Footnote:
In: Portugaliae Mathematica, Vol. 67, No. 3, pp. 321-367, 2010
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2010 erstellt
Description:
In this paper 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