Interest Rate Models

Ernst Eberlein and Jan Kallsen
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Ernst Eberlein: University of Freiburg
Jan Kallsen: Kiel University

Chapter Chapter 14 in Mathematical Finance, 2019, pp 663-731 from Springer

Abstract: Abstract From an abstract point of view interest rate markets fall into the reach of the general theory which is discussed in Chaps. 9–13. They differ from equity markets just in the kind of assets, namely bonds, swaps, caps and other interest rate products. On closer observation, however, one faces new phenomena. For example, the natural choice of a numeraire is not obvious in markets where interest rates change randomly over time.

Date: 2019
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DOI: 10.1007/978-3-030-26106-1_14

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