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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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Cairns, Andrew (Andrew J. G.) (Author)
Format: Electronic eBook
Language:Inglés
Published: Princeton : Princeton University Press, [2018]
Subjects:
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
Online Access:Texto completo
Table of 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

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