Interest Rate Dynamics and Consistent Forward Rate Curves

DOI10.1111/1467-9965.00072zbMath0980.91030OpenAlexW3122994440MaRDI QIDQ2757307

Bent Jesper Christensen, Thomas Björk

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00072

zbMATH Keywords

invariant manifoldsmarked point processesinterest rate modelsforward rate curves

Mathematics Subject Classification ID

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