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Interest-Rate Derivatives

  • Rudi Zagst
Chapter
Part of the Springer Finance book series (FINANCE)

Abstract

There is a great variety of financial derivatives built on our primary traded assets and with additional features such as optionality or agreements with respect to future points in time. This chapter is dedicated to describing and evaluating some of these products, from both a mathematical and practical point of view. It will also be shown how the different pricing models and techniques of the previous sections can be applied to the pricing of interest-rate derivatives.

Keywords

Call Option Future Contract Strike Price Maturity Time Treasury Bill 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Rudi Zagst
    • 1
    • 2
  1. 1.RiskLab GmbHMünchenGermany
  2. 2.Zentrum MathematikTechnische Universität MünchenMünchenGermany

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