Interest Rate Theory - CIME Lectures 1996
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.
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|Date of creation:||Nov 1996|
|Date of revision:|
|Publication status:||Published in Financial Mathematics, Rungaldier, W. (eds.), 1997, Springer Verlag.|
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