Chapter 15. Implied Interest Rate Pricing Models

  1. P. J. Hunt1 and
  2. J. E. Kennedy2

Published Online: 28 JAN 2005

DOI: 10.1002/0470863617.ch15

Financial Derivatives in Theory and Practice

Financial Derivatives in Theory and Practice

How to Cite

Hunt, P. J. and Kennedy, J. E. (2004) Implied Interest Rate Pricing Models, in Financial Derivatives in Theory and Practice, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470863617.ch15

Author Information

  1. 1

    WestLB AG, London, UK

  2. 2

    University of Warwick, UK

Publication History

  1. Published Online: 28 JAN 2005
  2. Published Print: 26 MAY 2004

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470863589

Online ISBN: 9780470863619

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Keywords:

  • terminal swap-rate models;
  • irregular swaptions;
  • exponential and implied swap-rate models

Summary

This chapter contains sections titled:

  • Introduction

  • Implying the Functional Form DTS

  • Numerical Implementation

  • Irregular Swaptions

  • Numerical Comparison of Exponential and Implied Swap-rate Models