Interest Rate Derivative Securities

You-lan Zhu, Xiaonan Wu, I-Liang Chern and Zhi-zhong Sun
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You-lan Zhu: University of North Carolina
Xiaonan Wu: Hong Kong Baptist University
I-Liang Chern: National Taiwan University
Zhi-zhong Sun: Southeast University

Chapter 5 in Derivative Securities and Difference Methods, 2013, pp 277-345 from Springer

Abstract: Abstract This chapter is devoted to interest rate derivatives. Interest rate derivatives are financial products derived from interest rates. There are various interest rates that will be mentioned in this chapter. Here we first give the meaning of each interest rate and derive some relations among them.

Keywords: Interest Rate; Free Boundary; Short Rate; Bond Equation; Convertible Bond (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/978-1-4614-7306-0_5

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