Interest Rate Models

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1、•nterestRateModelsInterestRateModelsInterestRateModelsAnIntroductionAndrewJ.G.CairnsPrincetonUniversityPressPrincetonandOxfordContentsCopyright©2004byPrincetonUni,·ersityPressPublishedbyPrincetonUniversityPress.41WilliamStreet.Princeton.NewJersey08540IntheU

2、nitedKingdom:PrincetonUniversityPress.3MarketPlace.Woodstock.OxfordshireOX20ISYAllrighbreservedLibrar'ofCongressCaw!og11i11g-i11-P11h/icario11DataCairns.Andrew(AndrewJ.G.)Interestratemodels:anintroductionIAndrewJ.G.Cairns.p.cm.PrefaceixIncludesbibliographi

3、calreferencesandindex.ISBN0-691-11893-0(cl.:alk.paper)-ISBN0-691-11894-9(pbk.:alk.paper)AcknowledgementsxiiiI.Interestrates-Mathematicalmodels.2.Bonds-Mathematicalmodels.3.Securities-Mathematicalmodels.4.Derivativesecurities-Prices-Mathematicalmodels.1Intro

4、ductiontoBondMarkets1I.Title.I.IBondsHGl621.C2520041.2Fixed-InterestBonds2332.8'0I'Sl--<.lc2220030623091.3STRIPS101.4BondswithBuilt-inOptions10BritishLihran·Cma!og11i11g-i11-P11h/icatio11Data1.5Index-LinkedBondsI0Acataloguerecordforthisbookisavailablefromth

5、eBritishLibrary1.6GeneralTheoriesofInterestRates111.7Exercises13ThisbookhasbeencomposedinTimesandtypesetbyT&TProductionsLtd.L<,ndonPrintedonacid-freepaper@2Arbitrage-FreePricing15www.pupress.princeton.edu2.1ExampleofArbitrage:ParallelYieldCurveShifts162.2Fu

6、ndamentalTheoremofAssetPricing18PrintedintheUnitedStatesofAmerica2.3TheLong-Tem1SpotRate192.4Factors23109876543212.5ABondIsaDerivative232.6Put-CallParity232.7TypesofModel242.8Exercises253Discrete-TimeBinomialModels293.1ASimpleNo-ArbitrageModel293.2TheHoandL

7、eeNo-ArbitrageModel303.3RecombiningBinomialModel323.4ModelsfortheRisk-FreeRateofInterest373.5FuturesContracts453.6Exercises484Continuous-TimeInterestRateModels534.1One-FactorModelsfortheRisk-FreeRate534.2TheMartingaleApproach554.3ThePDEApproachtoPricing60vi

8、ContentsContentsvii4.4FurtherCommentontheGeneralResults6410NumericalMethods1594.5TheVasicekModel6410.1ChoiceofMeasure1594.6TheCox-Ingersoll-RossModel6610.2LatticeMethods1604.7AComparisonoftheVasicekand