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Interest Rate Theory - CIME Lectures 1996

Author

Listed:
  • Björk, Tomas

    () (Department of Finance)

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.

Suggested Citation

  • Björk, Tomas, 1996. "Interest Rate Theory - CIME Lectures 1996," SSE/EFI Working Paper Series in Economics and Finance 133, Stockholm School of Economics.
  • Handle: RePEc:hhs:hastef:0133
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    Cited by:

    1. Juri Hinz & Lutz Von Grafenstein & Michel Verschuere & Martina Wilhelm, 2005. "Pricing electricity risk by interest rate methods," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 49-60.

    More about this item

    Keywords

    Term structure of interest rates; bond markets; arbitrage; martingales;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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