COMMON INTEREST RATE CONTRACTS

Ren-Raw Chen
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Ren-Raw Chen: Rutgers University, USA

Chapter 4 in Understanding and Managing Interest Rate Risks, 1996, pp 75-105 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:EURODOLLAR FUTURES, OPTIONS, AND SHORT-TERM INTEREST RATE OPTIONSEurodollar FuturesEurodollar Futures OptionsShort-Term Interest Rate OptionTREASURY BOND FUTURES AND THE QUALITY OPTIONStraight Treasury Bond FuturesThe Delivery OptionsModels for T Bond FuturesTwo-Factor ModelsSWAPSThe FrameworkOption to CancelOption to DefaultCancellation and DefaultSwaptionsDifferential SwapsA Simple Practice — Credit ExposureCAPS AND FLOORSBlack–Scholes ValuationValuation Under an Interest Rate ModelMORTGAGE-BACKED SECURITIESA MortgageThe Refinance Option FormulaMortgage BondsCollateral Mortgage ObligationsInterest Only and Principal OnlyOther Mortgage-Backed ContractsAPPENDIXDerivation of the Forward Rate with Forward MeasureChange of MeasureThe Compound Option Formula for Swaps

Keywords: Interest Rate Risk; Term Structure Models; Options; Futures; Hedging; Fixed Income Securities (search for similar items in EconPapers)
Date: 1996
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