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Interest Rate Models: An Introduction
Get Free Ebook Interest Rate Models: An Introduction
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Review
"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."―Rüdiger 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
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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."--Rüdiger 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
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Product details
Paperback: 288 pages
Publisher: Princeton University Press (January 25, 2004)
Language: English
ISBN-10: 0691118949
ISBN-13: 978-0691118949
Product Dimensions:
6.1 x 0.7 x 9.2 inches
Shipping Weight: 1.2 pounds (View shipping rates and policies)
Average Customer Review:
4.2 out of 5 stars
6 customer reviews
Amazon Best Sellers Rank:
#1,469,384 in Books (See Top 100 in Books)
Good introductory book.
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.
This book is as good as stated by the seller. And the shipment is quick!
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.
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.
This book provides an excellent reference and point of view of old and new topics in the interest rate modelling field.From short rate models, HJM model, multifactor models, positive interest models and market models, it gives you a very well explanation all without forget the calibration of them.You can not find many books about this topic. This one gives a clear and easy to follow chapters in order to increase your knowledge of this not easy field. The formality is a key point in all the book.
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