Interest Rate Dynamics and Consistent Forward Rate Curves
Year of publication: |
1997-11-27
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Authors: | Björk, Tomas ; Christensen, Bent Jesper |
Institutions: | Economics Institute for Research (SIR), Handelshögskolan i Stockholm |
Subject: | Forward rate curves | interest rate models | invariant manifolds | marked point processes |
Extent: | application/pdf application/postscript |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Mathematical Finance, 1999, pages 323-348. The text is part of a series Working Paper Series in Economics and Finance Number 209 38 pages |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G10 - General Financial Markets. General |
Source: |
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On the geometry of interest rate models
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On the Geometry of Interest Rate Models
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On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models
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