Term Structure Models with Parallel and Proportional Shifts

DOI10.1080/13504860600858030MaRDI QIDQ5310697zbMATH OpenOpenAlexWikidataFDO

Authors F. Armerin, Bjarne Astrup Jensen, Tomas Björk

Publication date 11 October 2007

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

Full work available at URL https://research-api.cbs.dk/ws/files/59037060/7137.pdf

zbMATH Keywords

Bond marketflat term structuresterm structure of interest rates

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A note on Shiu-Fisher-Weil immunization theorem
• An axiomatic approach to the valuation of cash flows
• Bond Market Structure in the Presence of Marked Point Processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Interest rate dynamics and consistent forward rate curves
• On immunization, stop-loss order and the maximum Shiu measure.
• On Redington's theory of immunization
• On the existence of finite-dimensional realizations for nonlinear forward rate models.
• The Market Model of Interest Rate Dynamics

Cited in

(2)

• Consistent parallel and proportional shifts in the term structure of futures prices
• In memoriam: Tomas Björk (1947--2021). On his career and beyond

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