{"title":"Yields and Forward Rates","authors":"R. Jarrow, Arkadev Chatterjea","doi":"10.1142/9781944659561_0021","DOIUrl":null,"url":null,"abstract":"The following sections are included:IntroductionEXTENSION 21.1: Home Ownership and DerivativesYieldsRevisiting ZerosYields and the Yield CurveEXTENSION 21.2: The Expectations HypothesisThe Traditional ApproachDurationModified Duration HedgingApplications and LimitationsForward RatesThe DefinitionUnderstanding Forward RatesUsing Forward RatesEXTENSION 21.3: Computing Forward Rates from Coupon Bond PricesThe Basic Interest Rate Derivatives ContractsA Brief HistoryForward Rate AgreementsInterest Rate FuturesEXTENSION 21.4: Treasury FuturesThe Equivalence between Forward and FRA RatesSummaryCasesQuestions and Problems","PeriodicalId":192464,"journal":{"name":"An Introduction to Derivative Securities, Financial Markets, and Risk Management","volume":"36 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"An Introduction to Derivative Securities, Financial Markets, and Risk Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/9781944659561_0021","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
The following sections are included:IntroductionEXTENSION 21.1: Home Ownership and DerivativesYieldsRevisiting ZerosYields and the Yield CurveEXTENSION 21.2: The Expectations HypothesisThe Traditional ApproachDurationModified Duration HedgingApplications and LimitationsForward RatesThe DefinitionUnderstanding Forward RatesUsing Forward RatesEXTENSION 21.3: Computing Forward Rates from Coupon Bond PricesThe Basic Interest Rate Derivatives ContractsA Brief HistoryForward Rate AgreementsInterest Rate FuturesEXTENSION 21.4: Treasury FuturesThe Equivalence between Forward and FRA RatesSummaryCasesQuestions and Problems
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