Interest rate models : an introduction / Andrew J.G. Cairns.
Andrew Cairns introduces the tools required for the arbitrage-free modelling of the term structure of interest rates. The text offers a detailed introduction to numerical methods, credit risk & calibration.
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| Format: | Book |
| Language: | English |
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Princeton, N.J. :
Princeton University Press,
[2004]
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| Summary: | Andrew Cairns introduces the tools required for the arbitrage-free modelling of the term structure of interest rates. The text offers a detailed introduction to numerical methods, credit risk & calibration. |
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| Physical Description: | xii, 274 pages : illustrations ; 24 cm |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 0691118930 9780691118932 0691118949 9780691118949 |