The Term Structure of Interest Rates (Annual Review of Financial Economics Book 1)
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Book Details
Author(s)
Robert A. Jarrow
Publisher
Annual Reviews
ISBN / ASIN
B00ECNTL24
ISBN-13
978B00ECNTL26
Marketplace
France 🇫🇷
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Description
This paper reviews the term structure of interest rates literature relating to the arbitrage-free pricing and hedging of interest rate derivatives. Term structure theory is emphasized. Topics included are the HJM model, forward and futures contracts, the expectations hypothesis, and the pricing of caps/floors. Directions for future research are discussed.
