, multifactor models, forward measures, positive-interest models, and market models. Later chapters cover some related topics, including numerical methods, credit risk, and model calibration. Significantly, the book develops the martingale approach to bond pricing in detail, concentrating on risk-neutral pricing, before later exploring recent advances in interest rate modelling where different pricing measures are important. Mode of access: Internet via World Wide Web. In English. Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021) Bonds Mathematical models. Derivative securities Prices Mathematical models. Interest rates Mathematical models. Securities Mathematical models. BUSINESS & ECONOMICS / Finance / General. bisacsh Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 9783110442502 https://doi.org/10.1515/9780691187426?locatt=mode:legacy https://www.degruyter.com/isbn/9780691187426 Cover https://www.degruyter.com/cover/covers/9780691187426.jpg |
language |
English |
format |
eBook |
author |
Cairns, Andrew J. G., Cairns, Andrew J. G., |
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Cairns, Andrew J. G., Cairns, Andrew J. G., Interest Rate Models : An Introduction / Frontmatter -- Contents -- Preface -- Acknowledgements -- 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 -- Appendix A. Summary of Key Probability and SDE Theory -- Appendix B. The Vasicek and CIR Models: Proofs -- References -- Index |
author_facet |
Cairns, Andrew J. G., Cairns, Andrew J. G., |
author_variant |
a j g c ajg ajgc a j g c ajg ajgc |
author_role |
VerfasserIn VerfasserIn |
author_sort |
Cairns, Andrew J. G., |
title |
Interest Rate Models : An Introduction / |
title_sub |
An Introduction / |
title_full |
Interest Rate Models : An Introduction / Andrew J. G. Cairns. |
title_fullStr |
Interest Rate Models : An Introduction / Andrew J. G. Cairns. |
title_full_unstemmed |
Interest Rate Models : An Introduction / Andrew J. G. Cairns. |
title_auth |
Interest Rate Models : An Introduction / |
title_alt |
Frontmatter -- Contents -- Preface -- Acknowledgements -- 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 -- Appendix A. Summary of Key Probability and SDE Theory -- Appendix B. The Vasicek and CIR Models: Proofs -- References -- Index |
title_new |
Interest Rate Models : |
title_sort |
interest rate models : an introduction / |
publisher |
Princeton University Press, |
publishDate |
2018 |
physical |
1 online resource |
contents |
Frontmatter -- Contents -- Preface -- Acknowledgements -- 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 -- Appendix A. Summary of Key Probability and SDE Theory -- Appendix B. The Vasicek and CIR Models: Proofs -- References -- Index |
isbn |
9780691187426 9783110442502 |
callnumber-first |
H - Social Science |
callnumber-subject |
HG - Finance |
callnumber-label |
HG1621 |
callnumber-sort |
HG 41621 |
url |
https://doi.org/10.1515/9780691187426?locatt=mode:legacy https://www.degruyter.com/isbn/9780691187426 https://www.degruyter.com/cover/covers/9780691187426.jpg |
illustrated |
Not Illustrated |
dewey-hundreds |
300 - Social sciences |
dewey-tens |
330 - Economics |
dewey-ones |
332 - Financial economics |
dewey-full |
332.80151 |
dewey-sort |
3332.80151 |
dewey-raw |
332.80151 |
dewey-search |
332.80151 |
doi_str_mv |
10.1515/9780691187426?locatt=mode:legacy |
oclc_num |
1045069026 |
work_keys_str_mv |
AT cairnsandrewjg interestratemodelsanintroduction |
status_str |
n |
ids_txt_mv |
(DE-B1597)501720 (OCoLC)1045069026 |
carrierType_str_mv |
cr |
hierarchy_parent_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
is_hierarchy_title |
Interest Rate Models : An Introduction / |
container_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
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1806143274141876224 |
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