A01=Andrew J. G. Cairns
Arbitrage
Asset
Author_Andrew J. G. Cairns
Basis Point
Binomial distribution
Bond (finance)
Calculation
Call option
Category=KFF
Coupon (bond)
Credit rating
Credit risk
Credit spread (options)
Derivative (finance)
Dirty price
Discrete time and continuous time
Discretization error
Diversification (finance)
Economic equilibrium
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equity derivative
Expected value
Fair value
Forward contract
Forward rate
Generalized method of moments
Geometric Brownian motion
Government bond
Importance sampling
Interest
Interest rate
Investment
Investor
Lattice model (finance)
Least squares
Libor
Low-discrepancy sequence
Mark-to-market accounting
Market maker
Market Segmentation Theory
Markov model
Martingale (probability theory)
Mathematical finance
Monte Carlo method
Normal distribution
Numeraire
Par yield
Payment
Price Change
Pricing
Probability
Probability measure
Probability of default
Put option
Put-call parity
Quantity
Rate of convergence
Real versus nominal value (economics)
Risk premium
Risk-Free Rate Of Return
Risk-neutral measure
Short rate
Stochastic differential equation
Strike price
Swap rate
Swaption
Term To Maturity
Theorem
Theoretical Value
Vasicek model
Yield curve
Yield to maturity
Zero-coupon bond
Product details
- ISBN 9780691118949
- Weight: 397g
- Dimensions: 152 x 235mm
- Publication Date: 25 Jan 2004
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Paperback
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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 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.
Andrew J. G. Cairns is Professor of Financial Mathematics at Heriot-Watt University in the United Kingdom. After completing his Ph.D. in statistics he worked as an actuary with a major life insurer, and since rejoining academia he has specialized in interest rate modelling and financial risk management for pension plans.
