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001			194277
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008			210830t20182004nju fo d z eng d
020			_a9780691187426 _qPDF
024	7		_a10.1515/9780691187426 _2doi
035			_a(DE-B1597)9780691187426
035			_a(DE-B1597)501720
035			_a(OCoLC)1045069026
040			_aDE-B1597 _beng _cDE-B1597 _erda
050		4	_aHG1621
072		7	_aBUS027000 _2bisacsh
082	0	4	_a332.80151 _223
084			_aonline - DeGruyter
100	1		_aCairns, Andrew J. G. _eautore
245	1	0	_aInterest Rate Models : _bAn Introduction / _cAndrew J. G. Cairns.
264		1	_aPrinceton, NJ : _bPrinceton University Press, _c[2018]
264		4	_c©2004
300			_a1 online resource
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
505	0	0	_tFrontmatter -- _tContents -- _tPreface -- _tAcknowledgements -- _t1. Introduction to Bond Markets -- _t2. Arbitrage-Free Pricing -- _t3. Discrete-Time Binomial Models -- _t4. Continuous-Time Interest Rate Models -- _t5. No-Arbitrage Models -- _t6. Multifactor Models -- _t7. The Forward-Measure Approach -- _t8. Positive Interest -- _t9. Market Models -- _t10. Numerical Methods -- _t11. Credit Risk -- _t12. Model Calibration -- _tAppendix A. Summary of Key Probability and SDE Theory -- _tAppendix B. The Vasicek and CIR Models: Proofs -- _tReferences -- _tIndex
506	0		_arestricted access _uhttp://purl.org/coar/access_right/c_16ec _fonline access with authorization _2star
520			_aThe 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.
538			_aMode of access: Internet via World Wide Web.
546			_aIn English.
588	0		_aDescription based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021)
650		0	_aBonds _xMathematical models.
650		0	_aDerivative securities _xPrices _xMathematical models.
650		0	_aInterest rates _xMathematical models.
650		0	_aSecurities _xMathematical models.
650		7	_aBUSINESS & ECONOMICS / Finance / General. _2bisacsh
850			_aIT-RoAPU
856	4	0	_uhttps://doi.org/10.1515/9780691187426?locatt=mode:legacy
856	4	0	_uhttps://www.degruyter.com/isbn/9780691187426
856	4	2	_3Cover _uhttps://www.degruyter.com/cover/covers/9780691187426.jpg
942			_cEB
999			_c194277 _d194277