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An Overview of Interest Rate Theory

  • Tomas BjörkEmail author
Chapter

Abstract

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.

Keywords

Interest Rate Term Structure Forward Rate Martingale Measure Bond Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.Department of FinanceStockholm School of EconomicsStockholmSWEDEN

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