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Tomas Bjork, A geometric view of the term structure of interest rates, Cattedra Galileiana 2000 (Lecture notes written by Irene Crimaldi)

Crimaldi, Irene Tomas Bjork, A geometric view of the term structure of interest rates, Cattedra Galileiana 2000 (Lecture notes written by Irene Crimaldi). Pubblicazioni della classe di Scienze della Scuola Normale Superiore (Pisa), collana dei Quaderni/Cattedra Galileiana . Scuola Normale Superiore di Pisa (finito di stampare per conto della "CompoMat" (Ri) dalla Nuova Grafica 86), Pisa. (2001)

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Abstract

This set of lecture notes is the outcome of a lecture series, given in April 2000 by Prof. Tomas Bjork while holding the "Cattedra Galileiana" at Scuola Normale Superiore in Pisa. The purpose of the lectures was to give an overview of some recent work concerning structural properties of the evolution of the forward rate curve in an arbitrage free bond market.

Item Type: Book
Additional Information: Lecture notes of the course by Prof. T. Bjork (Stockholm School of Economics) at the Scuola Normale Superiore, Pisa ("Cattedra Galileiana", 3-12 April 2000). MathSciNet MR2011807 (American Mathematical Society). Total number of pages: vi+68 pp.
Uncontrolled Keywords: Mathematical Finance, Interest rate models, Interest rate dynamics
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HG Finance
Q Science > QA Mathematics
Research Area: Economics and Institutional Change
Depositing User: Irene Crimaldi
Date Deposited: 10 Aug 2012 08:02
Last Modified: 10 Aug 2012 08:02
URI: http://eprints.imtlucca.it/id/eprint/1332

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