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Short-Term Interest-Rate Derivatives

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Book cover Capital Market Instruments

Part of the book series: Finance and Capital Markets Series ((FCMS))

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Abstract

The market in short-term interest-rate derivatives is a large and liquid one, and the instruments involved are used for a variety of purposes. Here we review the two main contracts used in money markets trading, the short-term interest rate future and the forward rate agreement.

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Selected Bibliography and References

  • Chicago Board of Trade, Interest rate Futures for Institutional Investors, CBOT, 1987.

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  • Choudhry, M. Fixed Income Markets, Wiley Asia, 2004, ch. 15.

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  • French, K. ‘A comparison of futures and forwards prices’, Journal of Financial Economics, 12, Nov. 1983, pp. 311–42.

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  • Hull, J. Options, Futures and Other Derivatives, 4th edition, Prentice-Hall, 1999.

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  • Jarrow, R. and Oldfield, G. ‘Forward contracts and futures contracts’, Journal of Financial Economic, 9, Dec. 1981, pp. 373–82.

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  • Jarrow, R. and Turnbull, S. Derivative Securities, 2nd edn, South-Western, 2000.

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  • Kolb, R. Futures, Options and Swaps, 3rd edn, Blackwell, 2000.

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  • Veit, W. and Reiff, W. ‘Commercial banks and interest rate futures: a hedging survey’, Journal of Futures Markets, 3, 1983, pp. 283–93.

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Author information

Authors and Affiliations

  1. KBC Financial Products, UK

    Moorad Choudhry (Head of Treasury)

  2. Hong Kong, China

    Dr Didier Joannas (Regional Director with SUNGARD Trading and Risk Systems)

  3. Nomura plc, UK

    Richard Pereira

  4. UBS AG, UK

    Rod Pienaar

Authors
  1. Moorad Choudhry
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  2. Dr Didier Joannas
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  3. Richard Pereira
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  4. Rod Pienaar
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Copyright information

© 2005 Moorad Choudhry, Didier Joannas, Richard Pereira and Rod Pienaar

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Cite this chapter

Choudhry, M., Joannas, D., Pereira, R., Pienaar, R. (2005). Short-Term Interest-Rate Derivatives. In: Capital Market Instruments. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230508989_14

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