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Interest Rate Derivatives

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References

  • Black, F. (1976). “The Pricing of Commodity Contracts”. Journal of Financial Economics, 3, 167–179.

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  • Vasicek, O. (1977). “An Equilibrium Characterization of the Term Structure”. Journal of Financial Economics, 5, 177–188.

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  • Cox, J. C., J. E. Ingersoll, and S. A. Ross (1985). “A Theory of the Term Structure of Interest Rates”. Econometrica, 53(2), 385–407.

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  • Hull, J. and A. White (1990). “Pricing Interest Rate Derivative Securities”. Review of Financial Studies, 3, 573–592.

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© 2007 Springer-Verlag London Limited

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Barker, P. (2007). Interest Rate Derivatives. In: Java Methods for Financial Engineering. Springer, London. https://doi.org/10.1007/978-1-84628-741-1_11

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  • DOI: https://doi.org/10.1007/978-1-84628-741-1_11

  • Publisher Name: Springer, London

  • Print ISBN: 978-1-85233-832-9

  • Online ISBN: 978-1-84628-741-1

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