Interest rate theory and geometry
From MaRDI portal
Publication:604623
DOI10.4171/PM/1868zbMath1202.91331MaRDI QIDQ604623
Raquel M. Gaspar, Thomas Björk
Publication date: 12 November 2010
Published in: Portugaliae Mathematica. Nova Série (Search for Journal in Brave)
manifoldsmartingalesstochastic processesPDEsODEsinterest rate modelspotentialsarbitrage theoryfinite dimensional realizations
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (2)
On swap rate dynamics: to freeze or not to freeze? ⋮ In memoriam: Tomas Björk (1947--2021). On his career and beyond
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multiperiod security markets with differential information
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- A general version of the fundamental theorem of asset pricing
- Towards a general theory of bond markets
- LIBOR and swap market models and measures
- On the construction of finite dimensional realizations for nonlinear forward rate models
- A chaotic approach to interest rate modelling
- Existence of invariant manifolds for stochastic equations in infinite dimension
- Minimal realizations in interest rate models
- Interest Rate Dynamics and Consistent Forward Rate Curves
- A Note on the Nelson-Siegel Family
- On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
- A Theory of the Term Structure of Interest Rates
- On the geometry of the term structure of interest rates
- VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
- Stochastic Equations in Infinite Dimensions
- Finite‐dimensional Realizations of Regime‐switching HJM Models
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
- WHEN IS THE SHORT RATE MARKOVIAN?
- The Market Model of Interest Rate Dynamics
- The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
- Bond Market Structure in the Presence of Marked Point Processes
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Pricing Interest-Rate-Derivative Securities
- ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
- Arbitrage Theory in Continuous Time
- Consistency problems for Heath-Jarrow-Morton interest rate models
- Exponential-polynomial families and the term structure of interest rates
- Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
- Interest rate models -- theory and practice
This page was built for publication: Interest rate theory and geometry