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)
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Persistent link: /RePEc:anr:refeco:v:1:y:2009:p:69-96
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