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• W1593343055 abstract "Abstract The purpose of this chapter is to give an overview of some recent aspects of interest rate theory. After having recapitulated some basic results, we discuss forward rate models in the Heath–Jarrow–Morton framework. We then go on to a more detailed investigation of the geometric properties of the forward rate equation, such as consistency problems and finite dimensional realizations. The LIBOR market model is given a separate section. We end by showing how stochastic potential theory can be used to construct and analyze positive interest rate models." @default.
• W1593343055 created "2016-06-24" @default.
• W1593343055 creator A5071437277 @default.
• W1593343055 date "2007-01-01" @default.
• W1593343055 modified "2023-09-26" @default.
• W1593343055 title "Chapter 9 Topics in Interest Rate Theory" @default.
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• W1593343055 doi "https://doi.org/10.1016/s0927-0507(07)15009-x" @default.
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