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Description - Interest Rate Models by Andrew J.G. Cairns

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 modeling 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 modeling.
The book describes fully the broad range of approaches to interest rate modeling; 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 modeling where different pricing measures are important.

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Book Details

ISBN: 9780691118949
ISBN-10: 0691118949
Format: Paperback / softback
(235mm x 152mm x mm)
Pages: 288
Imprint: Princeton University Press
Publisher: Princeton University Press
Publish Date: 5-Jan-2004
Country of Publication: United States

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Author Biography - Andrew J.G. Cairns

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.

Books By Andrew J.G. Cairns

Interest Rate Models by Andrew J.G. Cairns
Hardback, January 2004