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Paper / 1995SMQ / 137338620406747
Bond markets where prices are driven by a general marked point process
Björk, T. / Kabanov, Y. / Runggaldier, W.
fixed income / interest ratesResource overview

Bond markets where prices are driven by a general marked point process

Paper1995

by Björk, T., Kabanov, Y., Runggaldier, W.

Tags
fixed incomeinterest ratesjump processesmartingalesmeasure theorystochastic processesterm structure models

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  3. Conditional Expectation

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  4. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Bootstrapping the Spot Curve from Market Instruments

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  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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  3. Market Model and Risk-Neutral Valuation

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