Interest Rates and Interest Rate Derivatives
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.
- Hull, J. C. (2006) . Options, futures and other derivatives. Prentice Hall.Google Scholar
- Hull, J., & White, A. (1994). Numerical procedures for implementing term structure models ii: Two factor models. Journal of Derivatives, 37–47.Google Scholar
- Rebonato, R. (2002). Modern pricing of interest rate derivatives. Princeton University Press.Google Scholar