The Term Structure of Interest Rates

Robert A. Jarrow

doi:10.1146/annurev.financial.050808.114513

Annual Review of Financial Economics

Volume 1,

Review Article

The Term Structure of Interest Rates

Robert A. Jarrow¹
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Affiliations: Johnson Graduate School of Management, Cornell University, Ithaca, New York 14853; email: [email protected]
Vol. 1:69-96 (Volume publication date August 2009) https://doi.org/10.1146/annurev.financial.050808.114513
© Annual Reviews

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.

Keyword(s): arbitrage-free term structures, expectations hypothesis, futures and forward contracts, HJM model, LIBOR model

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2009-10-01

2024-04-26