- Paperback: 290 pages
- Publisher: Princeton University Press (25 Jan. 2004)
- Language: English
- ISBN-10: 0691118949
- ISBN-13: 978-0691118949
- Product Dimensions: 15.6 x 1.7 x 23.4 cm
- Average Customer Review: 5.0 out of 5 stars See all reviews (1 customer review)
- Amazon Bestsellers Rank: 1,231,249 in Books (See Top 100 in Books)
- See Complete Table of Contents
Interest Rate Models: An Introduction Paperback – 25 Jan 2004
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From the Back Cover
"This book provides an excellent introduction to the field of interest-rate modeling for readers at the graduate level with a background in mathematics. It 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."--Rudiger 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
About the Author
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.
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P.S. the solutions to the exercises of chapters 1-5 can be found from A.Cairn's web-page.
P.S.2 note that the book does not give any details on implementing different interest rate models in practice.
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