Short-Term Interest-Rate Derivatives

  • Moorad Choudhry
  • Didier Joannas
  • Richard Pereira
  • Rod Pienaar
Part of the Finance and Capital Markets Series book series (FCMS)

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.

Keywords

Petroleum Income Expense Hull Peri 

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Selected Bibliography and References

  1. Chicago Board of Trade, Interest rate Futures for Institutional Investors, CBOT, 1987.Google Scholar
  2. Choudhry, M. Fixed Income Markets, Wiley Asia, 2004, ch. 15.Google Scholar
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  5. French, K. ‘A comparison of futures and forwards prices’, Journal of Financial Economics, 12, Nov. 1983, pp. 311–42.CrossRefGoogle Scholar
  6. Hull, J. Options, Futures and Other Derivatives, 4th edition, Prentice-Hall, 1999.Google Scholar
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  8. Jarrow, R. and Turnbull, S. Derivative Securities, 2nd edn, South-Western, 2000.Google Scholar
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  10. Veit, W. and Reiff, W. ‘Commercial banks and interest rate futures: a hedging survey’, Journal of Futures Markets, 3, 1983, pp. 283–93.CrossRefGoogle Scholar

Copyright information

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

Authors and Affiliations

  • Moorad Choudhry
    • 1
  • Didier Joannas
    • 2
  • Richard Pereira
    • 3
  • Rod Pienaar
    • 4
  1. 1.KBC Financial ProductsUK
  2. 2.Hong KongChina
  3. 3.Nomura plcUK
  4. 4.UBS AGUK

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