Interest Rate Models: An Introduction

By Andrew J. G. Cairns, Heriot-Watt University

Published by Princeton University Press


  • In equation (4.20) (p74) the "1/2 B s^2" term should be "1/2 B^2 s^2". The equation after (4.21) also needs altering.
  • Page 153 (some +'s and -'s need to be swapped round at the top).
  • Page 209 missing (1-N(t)) needs to be inserted in the drift term.
  • Page 211: the definition of lambda-tilde between equations 11.12 and 11.13 needs to have a minus sign inserted.