Interest rate term structure modelling

DOI10.1016/j.ejor.2011.01.033zbMath1218.91161MaRDI QIDQ2275618

Wolfgang M. Schmidt

Publication date: 9 August 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.01.033

zbMATH Keywords

interest rate; finance; term structure; arbitrage pricing theory

Mathematics Subject Classification ID

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

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

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Cites Work

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• Stochastic calculus for finance. II: Continuous-time models.
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• Financial Derivatives in Theory and Practice
• Changes of numéraire, changes of probability measure and option pricing
• An equilibrium characterization of the term structure
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