Optimization and Systems Theory Seminar
Friday, February 9, 2001, 11.00-12.00, Room 3721, Lindstedtsv. 25

Camilla Landén
Division of Optimization and Systems Theory
Department of Mathematics
E-mail: camilla@math.kth.se

An introduction to arbitrage theory with the focus on problems related to the term structure of forwards, futures and interest rates

The talk will give a brief introduction to arbitrage theory. As the theory is presented some problems with its practical application will be pointed out. Some of these problems are the motivation behind the papers which can be found in the thesis On the term structure of forwards, futures and interest rates. In that connection we will review the basic problems treated in this thesis. Thus, the talk will also serve as a survey of the aforementioned thesis.
Calendar of seminars
Last update: January 29, 2001 by Anders Forsgren, anders.forsgren@math.kth.se.