The Term Structure of Interest Rates
Robert Jarrow ()
Annual Review of Financial Economics, 2009, vol. 1, issue 1, pages 69-96
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.
Keywords: arbitrage-free term structures; HJM model; expectations hypothesis; LIBOR model; futures and forward contracts (search for similar items in EconPapers)
JEL-codes: G11 G12 G13 (search for similar items in EconPapers)
References: Add references at CitEc
Citations View citations in EconPapers (77) Track citations by RSS feed
Downloads: (external link)
Full text downloads are only available to subscribers. Visit the abstract page for more information.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:anr:refeco:v:1:y:2009:p:69-96
Ordering information: This journal article can be ordered from
Access Statistics for this article
Annual Review of Financial Economics is currently edited by 11
More articles in Annual Review of Financial Economics from Annual Reviews Annual Reviews 4139 El Camino Way Palo Alto, CA 94306, USA.
Series data maintained by http://www.annualreviews.org ().