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Interest Rate Modelling. Wiley Finance. ISBN 978-0-471-97523-6. Rajna Gibson, François-Serge Lhabitant and Denis Talay (2001). Modeling the Term Structure of Interest Rates: A Review of the Literature. RiskLab, ETH. Frank J. Fabozzi and Moorad Choudhry (2007). The Handbook of European Fixed Income Securities. Wiley Finance. ISBN 978-0-471-43039-1.
The HJM framework originates from the work of David Heath, Robert A. Jarrow, and Andrew Morton in the late 1980s, especially Bond pricing and the term structure of interest rates: a new methodology (1987) – working paper, Cornell University, and Bond pricing and the term structure of interest rates: a new methodology (1989) – working paper ...
The expectations hypothesis of the term structure of interest rates (whose graphical representation is known as the yield curve) is the proposition that the long-term rate is determined purely by current and future expected short-term rates, in such a way that the expected final value of wealth from investing in a sequence of short-term bonds equals the final value of wealth from investing in ...
John Hull and Alan White, "One factor interest rate models and the valuation of interest rate derivative securities," Journal of Financial and Quantitative Analysis, Vol 28, No 2, (June 1993) pp. 235–254. John Hull and Alan White, "Pricing interest-rate derivative securities", The Review of Financial Studies, Vol 3, No. 4 (1990) pp. 573–592.
An affine term structure model is a financial model that relates zero-coupon bond prices (i.e. the discount curve) to a spot rate model. It is particularly useful for deriving the yield curve – the process of determining spot rate model inputs from observable bond market data.
Monetary impacts on interest rates and the term structure of interest rates [30] Lessons of monetary/financial history [31] Transmission mechanisms of monetary policy as to the macroeconomy [32] Neutrality of money vs. money illusion as to a change in the money supply, price level, or inflation on output [33]
Rachel Maddow, arguably the star of the network, previously agreed to pare down her $30 million salary, it was reported. The Ankler ’s report this week about Reid and Ruhle negotiating pay cuts ...
Its concern is thus the interrelation of financial variables, such as share prices, interest rates and exchange rates, as opposed to those concerning the real economy. It has two main areas of focus: [2] asset pricing and corporate finance; the first being the perspective of providers of capital, i.e. investors, and the second of users of capital.