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Arbitrage Theory in Continuous Time$
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Arbitrage Theory in Continuous Time

Tomas Björk

Print publication date: 1998

Print ISBN-13: 9780198775188

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198775180.001.0001

Short Rate Models

Chapter:
(p. 242 ) 16 Short Rate Models
Source:
Arbitrage Theory in Continuous Time
Author(s):

Tomas Björk (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198775180.003.0016

Here, we present the standard theory of arbitrage pricing of interest‐rate‐related claims for short rate models.

Keywords:   arbitrage pricing, interest rates, risk neutral valuation, short rate, term structure

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