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The Term Structure of Interest Rates

  • Robert A. Jarrow

    ()

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

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.

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File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev.financial.050808.114513
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Article provided by Annual Reviews in its journal Annual Review of Financial Economics.

Volume (Year): 1 (2009)
Issue (Month): 1 (November)
Pages: 69-96

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Handle: RePEc:anr:refeco:v:1:y:2009:p:69-96
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