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Interest rate dynamics and consistent forward rate curves

Björk, Tomas; Christensen, Bent Jesper - 1999

Persistent link: https://www.econbiz.de/10008664852

A filtered no arbitrage model for term structures from noisy data

Gombani, Andrea; Jaschke, Stefan R.; Runggaldier, … - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2002

Persistent link: https://www.econbiz.de/10001802389

A filtering approach to pricing in multifactor term structure models

Gombani, Andrea; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 303-320

Persistent link: https://www.econbiz.de/10001578740

Arbitrage-free multifactor term structure models : a theory based on stochastic control

Gombani, Andrea; Runggaldier, Wolfgang J. - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 659-686

Persistent link: https://www.econbiz.de/10010187681

Interest rate theory : CIME lectures 1996

Björk, Tomas - 1996

Persistent link: https://www.econbiz.de/10000953741

An overview of interest rate theory

Björk, Tomas - In: Handbook of financial time series, (pp. 615-651). 2009

Persistent link: https://www.econbiz.de/10003834191

Topics in interest rate theory

Björk, Tomas - In: Financial engineering, (pp. 377-435). 2008

Persistent link: https://www.econbiz.de/10003567696

On the geometry of interest rate models

Björk, Tomas - In: Paris Princeton lectures on mathematical finance 2 (2003), pp. 133-215

Persistent link: https://www.econbiz.de/10009357100

On the geometry of interest rate models

Björk, Tomas (contributor) - 2003 - [Elektronische Ressource]

In this paper, which is a substantial extension of the earlier essay Björk (2001), we give an overview of some recent work on the geometric properties of the evolution of the forward rate curve in an arbitrage free bond market. The main problems to be discussed are as follows. 1. When is a...

Persistent link: https://www.econbiz.de/10001825531

Interest rate theory

Björk, Tomas - In: Financial mathematics : held in Bressanone, Italy, July …, (pp. 53-122). 1997

Persistent link: https://www.econbiz.de/10001321238