Term Structure Models with Parallel and Proportional Shifts
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Publication:5310697
DOI10.1080/13504860600858030zbMath1186.91187OpenAlexW2153934129WikidataQ124983740 ScholiaQ124983740MaRDI QIDQ5310697
F. Armerin, Bjarne Astrup Jensen, Thomas Björk
Publication date: 11 October 2007
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://research-api.cbs.dk/ws/files/59037060/7137.pdf
Related Items (2)
In memoriam: Tomas Björk (1947--2021). On his career and beyond ⋮ CONSISTENT PARALLEL AND PROPORTIONAL SHIFTS IN THE TERM STRUCTURE OF FUTURES PRICES
Cites Work
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- On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- The Market Model of Interest Rate Dynamics
- Bond Market Structure in the Presence of Marked Point Processes
- An axiomatic approach to the valuation of cash flows
- Consistency problems for Heath-Jarrow-Morton interest rate models
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