◾ Forward Rates

2014 ◽  
pp. 170-177
Keyword(s):  
Forward Rates

Long Maturity Forward Rates

2001 ◽  
Author(s):  
Charlotte Christiansen
Keyword(s):  
Forward Rates

scholarly journals Valuation of Inflation-Linked Annuities in a Lévy Market

2011 ◽  
Vol 2011 ◽  
pp. 1-15 ◽  
Author(s):  
Sure Mataramvura
Keyword(s):  
Martingale Measure ◽  
Forward Rates

We study the problem of pricing an inflation adjusted annuity in a forward rates market with jumps. Since the market will be incomplete, we use the minimalfq-martingale measureQqwhich we use for computing discounted expectations. We give explicit results forQqtogether with explicit results for the price of the annuity.

Bond Risk Premia: The Information in Really Long-Maturity Forward Rates

2021 ◽  
Author(s):  
Andrea Berardi ◽  
Roger Brown ◽  
Stephen M. Schaefer
Keyword(s):  
Risk Premia ◽  
Forward Rates ◽  
Bond Risk Premia ◽  
Bond Risk

Bonds and Interest Rates

2019 ◽  
pp. 257-271
Author(s):  
Tomas Björk
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Rate Theory ◽  
Forward Rates ◽  
Depth Study ◽  
Basic Concepts ◽  
Floating Rate

In this chapter the reader is introduced to the basic concepts of interest rate theory. Starting with a market for zero coupon bonds we define the relevant interest rates such as the short rate, the spot rates, and the forward rates. There is an in-depth study of the relations between the dynamics of these rates, and we also discuss some more applied topics as fixed coupon bonds, floating rate bonds, yields, duration, and convexity.

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