Forward Rate Models

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print September 1998 | ISBN: 9780198775188
Published online November 2003 | e-ISBN: 9780191595981 | DOI:
 Forward Rate Models

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Here we present the Heath–Jarrow–Morton approach of modelling the evolution of the entire forward rate curve.

Keywords: drift condition; forward rates; Heath‐Jarrow‐Morton; interest rates; term structure

Chapter.  3356 words. 

Subjects: Financial Markets

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