Interest rate theory and geometry
type: Item
instance of: scholarly article
title: Interest rate theory and geometry
zbMATH Open document ID: 1202.91331
DOI: 10.4171/PM/1868
author: Raquel M. Gaspar
author: Tomas Björk
published in: Portugaliae Mathematica. Nova Série
publication date: 2010-11-12T00:00:00Z
review text: From the authors' abstract: We provide an overview of some basic topics in interest rate theory from the point of view of arbitrage free pricing. We cover short rate models, affine term structure models, inversion of the yield curve and the Musiela parameterization. We treat geometric interest rate theory in some detail, and we also review the potential approach to positive interest rates. The text is essentially self-contained, and references to the literature can be found in Section 6.
reviewed by: Nikolaos Halidias
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91-02
zbMATH DE Number: 5815383
zbMATH Keywords: interest rate models
zbMATH Keywords: arbitrage theory
zbMATH Keywords: stochastic processes
zbMATH Keywords: martingales
zbMATH Keywords: PDEs
zbMATH Keywords: ODEs
zbMATH Keywords: manifolds
zbMATH Keywords: potentials
zbMATH Keywords: finite dimensional realizations
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 5815383