scientific article; zbMATH DE number 2046097
zbMATH Open1072.91018MaRDI QIDQ4451068FDOQ4451068
Authors: Tomas Björk 
Publication date: 23 February 2004
Title of this publication is not available (Why is that?)
Recommendations
consistencyshort rate modelsforward rate modelsfinite realizations of forward rate modelsforward rate curve familieslinear realizations of interest rate models
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cited In (14)
- Title not available (Why is that?)
- Hopf filtrations and Larson-type orders in Hopf algebras
- Consistency problems for Heath-Jarrow-Morton interest rate models
- Interest rates and information geometry
- A note on the Nelson-Siegel family
- Carleman Regularization and Hyperfunctions
- HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
- Geometric analysis of net present value and internal rate of return
- Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations
- An optimization model for extracting forward interest rates from a dynamical systems under financial uncertainty
- On the geometry of the term structure of interest rates
- A geometric view of interest rate theory
- In memoriam: Tomas Björk (1947--2021). On his career and beyond
- EXPLAINING THE FORWARD INTEREST RATE TERM STRUCTURE
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