IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812819338_0004.html
   My bibliography  Save this book chapter

Common Interest Rate Contracts

In: Understanding And Managing Interest Rate Risks

Author

Listed:
  • Ren-Raw Chen

    (Rutgers University, USA)

Abstract

The following sections are included:EURODOLLAR FUTURES, OPTIONS, AND SHORT-TERM INTEREST RATE OPTIONSEurodollar FuturesEurodollar Futures OptionsShort-Term Interest Rate OptionTREASURY BOND FUTURES AND THE QUALITY OPTIONStraight Treasury Bond FuturesThe Delivery OptionsModels for T Bond FuturesTwo-Factor ModelsSWAPSThe FrameworkOption to CancelOption to DefaultCancellation and DefaultSwaptionsDifferential SwapsA Simple Practice — Credit ExposureCAPS AND FLOORSBlack–Scholes ValuationValuation Under an Interest Rate ModelMORTGAGE-BACKED SECURITIESA MortgageThe Refinance Option FormulaMortgage BondsCollateral Mortgage ObligationsInterest Only and Principal OnlyOther Mortgage-Backed ContractsAPPENDIXDerivation of the Forward Rate with Forward MeasureChange of MeasureThe Compound Option Formula for Swaps

Suggested Citation

  • Ren-Raw Chen, 1996. "Common Interest Rate Contracts," World Scientific Book Chapters, in: Understanding And Managing Interest Rate Risks, chapter 4, pages 75-105, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812819338_0004
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812819338_0004
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812819338_0004
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812819338_0004. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.