The Term Structure of Interest Rates
Posted: 4 Jun 2010
Date Written: December 2009
Abstract
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.
Suggested Citation: Suggested Citation
Jarrow, Robert A., The Term Structure of Interest Rates (December 2009). Available at SSRN: https://ssrn.com/abstract=1599430 or http://dx.doi.org/10.1146/annurev.financial.050808.114513
Robert A. Jarrow (Contact Author)
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Department of Finance
Ithaca, NY 14853
United States
607-255-4729 (Phone)
607-254-4590 (Fax)
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