SSE/EFI Working Paper Series in Economics and Finance
Interest Rate Theory - CIME Lectures 1996
Abstract: This set of lecture notes constitutes a self contained
overview of the martingale based theory of interest rates. The lectures
were given by the author at the 1996 CIME Summer School on Mathematical
Finance, in Bressanone, Italy. The topics covered include: Bond markets,
interest rates, arbitrage, martingale measures, completeness, short rate
models, affine term structures, forward rate models, change of numeraire,
log-normal models, state price densities, point process models, risky
bonds, minimization of arbitrage information.
Keywords: Term structure of interest rates; bond markets; arbitrage; martingales; (follow links to similar papers)
JEL-Codes: G12; G13; (follow links to similar papers)
86 pages, November 1996
- This paper is published as:
Björk, Tomas, (1997), 'Interest Rate Theory' in Rungaldier, W. (ed.) Financial Mathematics, Springer Lecture Notes in Mathematics, Vol. 1656, Springer Verlag.
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