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Statistics of Financial Markets pp 159–195Cite as

Interest Rates and Interest Rate Derivatives

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Abstract

The interest rate derivatives market is the largest derivatives market in the world. Mostly traded OTC, the interest rate securities are extremely popular especially among large institutional investors. Thus, the valuation of these instruments has been a major challenge for both practitioners and academics. Pricing interest rate derivatives fundamentally depends on the term structure of interest rates.

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Author information

Authors and Affiliations

  1. Department of Mathematics, Technische Universität Kaiserslautern, Kaiserslautern, Germany

    Jürgen Franke

  2. Ladislaus von Bortkiewicz Chair of Statistics, Humboldt-Universität Berlin, Berlin, Germany

    Wolfgang Karl Härdle

  3. Louvain Institute of Data Analysis and Modeling in Economics and Statistics, UCLouvain, Louvain-la-Neuve, Belgium

    Christian Matthias Hafner

Authors
  1. Jürgen Franke
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  2. Wolfgang Karl Härdle
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  3. Christian Matthias Hafner
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Franke, J., Härdle, W.K., Hafner, C.M. (2019). Interest Rates and Interest Rate Derivatives. In: Statistics of Financial Markets. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-030-13751-9_10

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