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The Term Structure of Interest Rates

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  • Robert A. Jarrow

    (Johnson Graduate School of Management, Cornell University, Ithaca, New York 14853)

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

  • Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    • Handle: RePEc:anr:refeco:v:1:y:2009:p:69-96
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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev.financial.050808.114513
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    References listed on IDEAS

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    More about this item

    Keywords

    arbitrage-free term structures; HJM model; expectations hypothesis; LIBOR model; futures and forward contracts;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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    1. Short-rate model in Wikipedia English
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