Interest rate models : an introduction /

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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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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Cairns, Andrew (Andrew J. G.) (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton : Princeton University Press, [2018]
Temas:
Interest rates > Mathematical models.
Bonds > Mathematical models.
Securities > Mathematical models.
Derivative securities > Prices > Mathematical models.
Electronic books.
Instruments dérivés (Finances) > Prix > Modèles mathématiques.
Obligations (Valeurs) > Modèles mathématiques.
Taux d'intérêt > Modèles mathématiques.
Livres numériques.
e-books.
BUSINESS & ECONOMICS > Finance.
Bonds > Mathematical models
Derivative securities > Prices > Mathematical models
Interest rates > Mathematical models
Securities > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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

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