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An Overview of Interest Rate Theory
Stockholm School of Economics.
2009 (English)In: Handbook of Financial Time Series / [ed] R. Davis et al., Springer-Verlag New York, 2009, 615-651 p.Chapter in book (Refereed)
Abstract [en]

In this paper we give a short 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, the Musiela parameterization, and the potential approach to positive interest rates. The text is essentially self contained.

Place, publisher, year, edition, pages
Springer-Verlag New York, 2009. 615-651 p.
Series
Mathematics and Statistics, 3
National Category
Economics and Business Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-86643DOI: 10.1007/978-3-540-71297-8_27OAI: oai:DiVA.org:kth-86643DiVA: diva2:500888
Note
QC 20120426Available from: 2012-02-13 Created: 2012-02-13 Last updated: 2012-04-26Bibliographically approved

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CiteExportLink to record
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  • apa
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