Review2009

The Term Structure of Interest Rates

28 citations0/0 files storedAnnual Review of Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

Abstract

This paper reviews the term structure of interest rates literature relating to the arbitrage-free pricing and hedging of interest rate derivatives. Term structure theory is emphasized. Topics included are the HJM model, forward and futures contracts, the expectations hypothesis, and the pricing of caps/floors. Directions for future research are discussed.

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1973The Pricing of Options and Corporate Liabilities 1985A Theory of the Term Structure of Interest Rates 1973Theory of Rational Option Pricing 1977An equilibrium characterization of the term structure 2005Stochastic Integration and Differential Equations 2003Monte Carlo Methods in Financial Engineering 1979Martingales and arbitrage in multiperiod securities markets 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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2015Polynomial Chaos Expansion Approach to Interest Rate Models 2013The Zero-Lower Bound on Interest Rates: Myth or Reality?

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