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The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
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"Term-Structure Models is a theoretical text suitable for a graduate students and practitioners ... . Theoretical exercises are provided at the end of each chapter. ... written in a theorem-proof style; it is structured very well. The writing is clear and to the point. I would recommend this book as a graduate level text on term-structure models, as well as a reference for anyone dealing with or interested in term-structure models." (Ita Cirovic Donev, The Mathematical Association of America, February, 2010)
"This text by one of the leading authorities on term-structure and interest-rate models is useful for one semester graduate or advanced honors courses. Alternatively researchers in the field of mathematical finance, who wish to have a rather short reference text, may find this book appealing. The author comes straight to the point, without confusing the reader with to much material that is not directly related to the development of the theory. ... Each chapter also contains a significant number of well chosen exercises." (Christian-Oliver Ewald, Zentralblatt MATH, Vol. 1184, 2010)