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Interest Rate Theory - CIME Lectures 1996

Tomas Bjork ()

No 133, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

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.

Keywords: Term structure of interest rates; bond markets; arbitrage; martingales (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 1996-11
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Published in Financial Mathematics, Rungaldier, W. (eds.), 1997, Springer Verlag.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0133

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