Interest Rates and Interest Rate Derivatives

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Part of the Universitext book series (UTX)


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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© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.Department of MathematicsTechnische Universität KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of StatisticsHumboldt-Universität BerlinBerlinGermany
  3. 3.Louvain Institute of Data Analysis and Modeling in Economics and StatisticsUCLouvainLouvain-la-NeuveBelgium

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