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Arbitrage Theory in Continuous Time$
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Tomas Björk

Print publication date: 2004

Print ISBN-13: 9780199271269

Published to Oxford Scholarship Online: October 2005

DOI: 10.1093/0199271267.001.0001

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Short Rate Models

Short Rate Models

Chapter:
(p.316) 21 Short Rate Models
Source:
Arbitrage Theory in Continuous Time
Author(s):

Tomas Björk (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199271267.003.0021

This chapter examines the problem of how to model an arbitrage free family of zero coupon bond price processes. It assumes a market for T-bonds for every choice of T, and that the market is arbitrage free. For every T, the price of a T-bond has the form p (t, T) = F (t, r, (t) ; T), where F is a smooth function of three real variables. Practice exercises are included.

Keywords:   zero coupon bond, price, arbitrage short rate models, bond market, interest

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