Short-Term Interest-Rate Derivatives

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


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.


Interest Rate Future Price Money Market Forward Rate Future Contract 
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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
  3. Cox, J., Ingersoll, J. and Ross, S. ‘The relationship between forward prices and futures prices’, Journal of Financial Economics, 9, Dec. 1981, pp. 321–46.CrossRefGoogle Scholar
  4. Figlewski, F. Hedging with Financial Futures for Institutional Investors, Probus Publishing, 1986.Google Scholar
  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
  7. Jarrow, R. and Oldfield, G. ‘Forward contracts and futures contracts’, Journal of Financial Economic, 9, Dec. 1981, pp. 373–82.CrossRefGoogle Scholar
  8. Jarrow, R. and Turnbull, S. Derivative Securities, 2nd edn, South-Western, 2000.Google Scholar
  9. Kolb, R. Futures, Options and Swaps, 3rd edn, Blackwell, 2000.Google Scholar
  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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