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Interest Rate Modelling

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Capital Market Instruments

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

Abstract

Chapter 4 introduced the concept of the yield curve. The analysis and valuation of debt market instruments revolves around the yield curve. Yield curve or term structure modelling has been extensively researched in the financial economics literature; it is possibly the most heavily covered subject in that field. It is not possible to deliver a comprehensive summary in just one chapter, but our aim is to cover the basic concepts. As ever, interested readers are directed to the bibliography, which lists the more accessible titles in this area.

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Selected References and Bibliography

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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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Choudhry, M., Joannas, D., Pereira, R., Pienaar, R. (2005). Interest Rate Modelling. In: Capital Market Instruments. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230508989_7

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