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Interest rate theory · Study

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ChapterInterest rate theory

Tomas Björk1997

Chapter1997

Interest rate theory

92 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Monetary Policy and Economic Impact Economic theories and models

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1979Option pricing: A simplified approach 2005Stochastic Integration and Differential Equations 1979Martingales and arbitrage in multiperiod securities markets 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1993Dynamic Asset Pricing Theory.

Cited by

2001Introduction to Dynamic Financial Analysis 2010A Geometric View of Interest Rate Theory 2002Utility-Based Derivative Pricing in Incomplete Markets 2008A Front-Fixing Finite Element Method for the Valuation of American Options 2001Rational Hedging and Valuation with Utility-Based Preferences 2005Pricing electricity risk by interest rate methods

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 18 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 17 shared references 2004Arbitrage Theory in Continuous Timebook · 15 shared references 1994Martingales, Arbitrage, and Portfolio Choicechapter · 15 shared references 1998Arbitrage Theory in Continuous Timebook · 14 shared references 2002Pricing Interest Rate Derivatives: A General Approacharticle · 14 shared references

Details

Year1997

Typechapter

Published1997-01-01

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations92

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bfb0091999

openalex_workW2324444

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2001

Classes of Interest Rate Models under the HJM Framework

2004On the Geometry of Interest Rate Models