Interest rate theory and geometry
From MaRDI portal
Publication:604623
DOI10.4171/PM/1868zbMath1202.91331MaRDI QIDQ604623
Raquel M. Gaspar, Thomas Björk
Publication date: 12 November 2010
Published in: Portugaliae Mathematica. Nova Série (Search for Journal in Brave)
manifolds; martingales; stochastic processes; PDEs; ODEs; interest rate models; potentials; arbitrage theory; finite dimensional realizations
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)
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In memoriam: Tomas Björk (1947--2021). On his career and beyond, On swap rate dynamics: to freeze or not to freeze?
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