Titlebook: Analytical Finance: Volume II; The Mathematics of I Jan R. M. R?man Book 2017 The Editor(s) (if applicable) and The Author(s) 2017 Financia

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László Lovász,József Pelikán,Sabine GieseAs we have seen the price of a zero coupon bond at . and time to maturity . is given by

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https://doi.org/10.1007/3-540-27553-3Let us again study an interest rate model where the .-dynamics of the short rate of interest are given by

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The Interbank Market,We will now take a look at the . and different kind of spreads. We explain some of the details using the Swedish market (as Riksbanken, the Central bank in Sweden).

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Term Structures,We will now consider the problem where we will model price processes on an arbitrage-free market of zero coupon bonds. On this market we will model the short rate, .(.) under the real probability measure ..

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