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Interest Rate Models: An Introduction Paperback – 25 Jan 2004

5.0 out of 5 stars 1 customer review

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Product details

  • 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)
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Product description

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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Top Customer Reviews

Format: Paperback
This book is very handy if you want to have a starting overview of all interest rate model. All models are clearly categorized with brief explanation. Not too difficult to read. You'll not be over-loaded with too much technical details. A little bit out-dated so can be updated with more recent development though.
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Most Helpful Customer Reviews on Amazon.com (beta) (May include reviews from Early Reviewer Rewards Program)

Amazon.com: 4.3 out of 5 stars 6 reviews
5.0 out of 5 stars Five Stars 23 Nov. 2014
By Viola - Published on Amazon.com
Format: Paperback Verified Purchase
Good introductory book.
0 of 2 people found the following review helpful
3.0 out of 5 stars Textbook for student 22 April 2010
By SP5000 - Published on Amazon.com
Format: Paperback Verified Purchase
A light-weighted text book for students taking IR model class. Practitioner's lauguage for bond paying coupon every six month is "semi-annually", not half-yearly. Read those classic term structure papers may help more than this book.
0 of 3 people found the following review helpful
5.0 out of 5 stars As good as stated 11 April 2010
By Q. Peng - Published on Amazon.com
Format: Paperback Verified Purchase
This book is as good as stated by the seller. And the shipment is quick!
5 of 5 people found the following review helpful
4.0 out of 5 stars Good intro on short-rate models and forward/LIBOR-rate models 13 May 2008
By Dr. Y - Published on Amazon.com
Format: Paperback
The book assumes that you've done some stochastic analysis courses before. You need to be familiar with Girsanov's theorem (change of measure) and some PDE theories (Feynman-Kac) to better understand the materials. The book starts with the introduction of instruments in the interest rate market. Then before introducing the continuous-time models, it shows how to price interest rate derivatives/ZCB in a binomial model, the classical Ho/Lee model is also introduced. The chapter on short-rate models is good, it shows 2 different ways to price zero-coupon bonds, martingale approach and the PDE approach. The book even proves ZCB/options on ZCB under the Vasicek and CIR models (in the appendices). More recent developments such as LIBOR/HJM are also introduced.The book might be a littel bit difficult to read at the start (formal maths), however, it rewards perseverance.
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.
2 of 2 people found the following review helpful
4.0 out of 5 stars very nice and clear, but no solutions to exercises 26 Jan. 2008
By Freddy - Published on Amazon.com
Format: Paperback
I agree with the previous reviewer. The exposition is very nice and clear, one is not bogged down with too complicated calculations of too complicated models. It's a shame that there are no solutions to end of chapter exercises though. Hence one star down.
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