A Comparison of Fixed Income Valuation Models: Pricing and Econometric Analysis of Interest Rate Derivatives

2001 ◽  
Author(s):  
Michael Jacobs
Keyword(s):  
Interest Rate ◽  
Econometric Analysis ◽  
Fixed Income ◽  
Interest Rate Derivatives

Derivatives Markets

2019 ◽  
pp. 151-166
Author(s):  
Halil Kiymaz ◽  
Koray D. Simsek
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Credit Derivatives ◽  
Forward Rate ◽  
Fixed Income ◽  
Over The Counter ◽  
Interest Rate Options ◽  
Interest Rate Derivatives ◽  
Fixed Income Derivatives ◽  
Derivatives Markets

Interest rate derivatives markets have enjoyed substantial growth since the late 1990s. This chapter discusses the development of these markets since 2000 and introduces the most popular interest rate derivative instruments. Although forward rate agreements and interest rate swaps are important examples of over-the-counter (OTC) products, futures on interest rates and bonds are innovations of organized exchanges. Both OTC interest rate options and exchange-traded options on interest rate futures are discussed to illustrate an overlapping area of both types of derivatives markets. Participants in debt markets are also exposed to both interest rate and credit risk. To mitigate the latter risk, the OTC fixed income derivatives markets provide credit default swaps (CDSs). As credit derivatives are also a subset of fixed income derivatives, CDSs are discussed further.

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

2009 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson ◽  
Asif Lakhany
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Pricing Framework

Board Composition and Corporate Investment in Interest Rate Derivatives

2001 ◽  
Author(s):  
Kenneth A. Borokhovich ◽  
Kelly R. Brunarski ◽  
Claire E. Crutchley ◽  
Betty J. Simkins
Keyword(s):  
Interest Rate ◽  
Corporate Investment ◽  
Board Composition ◽  
Interest Rate Derivatives
Sign in / Sign up

Export Citation Format

Share Document