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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 133:
Interest Rate Theory - CIME Lectures 1996

Tomas Björk ()

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

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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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