In this article, we apply interest rate parity, IRP, between two currencies EURO/USD to determine the implied currency appreciation or depreciation of an interest rate forward futures contract. Exchange rate risk is related to the appreciation or the depreciation of a currency relevant to...

This paper deals with issues related to the choice of the interest rate model to price interest rate derivatives. After the development of the market models, choosing the interest rate model has become almost a trivial task. However, their use is not always possible, so that the problem of...

This paper develops a nonparametric model of interest rate term structure dynamics based on a spot rate process that permits only positive interest rates and a market price of interest rate risk that precludes arbitrage opportunities. Both the spot rate process and the market price of interest...