Butcher's Wood by Peter Guttridge

Butcher's Wood by Peter Guttridge

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.

Guttridge, Peter: - Award-winning comic crime author Peter Guttridge turned from the Daft Side to the Dark Side for his Brighton mystery series, which started with City of Dreadful Night and continued most recently with The Lady of the Lake. He was also the Observer's crime fiction critic for twelve years, and so has read far more crime fiction than is good for him.

www.peterguttridge.com

SKU	Unavailable
ISBN 13	9780727850379
ISBN 10	0727850377
Title	Butcher's Wood
Author	Peter Guttridge
Series	A Brighton Mystery
Condition	Unavailable
Binding Type	Hardback
Publisher	Canongate Books
Year published	2021-04-29
Number of pages	192
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note	Unavailable