Interest rate theory
This paper has 7 chapters, where chapter 7 is the bibliography. Chapter 1 (Preliminaries) describes self financing portfolios, contingent claims, arbitrage and martingale measures, hedging, absence of arbitrage and pricing. Chapter 2 (The bond market) treats after generalities bond pricing and martingale measures, swaps. Chapter 3 (Short rate models) describes after generalities locally risk free portfolios, martingale modelling, affine term structures and the inversion of the yield curves. In chapter 4 (Heath-Jarrow-Morton) follows the existence of martingale measures, martingale modelling, uniqueness of a fixed martingale measure, completeness, and the Musiela parametrization. Chapter 5 (Change of numeraire) treats after generalities forward measures, option pricing, the Hull-White model, caps and floors. In chapter 6 (Some new directions) lognormal models, modelling state price densities, point process models, risky bonds and minimizing arbitrage informations are regarded. For the entire collection see [Zbl 0861.00028].
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