Interest rate theory and geometry

91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

91G80: Financial applications of other theories

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

In memoriam: Tomas Björk (1947--2021). On his career and beyond, On swap rate dynamics: to freeze or not to freeze?

Cites Work

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Multiperiod security markets with differential information
Martingales and arbitrage in multiperiod securities markets
Martingales and stochastic integrals in the theory of continuous trading
A general version of the fundamental theorem of asset pricing
Towards a general theory of bond markets
LIBOR and swap market models and measures
On the construction of finite dimensional realizations for nonlinear forward rate models
A chaotic approach to interest rate modelling
Existence of invariant manifolds for stochastic equations in infinite dimension
Minimal realizations in interest rate models
Interest Rate Dynamics and Consistent Forward Rate Curves
A Note on the Nelson-Siegel Family
On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
A Theory of the Term Structure of Interest Rates
On the geometry of the term structure of interest rates
VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
Stochastic Equations in Infinite Dimensions
Finite‐dimensional Realizations of Regime‐switching HJM Models
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
A YIELD‐FACTOR MODEL OF INTEREST RATES
A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
WHEN IS THE SHORT RATE MARKOVIAN?
The Market Model of Interest Rate Dynamics
The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
Bond Market Structure in the Presence of Marked Point Processes
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Pricing Interest-Rate-Derivative Securities
ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
Arbitrage Theory in Continuous Time
Consistency problems for Heath-Jarrow-Morton interest rate models
Exponential-polynomial families and the term structure of interest rates
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Interest rate models -- theory and practice