本书是一部全面讲述计算和管理利率衍生物模型的教程。分为两个部分：第一部分比较和讨论了传统模型，比如即期和远期利率模型；第二部分主要讲述最新发展起来的市场模型。本书和同时期众多图书的不同之处在于，不仅专注于数学知识，并大量刻画了作者在工业应用中的实践经验。
目次：导引；套汇、鞅和数值方法；（一）即期和远期利率模型：即期和远期利率模型；基础解和远期风险调节策略；Hull-White模型；平方高斯模型；单因子模型的经验比较；（二）市场利率模型：LIBOR和调剂市场模型；马尔科夫函数模型；市场模型的经验比较；凸性错误；扩展和深究。
读者对象：数学金融、经济专业的本科生、研究生和相关的从业人员。
1. Introduction
2. Arbitrage, Martingales and Numerical Methods
2.1 Arbitrage and Martingales
2.1.1 Basic Setup
2.1.2 Equivalent Martingale Measure
2.1.3 Change of Numeraire Theorem
2.1.4 Girsanov's Theorem and It6's Lemma
2.1.5 Application: Black-Scholes Model
2.1.6 Application: Foreign-Exchange Options
2.2 Numerical Methods
2.2.1 Derivation of Black-Scholes Partial Differential Equation
2.2.2 Feynman-Kac Formula
2.2.3 Numerical Solution of PDE's
2.2.4 Monte Carlo Simulation
2.2.5 Numerical Integration
Part Ⅰ. Spot and Forward Rate Models
3. Spot and Forward Rate Models
3.1 Vasicek Methodology
3.1.1 Spot Interest Rate
3.1.2 Partial Differential Equation
3.1.3 Calculating Prices
3.1.4 Example: Ho-Lee Model
3.2 Heath-Jarrow-Morton Methodology
3.2.1 Forward Rates
3.2.2 Equivalent Martingale Measure
3.2.3 Calculating Prices
3.2.4 Example: Ho-Lee Model
3.3 Equivalence of the Methodologies
4. Fundamental Solutions and the Forward-Risk-Adjusted Measure
4.1 Forward-Risk-Adjusted Measure
4.2 Fundamental Solutions
4.3 Obtaining Fundamental Solutions
4.4 Example: Ho-Lee Model
4.4.1 Radon-Nikodym Derivative
4.4.2 Fundamental Solutions
4.5 Fundamental Solutions for Normal Models
5. The Hull-White Model
5.1 Spot Rate Process
5.1.1 Partial Differential Equation
5.1.2 Transformation of Variables
5.2 Analytical Formulae
5.2.1 Fundamental Solutions
5.2.2 Option Prices
5.2.3 Prices for Other Instruments
5.3 Implementation of the Model
5.3.1 Fitting the Model to the Initial Term-Structure
5.3.2 Transformation of Variables
5.3.3 Trinomial Tree
5.4 Performance of the Algorithm
5.5 Appendix
……
Part Ⅱ. Market Rate Models
References
Index
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