Interest Rate Models by Andrew J G Cairns
The field of financial mathematics has developed over the years, and the underlying models that have taken shape in interest rate markets and bond markets, being richer in structure than equity-derivative models, are fascinating and complex. This book introduces the tools required for the arbitrage-free modelling of the dynamics of these markets.
"This book provides an excellent introduction to the field of interest-rate modeling for readers at the graduate level with a background in mathematicsIt covers all key models and topics in the field and provides first glances at practical issues (calibration) and important related fields (credit risk). The mathematics is structured very well."—Rüdiger Kiesel, University of Ulm, coauthor of Risk-Neutral Valuation
"A very useful book that provides clear and comprehensive discussions of the topic that are not easily available elsewhere."—Edwin J. Elton, New York University, author of Modern Portfolio Theory and Investment Analysis
"A very useful book that provides clear and comprehensive discussions of the topic that are not easily available elsewhere."—Edwin J. Elton, New York University, author of Modern Portfolio Theory and Investment Analysis
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.
| SKU | Unavailable |
| ISBN 13 | 9780691118949 |
| ISBN 10 | 0691118949 |
| Title | Interest Rate Models |
| Author | Andrew J G Cairns |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Princeton University Press |
| Year published | 2004-01-25 |
| Number of pages | 288 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |