Term Structure Models with Parallel and Proportional Shifts

DOI10.1080/13504860600858030zbMATH Open1186.91187OpenAlexW2153934129WikidataQ124983740 ScholiaQ124983740MaRDI QIDQ5310697FDOQ5310697

F. Armerin, Tomas Björk, Bjarne Astrup Jensen

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

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zbMATH Keywords

term structure of interest ratesBond marketflat term structures

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Interest rate dynamics and consistent forward rate curves
• On the existence of finite-dimensional realizations for nonlinear forward rate models.
• 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
• The Market Model of Interest Rate Dynamics
• Bond Market Structure in the Presence of Marked Point Processes
• On Redington's theory of immunization
• A note on Shiu-Fisher-Weil immunization theorem
• An axiomatic approach to the valuation of cash flows
• On immunization, stop-loss order and the maximum Shiu measure.

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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