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 of both practitioners and academics. Pricing interest rate derivatives fundamentally depends on the term structure of interest rates.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Black, F. (1975). The pricing of commodity contracts. Journal of Financial Economics, 3, 167–179.
Brace, A., Gatarek, D., & Musiela, M. (1997). The market model of interest rate dynamics. Mathematical Finance, 7, 127–147.
Brigo, D., & Mercurio, F. (2001). Interest rate models: Theory and practice. Berlin: Springer.
Cox, J. C., Ingersoll, Jr., J. E., & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53, 385–407.
Glasserman, P. (2004). Monte Carlo methods in financial engineering. New York: Springer.
Heath, D., Jarrow, R., & Morton, A. (1992). Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 60, 77–105.
Ho, S., & Lee, T. (1986). Term structure movements and pricing interest rate contingent claims. Journal of Finance, 41, 1011–1029.
Hull, J., & White, A. (1990). Pricing interest rate derivatives. The Review of Financial Studies, 3, 573–592.
Hull, J., & White, A. (1994). Numerical procedures for implementing term structure models II: Two factor models. Journal of Derivatives, 2, 37–47.
Hull, J. C. (2006). Options, futures and other derivatives. Upper Saddle River: Prentice Hall.
Jamshidian, F. (1997). Libor and swap market models and measures. Finance and Stochastics, 1, 293–330.
Longstaff, F., & Schwartz, E. (1992). Interest rate volatility and the term structure: A two-factor general equilibrium model. Journal of Finance, 47, 1259–1282.
Miltersen, K., Sandmann, K., & Sondermann, D. (1997). Closed form solutions for term structure derivatives with log-normal interest rates. Journal of Finance, 52, 409–430.
Neftci, S. (1996). An introduction to the mathematics of financial derivatives. San Diego: Academic Press.
Overbeck, L., & Rydén, T. (1997). Estimation in the Cox-Ingersoll-Ross model. Econometric Theory, 13, 430–461.
Rebonato, R. (2002). Modern pricing of interest rate derivatives. Princeton: Princeton University Press.
Rebonato, R. (2004). Volatility and correlation. Chichester: Wiley.
Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177–188.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2015 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Franke, J., Härdle, W.K., Hafner, C.M. (2015). Interest Rates and Interest Rate Derivatives. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-54539-9_10
Download citation
DOI: https://doi.org/10.1007/978-3-642-54539-9_10
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-54538-2
Online ISBN: 978-3-642-54539-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)