Scandinavian Working Papers in Economics
SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics
No 133: Interest Rate Theory - CIME Lectures 1996
Tomas Björk ()
Additional contact information
Tomas Björk: Department of Finance, Postal: Stockholm School of Economics, Box 6501, 113 83 Stockholm, Sweden
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
86 pages, November 1996
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